Job Market Paper
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Who Benefits from Capital Market Integration in a Monetary Union?
Abstract: I study how capital market integration redistributes risk and welfare in a monetary union hit by asymmetric shocks. Using microdata on household portfolios and macro-data on cross-border holdings, I document large disparities in financial participation within countries and persistent asymmetries in portfolio diversification between them. To assess the distributional consequences of limited integration, I develop a two-country monetary-union model with heterogeneity in participation and country-specific portfolio structures. Integration operates through two channels: a diversification channel that insures Savers by stabilizing financial income, and a reallocation channel that shifts capital toward higher returns, lowering real wages and amplifying consumption losses for Non-Savers where negative shocks occur. These mechanisms overturn the representative-agent prediction that deeper integration unambiguously enhances risk sharing. Calibrated to 2010 euro area data, the model shows that integration stabilizes aggregates but redistributes welfare unevenly across and within countries. Allowing for endogenous participation amplifies domestic asymmetries, weakens cross-country spillovers, and concentrates exposure to shocks among financially constrained households.
Presentations: University of Chicago Workshop on Climate, Macroeconomic Uncertainty and Policy; GAINS; Heterogenous Agents in Macroeconomic Models (poster session); 14th Macro Summer Workshop (poster session); ECB DG-Research Internal Seminar; ECB Research Task-Force on Heterogeneity Workshop; Journal of International Economics Summer School (poster session); MFR Summer Session (poster session); ECB Mini-Workshop on Household Economics; Banque de France Internal Seminar; 20th Doctorissimes (PSE, France) ; ESADE Macro Meetings 2025 (Spain); 2nd Beta Workshop on DSGE (France); T2M (CREST, France); Trans-Atlantic Doctoral Conference (London Business School, UK); HEC Economics PhD Conference (France); Vigo Workshop on Dynamic Macroeconomics (Spain); Ph.D. Dissertation Fellows Workshop, Federal Reserve Bank of St. Louis (USA); EEA 2025 (France); Can Heterogeneous Agent Models Be Useful for Central Bankers? How? (Bank of England, UK) (poster session).
Previously circulated under "International risk sharing and inequality transmission: an application to the euro area" and "Who Benefits from Capital Market Integration in the Euro Area?".
Working Papers
Commodity Prices and Sovereign Risk
with Diego de Sousa Rodrigues (UQAM) and Venance Riblier (Sciences Po & UC Berkeley)
Abstract: Swings in global commodity prices are often associated with higher sovereign risk. Using a shift-share strategy, we show that import-price shocks raise sovereign spreads and reduce borrowing, while export-price shocks have a smaller effect, and tend to reduce spreads. To explain these patterns, we develop a sovereign default model in which a common factor drives global commodity prices. A global price shocks affects sovereign risk through two channels: a price-index channel that raises consumption costs, and a terms-of-trade income channel that shifts real income. Each country is affected differently depending on its trade position. For importers of goods driving global prices, a surge in global prices raises consumption cost more than real income, increasing default incentives and sovereign spreads.
Presentations: 9th IMAC Workshop; Internal Bank of England seminar (by co-author); Bordeaux School of Economics; 2024 ADRES Job Market Conference; RIEF Network 2024; DebtCon7 Emerging Scholars Session; Banque de France Internal Seminar.
Previously circulated under the name "Food crisis and debt distress".
Geopolitical Risk and Inflation Heterogeneity in the Euro Area
with Michele Cattani (University of Pavia) and Alejandro Van der Ghote (European Central Bank)
Abstract: Using quarterly data for nineteen euro area countries since 2000, we show that geopolitical shocks raise consumer and producer prices, with stronger and more persistent effects on core inflation. War-related shocks generate inflation through supply-chain disruptions and trade linkages, whereas terrorism-related shocks produce mild, short-lived disinflationary effects. The impact is larger in more open and import-dependent economies. To interpret these findings, we develop a small open economy model and a monetary union model that together reveal how trade exposure, country size, and a common monetary policy shape the transmission of external shocks. In the union, larger and more integrated members amplify spillovers, while smaller or less connected economies remain insulated. Geopolitical risk thus emerges as a structural source of inflationary pressure and heterogeneity, complicating monetary policy in an increasingly fragmented global economy.
Presentation: Sciences Po Internal Seminar.
Wishing to Work More? Preferences, Constraints, and Hours Worked
with Mattis Gilbert (Sciences Po) and Nicolas Ghio (Sciences Po)
Abstract: Using data from the French Labor Force Survey, we show that 21.2% of workers experience an hours gap, meaning they work fewer hours than they would prefer at their current wage. This stands in sharp contrast to recent evidence from Germany, where most workers report being overworked. In France, hours gaps are concentrated among low-income part-time workers and remain stable over time. We argue that cross-country differences in labor market institutions — including minimum wage policies, working-time regulations, and unemployment insurance — are central to shaping both realized hours and the distribution of hours gaps. While hours gaps appear inefficient in standard labor supply models, they may reflect constrained-efficient outcomes in the presence of frictions. Understanding the mechanisms that generate hours gaps is crucial for evaluating the welfare effects of hours-based policy interventions.
Presentation: Sciences Po Internal Seminar.
Work in Progress
Time-Varying Dispersion of Mortgage Rates, with Tim Seida (Northwestern University)
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