Research

Working papers

Equity Duration and Monetary Policy
Single authored

Abstract: Equity duration plays a central role in the transmission of monetary policy to equity markets. Using dividend futures and empirical estimates of aggregate equity duration, I show that stock market reactions to monetary policy are stronger when equity duration is high. In the cross-section, variation in equity duration explains the heterogeneous sensitivity of U.S. stock returns to monetary policy across a broad set of firm characteristics, including dividend yield, market-to-book ratio, cash flow-to-price ratio, profitability, investment growth, and payout ratio. In contrast, differences in betas, size, or financial constraints do not account for this heterogeneity. An asset-pricing model in which heterogeneity stems solely from differences in cash flow maturity can reproduce these new empirical findings and clarifies the underlying duration channel.

Corporate Green Pledges
with Michael D. Bauer, Daniel Huber, and Ole Wilms
Revise-and-resubmit at Review of Financial Studies 

Abstract: We build a novel dataset of timestamped corporate decarbonization commitments— green pledges—for U.S. public firms by classifying news articles with a large language model and human validation. About 11% of firms have announced a pledge, and these firms tends to be larger and browner than other firms. Announcements of green pledges significantly and persistently raise stock prices, consistent with a reduction in the carbon premium. Green pledges also predict a sizable decline in future carbon emissions and emission intensities. The effects on stock prices and emissions are strongest for firms in brown industries. Green pledges thus appear credible, convey relevant new information to investors, and provide meaningful financial incentives to decarbonize.

Monetary Policy Transmission to Investment: Evidence from a Survey on Enterprise Finance

with Annalisa Ferrando and Sara Lamboglia

Abstract: We study how survey-based measures of funding needs and availability influence the transmission of euro area monetary policy to investment. We first provide evidence that funding needs are primarily driven by fundamentals, while perceived funding availability captures financial conditions. Using these two measures, we assess how the effectiveness of monetary policy varies with fundamentals and financial conditions. Our results indicate that monetary policy is most effective when firms’ fundamentals are strong. In contrast, firms with favorable financial conditions exhibit a more muted investment response to monetary policy. By combining these two survey-based measures, we construct an indicator of financial constraints and show that financially constrained firms are more sensitive to monetary policy. These findings offer new light on the transmission of monetary policy to corporate investment, emphasizing not only the role of financial conditions, but also the importance of fundamentals, which are beyond the direct influence of central banks.

Publications

Michael D. Bauer, Eric Offner, Glenn D. Rudebusch (2025). Green Stocks and Monetary Policy Shocks: Evidence from Europe. European Economic Review.

Michael D. Bauer, Eric Offner, Glenn D. Rudebusch (2024). The Effect of U.S. Climate Policy on Financial Markets: An Event Study of the Inflation Reduction Act. Advances in Econometrics.

Francesco Audrino and Eric Offner (2024). The Impact of Macroeconomic News Sentiment on Interest Rates. International Review of Financial Analysis.

Work in Progress

Crowding Out Corporate Bonds: Government Debt Supply and Currency Choice
with Filippo Busetto, Anna Carruthers, and Andras Lengyel