Research

Institutional Investors and House Prices 

with Giorgia De Nora, Margherita Giuzio, Ellen Ryan, and Manuela Storz

SSRN draft | ECB Working Paper 

Institutional investors are playing an increasingly important role in residential real estate markets. Their actions may therefore impact aggregate market outcomes and change how and which macro-financial shocks transmit to house prices. We show that a demand shock from institutional investors has a positive and persistent effect on aggregate euro area house price growth and mortgage lending volumes. Institutional investors also increase their purchase activity following a loosening of monetary policy. Exploiting regional heterogeneity across eight euro area countries, we show that institutional investors weaken the link between house price growth and local economic fundamentals such as wages, but strengthen the sensitivity to monetary policy and financial market developments. 

• • Preparing journal submission by 2026 Q1.

  • Media coverage and outreach: The Guardian, ECB Blog, SUERF, European Parliament

  • Part of ESCB ChaMP network production.

  • Presentations: ECB Financial Stability Seminar (2023), Central Bank of Ireland Economics & Statistics Seminar (2023), Narodowy Bank Polsky and SGH Warsaw School of Economics "Recent Trends in the Real Estate Market and Its Analysis" Conference (2023)*, New York Fed/ECB Non-Bank Financial Intermediation Workshop (2023)*, Irish Postgraduate and Early Career Economics Workshop (2024), International Association of Applied Econometrics Annual Conference (2024), EEA-ESEM Congress (2024)*, Zurich Tri-City Bridge Workshop (2025), Naples International Conference in Financial Sciences (2025), University College Dublin (2025), AFA Annual Meeting PhD Poster Session (2026) and University of Zurich (2026, scheduled).

Mortgage Loan Rates and the Defaults of Variable Rate Mortgages 

with Friederike Fourné and Barbara Jarmulska

ECB Working Paper

Using a granular database of variable rate euro area loans and analysing their defaults between 2014 and 2019, we show that the effect of interest rate changes on mortgage defaults is highly non-linear. First, we find that the risk associated with higher contemporaneous interest rates is concentrated among borrowers who got the loan at ultra-low interest rates, their default probability being 2.6 times higher than our sample average. Second, we show that the effect of interest rate changes on the default probability is asymmetric: interest rate cuts have rather small effects, whereas increases significantly raise default probabilities. Finally, we show that the magnitude of the effect of an interest rate increase depends on the history of net interest rate changes, with a consecutive interest rate increase having a 3 times stronger impact on the default probability than an increase following an interest rate decrease.

• • Preparing journal submission by 2026 Q2.

  • Awards: ESRB Ieke van den Burg Prize Runner-Up.

  • Presentations: ifo Institute Internal Seminar (2024)*, Bavarian Macro Day (2024)*, Central Bank of Ireland Financial Stability Research Session (2024), Young Irish Economists Seminar (2024), ECB Financial Stability Seminar (2024), and International Association of Applied Econometrics Annual Conference (2025) 

Health Disasters and Life Cycle Risk-Taking 

with Carolina Fugazza

Collegio Carlo Alberto Notebook

Medical expenditures rise sharply with age and expose older households to rare but potentially catastrophic out-of-pocket costs, even in the presence of public insurance. A central empirical regularity in household finance is that the share of financial wealth held in risky assets, conditional on stock market participation, remains roughly flat throughout retirement, in contrast to standard CRRA life-cycle models without bequests that predict rising risky shares as wealth is decumulated. We develop a life-cycle portfolio-choice model that rationalizes this pattern through idiosyncratic health disasters in retirement. In the model, rare, persistent health shocks generate substantial late-life out-of-pocket spending and reduce effective retirement income. Calibrated to US evidence on the level, skewness, and persistence of late-life medical expenditures, the model reproduces moderate and nearly flat risky-asset shares among older investors without bequest motives or other frictions. Our model implies that tail medical risks are an important determinant of retirement portfolio choice and the demand for insurance and retirement products.

• • New draft expected 2026 Q2.

  • Presentations: NETSPAR International Pension Workshop (2024).