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Corporate Deposit-Rate Spread and Monetary Policy Transmission (2025). 

Abstract: Corporate deposits have expanded markedly over the past two decades, and the deposit spread—the policy rate minus the deposit rate—stayed at 300–400 bps for over a year in the recent tightening cycle. This paper develops a general-equilibrium model to study how the firm deposit spread affects the transmission of monetary policy to inflation and real activity. The financing mix between predetermined deposits and intertemporal borrowing implies a net debt-revaluation channel—inflation revalues the net nominal position tied to working capital—breaking monetary-policy neutrality under flexible prices. Incomplete pass-through on corporate deposits strengthens this mechanism and alters the sensitivity of inflation to the policy rate, uncovering a deposit-side cost channel. Micro-level evidence is provided by constructing disaggregated corporate deposit rates—merging firm-level data with regulatory bank filings—and showing that higher corporate deposit spreads reduce firms’ wage expenditure. Quantitatively, during 2023–2024 and in the run-up to the global financial crisis, the elevated spread implied a policy rate over 50 bps higher, added about 50–160 bps to cumulative inflation, and generated a cumulative output loss of about 1–2.5%, relative to a perfectly competitive benchmark, in the euro area and the US.

Work in progress

Banking derivatives and risk taking: the impact of accounting rules on macroeconomics (2025).

Abstract:  Do derivatives accounting rules matter for macroeconomic fluctuations? This paper studies how the largest quantitative difference in balance-sheet presentation between the US (GAAP) and the euro area (IFRS)—the offsetting (netting) of derivative assets and liabilities—affects macroeconomic fluctuations. US GAAP allows the largest banks to report substantially smaller balance sheets than under a gross presentation, relaxing regulatory constraints based on balance-sheet size. Using bank-level data, I document four stylised facts regarding the derivatives market: (i) the market value of the US derivatives market is highly concentrated among the top five banks; (ii) interest-rate derivatives dominate; (iii) large dealers exhibit persistently positive net fair values; and (iv) GAAP netting materially reduces reported total assets, lowering measured leverage and altering regulatory leverage-based ratios relative to gross exposures. I then develop a tractable model in which mark-to-market derivatives enter a regulatory leverage constraint, and GAAP netting relaxes this constraint by reducing reported assets, with implications for bank risk-taking and the transmission of shocks in the US.

Oil Shocks. Have the Conclusions Changed from the Main Structural VAR Models for the Oil Market? (2022) 

Abstract: The empirical SVAR models of Kilian (2009) and Kilian & Murphy (2012, 2014) are among the most widely used structural approaches to oil-market analysis. Recent contributions by Hamilton (2019) and Baumeister & Hamilton (2019, 2020) have raised concerns about the construction of a key data series used by Kilian (2009) and about the treatment of short-run oil-supply elasticity. This paper revisits these issues by re-estimating three models using (i) the original series, (ii) Kilian’s (2019) revised reconstruction, and (iii) the Hamilton–Baumeister (2019) monthly proxy. The sample is extended by more than a decade, and alternative definitions of the short-run supply elasticity are examined. The paper also analyses the implications of the structural decomposition of the real oil price for selected US macroeconomic aggregates. The main findings are: (i) the Kilian & Murphy (2012) specification exhibits identification problems when the sample is updated; (ii) conclusions about whether supply or demand shocks primarily drive the real price of oil depend crucially on how the short-run supply elasticity is defined; and (iii) the estimated effects of structural shocks on US macroeconomic aggregates vary markedly across models, raising concerns about which specification should guide business-cycle analysis and about whether tight elasticity bounds should be imposed before auxiliary restrictions are explored.