I am a Lecturer (Assistant Professor) in Finance at the Department of Finance, University of Technology Sydney (UTS). I completed my PhD at the Department of Finance, Copenhagen Business School (CBS) in 2024.

My primary research area is empirical financial intermediation, monetary policy, and macrofinance, with a particular focus on the syndicated corporate loan market.

Published Research

1. Corporate Loan Spreads and Economic Activity: with Anthony Saunders, Sascha Steffen, Daniel Streitz, Review of Financial Studies, [Published version] [SSRN]

   Abstract: We investigate the predictive power of loan spreads for forecasting business cycles, specifically focusing on more constrained, intermediary-reliant firms. We introduce a novel loan-market-based credit spread constructed using secondary corporate loanmarket prices over the 1999 to 2023 period. Loan spreads significantly enhance the prediction of macroeconomic outcomes, outperforming other credit-spread indicators. The paper also explores the underlying mechanisms, differentiating between borrower fundamentals and financial frictions, with evidence suggesting that supply-side frictions are a decisive factor in loan spreads’ forecasting ability.

Working Papers

1. Disagreement in Perceptions of Monetary Policy

   Abstract: Professional forecasts of U.S. monetary policy display persistent and large cross-sectional dispersion. What drives this disagreement? I distinguish between two sources: (i) heterogeneity in macroeconomic outlooks and (ii) heterogeneity in perceived monetary policy rules. Using monthly Blue Chip Financial Forecasts (BCFF) panels, I estimate forecaster- and time-specific perceived policy rules. I construct a new disagreement measure that isolates cross-sectional dispersion in perceived policy coefficients. I find disagreement is time-varying and systematic: it rises during shifts in policy frameworks. Using a counterfactual that holds macro outlooks fixed across forecasters, I show that a sizable fraction of funds rate forecast dispersion reflects disagreement about the policy rule, not just about the economy. Finally, I document that higher policy-rule disagreement amplifies asset-price sensitivity to FOMC announcements.

2. Option Hedging Flows Around Volatility Spikes: with Julian Terstegge and Paul Whelan

   Abstract: We provide evidence that changes in equity price uncertainty generate predictable flows in equity futures, that we link to the hedging activities of equity options dealers. For the market of S\&P 500 options, we find that (i) due to their inventory of options, option dealers are on average “long vanna,” i.e., an increase in implied volatility requires selling of equities to maintain (delta) hedges, (ii) dealer vanna predicts the high-frequency correlation between S\&P 500 returns and VIX changes, and (iii) dealer vanna predicts S\&P 500 returns around economic announcements. Finding (iii) emerges since, by their nature, economic announcements involve changes in uncertainty, thus prompting derivatives dealers to trade in stocks to adjust their hedges. We discuss implications for the validity of event studies.

3. The (social) cost of strategic default: with Sascha Steffen and Daniel Streitz

Other Writing

1. What does the Mineral Resources crisis tell us about the state of corporate governance in Australia? [The Conversation]