Thèse de doctorat : Università della Svizzera italiana, 2020 ; 2020ECO002.
My dissertation consists of three chapters, each of which focuses on a different area of research in asset pricing. The first chapter deals with the informational role of brokerage firms during fire sales in the equity market. The second chapter exploits the ETF program by the bank of Japan as a quasi-natural experiment to measure the slope of the equity demand curve. The last chapter presents...
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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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In: Financial Markets and Portfolio Management, 2007, vol. 21, no. 2, p. 241-261
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In: Open Economies Review, 2010, vol. 21, no. 1, p. 3-16
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In: International Advances in Economic Research, 2011, vol. 17, no. 1, p. 12-27
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Thèse de doctorat : Università della Svizzera italiana, 2016 ; 2016ECO006.
Profit and its investment in productive activities lie at the heart of modern monetary economies. Indeed, it is thanks to profit investment that fixed capital is produced and used by companies to increase the number of consumption goods and, ultimately, to increase the wealth of households. Yet, despite economists’ full understanding of corporate gains from a microeconomic standpoint,...
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In: Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, no. 19, p. 4435–4449
The impact of monetary policy changes on the monetary market and stock market in China is investigated in this study. The changes of two major monetary policies, the interest rate and required reserve ratio, are analyzed in a study period covering seven years on the interbank monetary market and Shanghai stock market. We find that the monetary market is related to the macro economy trend and we...
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