Research 

Under Review or Revision

• Long-run Uncovered Interest Parity in Emerging Markets (Revise & Resubmit, Journal of Monetary Economics)

with Alessandro Rebucci, Giorgio Valente, and Nicolo Capirone.

Working Papers

• Asset Purchase Programs and the Exchange Rate 

• Geopolitical Risk and Capital Flows: A Structural Regime-Switching Investigation"

with Alexandre Lauwers and Yasin Mimir.

Abstract: This paper quantitatively investigates the implications of geopolitical risk for capital flows into and out of euro area countries, with a particular focus on the financial transmission channel of geopolitical risk. We first document euro area countries' cross-border investment positions with partners of different geopolitical alignments. While the euro area appears generally resilient, its financial exposures to geopolitically distant countries present pockets of vulnerabilities if geopolitical tensions escalate. We then assess the relevance of geopolitical factors through two distinct lenses. First, at the bilateral level, gravity regression models suggest that investors allocate smaller shares of investment to foreign partners with whom they have less agreement on foreign policy issues. This is particularly evident for portfolio investments involving euro area countries, suggesting that increasing geopolitical distance could trigger portfolio flow reversals. Second, using Bayesian vector-autoregression models with endogenous regime shifts in geopolitical tensions, we evaluate the impact of geopolitical risk shocks and the ensuing rise in global financial uncertainty on portfolio flows between the euro area and the rest of the world. We find some evidence of the euro area's "safe-haven" characteristics, but capital inflows to the euro area may vary across asset classes and geopolitical risk regimes. When geopolitical tensions are elevated, there is a higher risk of portfolio outflows from the euro area.

• Exchange Rate Responses to Geopolitical Risk and Trade Policy Uncertainty: Cross-Country Evidence"

with Nino Kodua and Jionglin (Andy) Zheng.

Abstract: This paper examines how exchange rates respond to geopolitical risk (GPR) and trade policy uncertainty (TPU) shocks using a panel local projection framework. We analyze monthly bilateral exchange rates of advanced economy and most freely floating emerging market currencies against the U.S. dollar from 1985 to 2025. We document two main findings. First, large global GPR shocks, defined as those above the 90th percentile, exhibit threshold effects, causing advanced economy currencies to depreciate against the U.S. dollar more strongly and more significantly than those of emerging markets. In contrast, country-specific GPR shocks trigger pronounced depreciation in emerging market currencies, while responses in advanced economies are delayed and less statistically significant. Second, TPU shocks above the same threshold lead to significant depreciation against the U.S. dollar across both country groups, with larger effects on emerging markets. Our results highlight the non-linearity of GPR and TPU shocks and their differential impacts across country groups.

Latest Draft 

Non-academic publications

• Analytical box in Euro Area Stability Watch 2026, European Stability Mechanism

"Sovereign Bond Flows amid Geopolitical Risk and Market Volatility”  (with Alexandre Lauwers and Yasin Mimir)

This box takes a historical perspective on foreign investors’ inflows into euro area and US government securities during periods of geopolitical and financial stress. International investors play a sizeable role in the world’s two largest sovereign debt markets, holding about a third of US Treasuries and a quarter of euro area debt. More recently, foreign demand for government bonds has come under closer scrutiny. Recent subdued inflows or sell-offs in the US have prompted questions about its safe‑haven status. In the euro area, the focus has shifted to renewed foreign participation amid the ECB’s quantitative tightening. This box takes a step back to assess, from a long-term perspective, how foreign-investor demand for sovereigns has typically responded to global stress, abstracting from price dynamics and broader considerations about the global role of the US dollar and euro.

• Blog post on Center for Financial Economics

''Financial-Stability QE Can Appreciate the Exchange Rate'' (with Alessandro Rebucci). Johns Hopkins University (2022)

On Wednesday September 28, 2022 the Bank of England announced a short-term Gilt purchase program to bail out the UK pension system. The 30-year yield tanked, UK pension funds were rescued, and, quite surprisingly, the British pound appreciated sharply against the US dollar. This note argues that financial stability QE is different than monetary policy QE and can appreciate the exchange rate if it squeezes a buildup of levered intermediaries’ short positions against a currency.

• Academic Community Contributions

Fišar, M., Greiner, B., Huber, C., Katok, E., Ozkes, A., and the Management Science Reproducibility Collaboration (2023). Reproducibility in Management Science. Working Paper.