In: List Forum für Wirtschafts- und Finanzpolitik, 2021, vol. 46, no. 3, p. 359-377
Although COVID-19 pandemic has so far been assumed to have recessivedeflationary consequences due to the dramatic deterioration of economic forecasts worldwide, inflation risks cannot be excluded. What effects might result from the combination of billion-high liquidity injections and high decline in production levels as well as strict (and costly) security and protection requirements? And why...
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Thèse de doctorat : Università della Svizzera italiana, 2021 ; 2021ECO002.
I use empirical methods to study the effect of institutional investors on financial markets. My studies provide novel evidence on the commonality in liquidity of fixed-income securities, the liquidity provision of hedge funds and mutual funds in equity markets, and the information diffusion from credit default swaps to equities.
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Thèse de doctorat : Università della Svizzera italiana, 2019 ; 20019ECO002.
My PhD thesis consists of three papers which study how interest rate products' prices react to both the central bank's policy goals and communication. As tool I make use of various econometric techniques such as affine models, general method of moments or Haar like filtering. The first chapter studies government bond excess term premia. I show that their predictability is driven by monetary...
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Thèse de doctorat : Università della Svizzera italiana, 2014 ; 2014ECO001.
The thesis is comprised of two parts. First part is devoted to liquidity of the stock market and its interaction with holding horizon. I start from investigating relative importance of liquidity level and liquidity risk. I find that liquidity level is more important for explaining stock returns. I notice that liquidity risk gains some explanatory power during recent decade, and it seems to...
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Thèse de doctorat : Università della Svizzera italiana, 2013 ; 2013ECO005.
The work investigates two major topics: the presence of a systematic and an idiosyncratic component in CDS spreads and the credit spread puzzle. We verify that a systematic factor is priced in the cross-section of CDS returns. We also notice that the systematic component of risk increases after the financial crisis. We finally verify that the fraction of systematic risk is not the same in...
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Thèse de doctorat : Università della Svizzera italiana, 2004 ; 2004ECO008.
Large-block trades have been typically handled over the counter in the upstairs market. Institutional trading raises several issues of concern, such as the fragmentation of order flow, potential liquidity shortage in the downstairs market, and implications for market efficiency. Large investors’ trades may infact produce a price impact that can adversely influence their investment decisions....
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