Twin Stars: Neutral Rates and Currency Risk Premiawith Bruno Feunou and Ingomar KrohnNo-arbitrage ties the currency risk premium to the gap between two countries’ neutral rates — carry trades paid less as those gaps narrowed, and could pay again should they widen.PDFSSRN
What do Bond Investors Learn from Macroeconomic News?
with Bruno Feunou and Guillaume Roussellet Revise and resubmit, Journal of FinanceMacroeconomic news appears to move yields through the term premium rather than expectations, which suggests clearer communication could lower financing costs across the economy.PDFSSRN
Do S&P 500 Options Increase Market Volatility? Evidence from 0DTEs
with Greg Adams, Chukwuma Dim, Bjørn Eraker, Chay Ornthanalai and Grigory Vilkov Revise and resubmit, Review of Financial StudiesZero-day options are widely suspected of destabilising the market; they may in fact dampen it, through positions opened well before expiry day.PDFSSRN
Intermediary Leverage Shocks and Funding Conditions
with René Garcia and Sermin Gungor Journal of Finance, 80(1), 2025
Dealer leverage rises on both demand and supply shocks, but the two push liquidity and the price of risk in opposite directions — separating them could resolve existing puzzles.PDFJournalSSRN
Secular Economic Changes and Bond Yields
with Bruno Feunou Review of Economics and Statistics, 105(2), 408–424, 2023
In times before inflation was anchored, nominal shocks lifted output, inflation and bond yields together. Afterwards, barely at all — a contrast worth revisiting whenever anchoring looks less secure.PDFJournalSSRN
Tractable Term Structure Models
with Bruno Feunou, Anh Le and Christian T. Lundblad Management Science, 2022
Keeping modelled interest rates positive usually costs a model its flexibility; this framework may avoid the trade-off, and fits bond Sharpe ratios better for it.PDFJournalSSRN
What Model for the Target Rate?
with Bruno Feunou and Jianjian Jin Studies in Nonlinear Dynamics & Econometrics, 25(1), 2021
The policy rate has a floor and moves in steps. Building in those two facts could improve forecasts, especially near the floor.PDFJournal
Measuring Limits of Arbitrage in Fixed-Income Markets
with Guillaume Nolin Journal of Financial Research, 42(3), 525–552, 2019
Identical bonds trade at different prices. A model-free measure of that gap may track priced risk better than estimated alternatives.PDFJournalData
Bond Risk Premia and Gaussian Term Structure Models
with Bruno Feunou Management Science, 2018
Standard models cannot reproduce what lagged forward rates predict; letting yields depend on their own history could close the gap, and is easier to estimate.PDFJournal
The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness
with Bruno Feunou and Roméo Tédongap Review of Derivatives Research, 20(2), 167–202, 2017
The gap between historical and option-implied volatility may only predict the equity premium once skewness is taken into account.PDFJournalSSRN
Non-Markov Gaussian Term Structure Models: The Case of Inflation
with Bruno Feunou Review of Finance, 18(5), 1953–2001, 2014
Yields may span expected inflation rather than inflation itself — a distinction standard models cannot make.PDFJournal
Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty
with Bruno Feunou, Abderrahim Taamouti and Roméo Tédongap Review of Finance, 18(1), 219–269, 2014
Option prices across maturities could reveal the risk factors that asset pricing models assume but cannot observe.PDFJournal
Bond Liquidity Premia
with René Garcia Review of Financial Studies, 25(4), 1207–1254, 2012
What funding is worth may be read off the Treasury curve — and it appears to push Treasury and corporate risk premia in opposite directions.PDFJournalData