I am a 3rd-year economics PhD student at the University of Cambridge. My research interests include macroeconomic risk and uncertainty, monetary economics, and time series methods.

I am supervised by Chryssi Giannitsarou and Elisa Faraglia.

Contact information:

Faculty of Economics, Austin Robinson Building, Sidgwick Avenue,

Cambridge, CB3 9DD

ns751 [at] cam.ac.uk

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The Downside Risk Channel of Monetary Policy

Winner of the Cambridge Finance Best Student Paper Award 2022

Winner of the IAAE Best PhD Student Paper 2022

Winner of the QCGBF Young Economist Prize 2022

Draft here.

Coverage: Faculty of Economics

Abstract. This paper proposes a new transmission channel of monetary policy shocks to equity premia: Monetary shocks can affect the probability of bad outcomes for future macroeconomic growth and hence support equity prices beyond any effect on expected mean growth rates. To document this channel, I estimate a monthly index of downside risks to consumption growth. Downside consumption risk rises during recessions and contains information distinct from measures of risk aversion, uncertainty, or financial stress. A loosening in the monetary policy stance can significantly affect consumption downside risks in crisis times but has weak effects during normal times. Increases in downside risk predict higher future equity returns, in line with the disaster risk hypothesis. Consumption downside risk predicts stock markets in the aggregate and across a wide range of industry portfolios. More procyclical industries have a higher sensitivity to changes in downside risk.

Is the EU Money Market Fund Regulation fit for purpose? Lessons from the COVID-19 turmoil

(with Laura-Dona Capotă, Michael Grill, Luis Molestina Vivar, and Christian Weistroffer)

ECB Working Paper here.

Macroprudential Bulletin article here.

Abstract. The market turmoil in March 2020 highlighted key vulnerabilities in the EU money market fund (MMF) sector. This paper assesses the effectiveness of the EU’s regulatory framework from a financial stability perspective, based on a panel analysis of EU MMFs at a daily frequency. First, we find that investment in private debt assets exposes MMFs to liquidity risk. Second, we find that low volatility net asset value (LVNAV) funds, which invest in non-public debt assets while offering a stable NAV, face higher redemptions than other fund types. The risk of breaching the regulatory NAV limit may have incentivised outflows among some LVNAV investors in March 2020. Third, MMFs with lower levels of liquidity buffers use their buffers less than other funds, suggesting low levels of buffer usability in stress periods. Our findings suggest fragility in the EU MMF sector and call for a strengthened regulatory framework of private debt MMFs.

Ongoing work:

The Information Channel of Monetary Policy Shocks - Insights from Text Analysis (joint with Adrian Ochs)