Welcome to my personal homepage!
I'm a senior economist, advisor to the Vice Chairman of the Governing Board at the Swiss National Bank. This site presents the research papers written during my current appointment and my doctoral studies in Economics at the University of Lausanne.
My research interests are in the broad field of financial economics and macroeconomics with a current focus on empirical banking and financial stability.
I'm a senior economist, advisor to the Vice Chairman of the Governing Board at the Swiss National Bank. This site presents the research papers written during my current appointment and my doctoral studies in Economics at the University of Lausanne.
My research interests are in the broad field of financial economics and macroeconomics with a current focus on empirical banking and financial stability.
Recent Publication:
"The Impact of Interest Rate Risk on Bank Lending" (2020), with Robert Bichsel, Adrian Bruhin and Jayson Danton. Journal of Banking & Finance, Vol.115 (June 2020).
This paper analyzes the transmission of realized interest rate risk to bank lending. It exploits unique supervisory information about the interest rate risk exposure of Swiss banks net of hedging. By weakening the banks’ economic capital, realized interest rate risk explains on average around one eighth or 30 basis points of the predicted total reduction in cumulative loan growth a year after an upward shock in nominal rates by one percentage point. Moreover, heterogeneity in exposures implies that the effects would differ across institutions. Finally, bank lending is mainly driven by the banks’ capital- rather than their liquidity-situation.
"The Impact of Interest Rate Risk on Bank Lending" (2020), with Robert Bichsel, Adrian Bruhin and Jayson Danton. Journal of Banking & Finance, Vol.115 (June 2020).
This paper analyzes the transmission of realized interest rate risk to bank lending. It exploits unique supervisory information about the interest rate risk exposure of Swiss banks net of hedging. By weakening the banks’ economic capital, realized interest rate risk explains on average around one eighth or 30 basis points of the predicted total reduction in cumulative loan growth a year after an upward shock in nominal rates by one percentage point. Moreover, heterogeneity in exposures implies that the effects would differ across institutions. Finally, bank lending is mainly driven by the banks’ capital- rather than their liquidity-situation.
Disclaimer: The views expressed on this site and in the research papers are those of the author(s) and do not necessarily represent those of the Swiss National Bank.
