Research
Research statement
My aim is to use state-of-the-art empirical techniques to conduct high-quality research of which the outcomes have a clear policy relevance. During my years as a PhD student, I have specialized in multiple empirical techniques and have gained experience in working with very large datasets such as credit registry data. I use these skills to fill important gaps in the literature on macroprudential policy effectiveness, monetary policy transmission, and financial stability.
During the next years, I plan to extend my research agenda, publish my ongoing work in highly-esteemed academic journals, and continue to communicate my findings to the relevant actors. Using my skills and background in both empirical macroeconomics and financial intermediation, I aim to create synergies between different research areas and contribute to the research and policy debate.
In my job market paper, I investigate how banks' interest rate risk exposure impacts the transmission of monetary policy through bank lending using granular euro area credit registry data (see below). I am willing to discuss and present any of my projects, depending of the relevance for specific positions.
Job market paper
Are low interest rates firing back? Interest rate risk in the banking book and bank lending in a rising interest rate environment (Link to Working Paper)
We match granular supervisory and credit register data to assess the implications of banks’ exposure to interest rate risk on the monetary policy transmission to bank lending supply in the euro area. We exploit the largest and swiftest increase in interest rates since the creation of the euro and find that banks with a higher exposure to interest rate risk, i.e., with a larger duration gap after accounting for hedging, curtailed corporate lending more than their peers. Ceteris paribus, greater interest rate risk entails closer supervisory scrutiny and potential capital surcharges in the short term, and lower expected profitability and capital accumulation in the medium to long term. We then proceed to dissect banks’ credit allocation and find that banks with higher net duration reshuffled their loan portfolio away from long-term loans in an attempt to limit the increase in interest rate risk and targeted their lending contraction to small and micro firms. Firms exposed to banks with a larger exposure to interest rate risk were unable to fully rebalance their borrowing needs with other lenders, thus experiencing a relatively larger decrease in total borrowing during the monetary tightening episode.
Publications
Coulier, L., & De Schryder, S. (2024). Assessing the effects of borrower-based macroprudential policy on credit in the EU using intensity-based indices. Journal of International Money and Finance, 142, 103022. https://doi.org/10.1016/j.jimonfin.2024.103022
Work in progress
Working papers
Evaluating heterogeneous effects of housing-sector-specific macroprudential policy tools on Belgian house prices - with Selien De Schryder. Project presented on the NBB Colloquium on Household heterogeneity and policy relevance (October 2022) and the 5th ECB/IMF Macroprudential Policy and Research conference. Link to NBB Working Paper (Last update: October 2022).
Are low interest rates firing back? Interest rate risk in the banking book and bank lending in a rising interest rate environment - with Cosimo Pancaro and Alessio Reghezza. Projected presented at the Inauguaral conference on Challenges for Monetary Policy Transmission in a Changing World (ChaMP). Watch the presentation here. Link to ECB Working Paper (Last update: July 2024)
Pushing the Limit: How Borrowers Tackle the Belgian LTV limit? - with Selien De Schryder, Milan van den Heuvel and Tobias Verlaeckt
Ongoing work
How do banks manage interest rate risk in the banking book? The role of modelling assumptions - with Cosimo Pancaro, Livia Pancotto, and Alessio Reghezza
The real effects of increased bank profitability during a monetary tightening episode - with Cosimo Pancaro and Alessio Reghezza