We quantify the relationship between the response of output to monetary policy shocks and
the share of liquidity-constrained households. We do so in the context of the euro area …

The share of firms' borrowing from bond markets has been rising globally, and notably in the
Eurozone. How does debt structure affect the transmission of monetary policy? We present a …

We study heterogeneity in the transmission of monetary shocks across euro-area (EA)
countries using a dynamic factor model and high-frequency identification. Deploying a novel …

We reconsider the effects of common monetary policy shocks across countries in the euro
area, using a data-rich factor model and identifying shocks with high-frequency surprises …

I assess the use of overnight indexed swap (OIS) rates as measures of monetary policy
expectations. I find that one to twelve-month US OIS rates provide measures of investors' …

This research offers the first analysis of whether gold, T-bills, Overnight Index Swaps (OIS) or
Interbank Offered Rates (IBOR) can be used as proxy for the risk-free asset in the UK, US …

In response to financial turmoil that began in 2007 and the effective lower bound for short-
term interest rates that was reached in late-2008, the Federal Reserve adopted a raft …

We study the transmission of monetary shocks across euro-area countries using a dynamic
factor model and high-frequency identification. We develop a methodology to assess the …

We study the asymmetric impact of US quantitative tightening (QT) and easing (QE) on
financial markets using high-frequency large-scale asset purchase surprises around FOMC …

This paper studies the profitability of market-neutral delta-hedged strategies trading the
mispricing of Euro Short Term Rate Overnight Index Swaps (Estr OIS) signalled by standard …