Working papers

The End of the Crypto-Diversification Myth (2022), with A.Didisheim

Cryptocurrencies and equities have exhibited a high and positive correlation since March 2020. Without obvious fundamental drivers, we theoretically show that trading flows by retail investors can drive this correlation. Using a unique dataset of investor-level holdings from a bank offering trading accounts and cryptocurrency wallets, we show that retail investors tend to trade equities and cryptocurrencies simultaneously in the same direction. This behavior became prominent in March 2020. We provide suggestive evidence showing that stocks preferred by crypto-traders exhibit a stronger correlation with Bitcoin, especially when the cross-asset retail volume is high.

Presentations: AFA 2024 (forthcoming), MFA Annual meeting 2023, ToDeFi 2023 (Best PhD paper award), 5th UWA Blockchain and Cryptocurrency conference, New Zealand Finance Meeting 2022, CB&DC Job Market Candidates Workshop, NYU Stern (PhD brownbag), Swiss Finance Institute, HEC Lausanne.

Media: Financial Times, VoxEU (see Outreach)

The Monetary Entanglement between CBDC and Central Bank Policies (2023),  with M. Fraschini and T. Terracciano

Using a two-period equilibrium model, we show that the effects of introducing a Central Bank Digital Currency (CBDC) depend on the ongoing monetary policy. We derive neutrality conditions without direct pass-through policies and find that they do not always hold with quantitative easing, as bank lending shrinks if demand for CBDC is above a certain threshold. Moreover, we find that commercial banks optimally liquidate excess reserves in the system to accommodate households’ demand for CBDC. This leads to the replacement of banks with households on the liability side of the central bank balance sheet, making quantitative tightening difficult to implement.

This paper previously circulated as "Central Bank Digital Currency and Quantitative Easing"

Honors: Finalist for the 2022 ECB Young Economist Prize

Presentations: EEA 2023, Bank of England, ECB Forum on Central Banking (Poster Session, June 2022), The Future.s of Money - Paris (June 2022), 26th Spring Meeting of Young Economists (SMYE, May 2022), ASSA 2022 Virtual Annual Meeting (AEA Poster Session, January 2022), Day-Ahead Workshop on Financial Regulation at the University of Zurich (October 2021), Swiss Finance Institute Research Days (June 2021), 14th Financial Risks International Forum (March 2021), Finance BB seminar at the University of Geneva (January 2021)

Media: Financial Times (see Outreach)

Are Green Funds for Real? (2023), with C. Jaunin, T. Terracciano

We empirically study green funds’ investments following earning calls where firms discuss the climate transition. To do so, we use an unsupervised machine learning algorithm to extract a measure of climate transition talk during earning conference calls and look at how mutual funds respond to it. We find that after starting to discuss the climate transition, firms see their green fund ownership increase by twice as much as matched firms with similar characteristics but that did not discuss the topic. As expected, we do not find any differences in non-green ownership. Importantly, we also show that firms discussing the climate transition limit their carbon emissions compared to the market portfolio. Contrary to claims of generalized greenwashing, our results indicate the existence of a channel for firms to communicate their climate stance to green investors effectively.

Presentations: CEBRA 2023, GoingGreen 2023, Wharton PhD seminar, SFI Research Days 2022, UNIL & EPFL brown bag seminar

CBDC and Banks: Threat or Opportunity? (2022), with M. Fraschini

A Central Bank Digital Currency (CBDC) would provide households with a superior payment technology, but it would also reduce bank deposits. We develop a structural model of the banking sector, calibrate it, and introduce a CBDC to run counterfactual analyses. We find that banks have limited ability to compensate for the reduction in funding, and that channelling funds back to the banking sector would reduce this negative impact. Nevertheless, we find that banks would exploit this new funding channel to capture part of the consumer surplus stemming from technological innovation.

Presentations:  AFA 2024 (forthcoming), Bank of England, Swiss Finance Institute Research Days 2021

Information Pools and Insider Trading: A Snapshot of America’s Financial Elite. (2021), with A. Didisheim

We document abnormal correlations between the performance of hedge funds' managers with an elite socio-economic background. In particular, Columbia, Harvard, University of Pennsylvania, Stanford, and NYU alumni are highly correlated among themselves. We take steps toward linking this phenomenon to a shared information pool with a quasi-natural experiment: the 2009 Galleon Capital insider trading scandal. The difference-in-difference analysis shows a significant reduction in returns of the elite managers following the scandal. Finally, we present evidences suggesting that investors recognize this pool's value, as funds with access to elite information are associated with 55\% higher assets under management at launch.

Presentations: AEA/ASSA 2022 (poster), 7th International Young Finance Scholars' Conference Peking University, Swiss Finance Institute Research Days 2020, HEC Lausanne PhD serie

Can the Government Be an Effective Venture Capital Investor? (2022),

Presentations:  Swiss Finance Institute Research Days 2021