Research Interests: Macroeconomics, International Finance, Financial Markets, Monetary policy 



"In the Right Hands? Capital Inflows and Allocation of Credit Across Firms:

Evidence from Emerging Europe"

We study how, and through which channels, international capital inflows influence the domestic allocation of credit within industries, across firms that differ in their ex-ante productivity. Using a large panel of firms from 12 Central Eastern European countries over 2003–2017, we find that higher cross-border debt inflows increase the credit growth rates of low TFP firms significantly more than their more productive industry peers. These differentials materialize through the intensive and extensive margins of credit, for both non-resident inflows and outflows, and occur mostly when foreign capital is driven by global supply factors. A different sample of more advanced countries yield significantly smaller differential effects that are limited to episodes of foreign disinvestment. Banks directed foreign funds more towards low TFP firms because these firms are relatively riskier and have more collateral. This suggests a risk-taking channel of capital inflows that leads to a misallocation of credit towards the less productive.

Keywords: Capital Inflows, Credit Allocation, Productivity, Emerging Countries

"Is There Smart Money? How Information in the Commodity Futures Market Is Priced into the Cross-Section of Stock Returns with Delay"

with Steven Wei Ho

Accepted at the Journal of Financial and Quantitative Analysis (JFQA)

We document a new empirical phenomenon in which the positions of money managers (MM), who are sophisticated speculators in the commodity futures market, as disclosed by the CFTC Disaggregated Commitments of Traders (DCOT) reports, can predict the cross-section of commodity producers' stock returns in the subsequent week. We employ cross-sectional methodologies including single-sort, Jensen's alpha analysis, double-sort, and Fama-Macbeth regressions to confirm the predictability results. The results are more pronounced in firms with higher information asymmetry, proxied by analyst dispersion and historical volatility. We thus provide more empirical evidence to the literature on costly information processing which leads to market segmentation and gradual information diffusion across asset markets, as demonstrated in the lead-lag relationship.

Keywords: Costly Information Processing, Commodity, Equity Return Predictability, Market Segmentation, Gradual Information Diffusion

"Capital Flows and Institutions"

with Deniz Igan and Damien Puy, BIS Working Paper No 994

Does foreign capital improve the quality of domestic institutions? Consistent with an institutional quality channel of capital flows, we show that industries that are more dependent on “good” institutions to operate grow more than others after foreign capital flows into the private sector. The effects are stronger in countries that are further away from the institutional frontier (e.g., emerging markets), but they disappear and even turn negative in countries with very low initial institutional quality, suggesting that foreign capital inflows can exacerbate the ex-ante institutional deficit. We also find that institution-dependent industries grow less when capital flows to the official sector. Our findings support the view that foreign investors can be, under certain conditions, a catalyst for institutional reform and that the relaxation of government budget constraints generally weakens structural reform incentives.

Keywords: Capital Flows, Institutions, Manufacturing, Institutional Dependence


  • "Cross-Border M&As and Aggregate Dynamics", with Rahul Mukherjee and Christian Probsting.

    We aim to explore the source of gains from M&As, whether they primarily arise from productivity improvements or the relieving of target firms’ financial constraints. We hope to analyze as well how investment, ownership, and reallocation across heterogeneous firms (both foreign and domestic) respond to idiosyncratic (such as own financial position and productivity) and aggregate (like domestic or international financial crises or recessions) economic factors. We have assembled a substantial dataset of European domestic and cross border acquisitions, with balance sheet information and derived measures of productivity and financial constraints of both the acquiring and target firms before and after the acquisition event, as well as characteristics of the deal itself.


  • "An augmented Taylor rule for the Federal Reserve’s response to asset prices." Int. J. Computational Economics and Econometrics, 2017 Vol. 7, Nos. 1/2, pp.115–151. (with Christian M. Hafner). based on my Master's Thesis. Link 


2023 ASSA 2023 Annual Meeting, EEA-ESEM 2023 Annual Meeting - Barcelona. 

2020: IHEID - University of Geneva PhD Day 

2019: American Finance Association 2019 Annual Meeting - Atlanta Meetings Paper (January). IHEID Brown Bag Lunch

2018: Paris December 2018 Finance Meeting EUROFIDAI-AFFI  (December).