Welcome to my website! I’m a senior economist in the monetary policy and financial research department of Banque de France, the French central bank. I held several positions in core central bank activities at Banque de France and at the ECB, at the crossroads between monetary policy operations, policy briefing and research. I hold a PhD in Economics from Paris 1 Pantheon-Sorbonne University. My research focuses on monetary policy implementation, asset pricing and portfolio allocation. I mainly work on the design and quantitative assessment of unconventional monetary policies, their effects on bond prices, repo rates and portfolio allocations. Recently, I worked on sustainable finance and the impact of climate-related disclosure.
Papers and presentation materials made available on this website reflect my sole opinions and those of my coauthors, and do not express the views of my institution.
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PhD in Economics, 2014-2018
Paris 1 Panthéon-Sorbonne
MRes International macro and finance, 2009
Bordeaux IV University
Master in public affairs, 2009
Sciences Po Bordeaux
Using security-level holdings for all euro-area investors, we study portfolio rebalancing during the quantitative easing program from March 2015 to December 2017. Foreign investors outside the euro area accommodated most of the Eurosystem’s pur- chases. Duration, government credit, and corporate credit risk did not get concentrated in particular regions or investor sectors. We estimate a demand system for government bonds by instrumental variables to relate portfolio rebalancing to yield changes. Government bond yields decreased by 65 basis points on average, and this estimate varies from 38 to 83 basis points across countries.
Most short-term interest rates in the Euro area are below the European Central Bank deposit facility rate, the rate at which the central bank remunerates excess reserves. This unexpected development coincided with the start of the Public Sector Purchase Program (PSPP). In this paper, we explore empirically the interactions between the PSPP and repo rates. We document different channels through which asset purchases may affect them. Using proprietary data from PSPP purchases and repo transactions for specific (“special") securities, we assess the scarcity channel of PSPP and its impact on repo rates. We estimate that purchasing 1 percent of a bond outstanding is associated with a decline of its repo rate of 0.78 bps.