Publications

The Anatomy of the Transmission of Macroprudential Policies  
Journal of Finance
, forthcoming.
Co-author: Viral AcharyaKatharina BergantTim EisertFergal McCann

Paper  ·  BibTeX  ·  Google Scholar ·  Online Appendix

Bank Capital, Government Bond Holdings, and Sovereign Debt Capacity  
Journal of Financial Economics
, 141(2), August 2021, 693-704.
Klaus Liebscher Award.
Paper  ·  BibTeX  ·  Google Scholar

The Design and Transmission of Central Bank Liquidity Provisions  
Journal of Financial Economics
, 141(1), July 2021, 27-47.
Co-author: Luisa Carpinelli
ECB Young Economist Award.
Paper  ·  BibTeX  ·  Google Scholar

The (Unintended?) Consequences of the Largest Liquidity Injection Ever  
Journal of Monetary Economics
, 112, June 2020, 97-112.
SUERF/UniCredit Foundation Research Prize.

Co-authors: Miguel Faria-e-Castro and Luìs Fonseca
Paper  ·  BibTeX  ·  Google Scholar

Other Papers

Zombie Lending: Theoretical, International, and Historical Perspectives  
Annual Review of Financial Economics, 14, 2022.
Co-authors: Viral AcharyaTim Eisert, Sascha Steffen
Paper  ·  BibTeX 

Working Papers


Zombie Credit and (Dis-)Inflation: Evidence from Europe

Being revised for resubmission at the Journal of Finance
Co-authors: V. AcharyaT. Eisert, C. Eufinger, December 2020
Paper · BibTeX · VoxEU · WSJ · FT · Liberty Street

FRBNY/NYU FI 2019, MonPolicy & Reality, FIRS 2020, Cavalcade 2020, WFA 2020, AFA 2021

Abstract: We show that “zombie credit”—cheap credit to impaired firms—has a disinflationary effect. By helping distressed firms to stay afloat, such credit creates excess production capacity, thereby putting downward pressure on product prices. Granular European data on inflation, firms, and banks confirm this mechanism. Industry-country pairs affected by a rise of zombie credit show lower firm entry and exit rates, markups, and product prices, as well as a misallocation of capital and labor, which results in lower productivity, investment, and value added. Without a rise in zombie credit, inflation in Europe would have been 0.4 percentage points higher post-2012.

Pirates without Borders: the Propagation of Cyberattacks through Firms’ Supply Chains 
Co-authors: Marco Macchiavelli and André Silva, June 2022
Conditionally accepted at the Journal of Financial Economics
NBER CF Spring 2021
Paper · BibTeX · Liberty Street


AbstractThis paper examines the supply chain effects of the most damaging cyberattack in history so far. The attack propagated from the directly hit firms to their customers, causing a four-fold amplification of the initial drop in profits. These losses were larger for affected customers with fewer alternative suppliers. Internal liquidity buffers and increased borrowing, mainly through bank credit lines, helped firms navigate the shock. Nonetheless, the cyberattack led to persisting adjustments to the supply chain network, with affected customers terminating relations with directly hit firms and forming new ones with alternative suppliers with a stronger cybersecurity posture.

Exorbitant Privilege? Quantitative Easing and the Bond Market Subsidy of Prospective Fallen Angels
Co-authors: Viral Acharya, Ryan BanerjeeTim EisertRenée Spigt, June 2022
AFA 2022 · EFA 2022 · NBER SI EFEL 2021 ·  Oxford Macro-Finance 2021 
· NBER SI CF/RISK 2022
Paper · BibTeX · Liberty Street · FT · Bloomberg

Abstract: We document capital misallocation in the U.S. investment-grade (IG) corporate bond market, driven by quantitative easing (QE). Prospective fallen angels—risky firms just above the IG rating cutoff—enjoyed subsidized bond financing since 2009, especially when the scale of QE purchases peaked and from long-duration IG-focused investors that held more securities purchased in QE programs. The benefiting firms used this privilege to fund risky acquisitions and increase market share, exploiting the sluggish adjustment of credit ratings in downgrading after M&A, which adversely affected competitors’ employment and investment.  Eventually, these firms suffered severe downgrades at the onset of the pandemic.