Mark Kerssenfischer

Outages in sovereign bond markets

with Caspar Helmus · ECB Working Paper, 2024 (revised December 2025).

We exploit outages in sovereign bond markets as natural experiments. When the euro area futures market goes down, trading volumes on the cash market decline, liquidity evaporates, and prices deviate from fundamental values. Micro-level evidence reveals two mechanisms: the loss of a hedging instrument reduces dealers’ intermediation capacity, and the missing benchmark price widens information asymmetries for clients. Outages on the cash market, in contrast, merely reduce futures trading activity, implying one-way price formation and liquidity provision. Our findings highlight the trade-offs of market centralization, support cross-asset learning over symmetric arbitrage models, and demonstrate how intermediaries impose limits to arbitrage.

Paper (PDF) Slides (London 2025) Slides (EFA) Slides (Mexico City) Poster BibTeX

Discussions of this paper: Gabor Pinter (BIS, EFA 2024), Martin Scheicher (ECB), Davide Tomio.

What moves markets?

with Maik Schmeling · Journal of Monetary Economics, 145, 103560, 2024.

What share of asset price movements is driven by news? We build a large, time-stamped event database covering scheduled macro news as well as unscheduled events and find that news account for up to 35% of bond and stock price movements in the United States and euro area since 2002. This suggests that a much larger share of return variation can be traced back to observable news than previously thought. Moreover, we provide stylized facts about the type of news that matter most for asset prices, spillover effects between the US and euro area, and the predictability of monetary policy shocks.

Preprint (PDF) Slides Project page Event database (CSV) DOI BibTeX

Information effects of euro area monetary policy

Economics Letters, 216, 110570, 2022.

This paper provides evidence for central bank information effects in the euro area. ECB announcements seem to convey information not only about monetary policy, but also about economic fundamentals. I separate these “information surprises” from “pure policy surprises” via sign restrictions and find intuitive effects of both surprises on a wide set of financial market prices, survey expectations and macroeconomic aggregates. Both surprise series are updated and made publicly available (see the Data section).

Paper (PDF) Appendix Slides DOI BibTeX

The response of asset prices to monetary policy shocks: Stronger than thought

with Lucia Alessi · Journal of Applied Econometrics, 34(5), 661–672, 2019.

Standard macroeconomic theory predicts rapid responses of asset prices to monetary policy shocks. Small-scale VARs, however, often find sluggish and insignificant impact effects. Using the same high-frequency instrument to identify monetary policy shocks, we show that a large-scale Dynamic Factor Model finds overall stronger and quicker asset price reactions compared to a benchmark VAR, both on euro area and US data. Our results suggest that incorporating a sufficiently large information set is crucial to estimate monetary policy effects.

Paper (PDF) DOI BibTeX

The puzzling effects of monetary policy in VARs: Invalid identification or missing information?

Journal of Applied Econometrics, 34(1), 18–25, 2019.

Contractionary monetary policy shocks estimated from small-scale VARs often produce puzzles: the price puzzle, delayed overshooting of exchange rates, and muted credit-spread responses. I show that these puzzles are driven less by an invalid (recursive) identification scheme than by a missing-information problem, and that incorporating a large information set via a Dynamic Factor Model resolves them.

Slides DOI BibTeX