Quentin Vandeweyer

Research

1. The Central Bank's Balance Sheet and Treasury Market Disruptions

   with Adrien d'Avernas and Damon Petersen

   ForthcomingThe Journal of Finance·Internet appendix·ECB Working Paper No. 3066 (with additional results)

   Abstract

   We study how banking regulation and the central bank balance sheet jointly influence Treasury market fragility. In a dynamic general equilibrium model, leverage-ratio requirements push Treasuries from banks to unregulated hedge funds that arbitrage the cash-futures basis, while intraday reserve regulations constrain banks' repo lending to hedge funds when repo funding is stressed. As a result, the likelihood and severity of disruptions—and, via hedge funds' compensation for liquidity risk, the cash-futures basis—depend on the size of the central bank's balance sheet and the expected duration of shocks.

2. The Implications of CIP Deviations for International Capital Flows

   with Christian Kubitza and Jean-David Sigaux

   ForthcomingThe Journal of Finance

   Abstract

   We study how deviations from covered interest rate parity affect international capital flows using novel data that combine euro-area FX derivatives with securities holdings statistics. Non-bank investors hedge nearly half of their USD exposures, primarily with short-term derivatives, creating a significant maturity mismatch with their bond holdings. Consistent with a currency-hedging channel, USD bond holdings decline following a widening of the USD–EUR cross-currency basis, especially for investors with larger hedging rollover needs. These bond-demand shifts significantly affect U.S. and euro-area bond prices. Our findings establish a new determinant of international capital flows with important consequences for financial stability.

3. Can Stablecoins Be Stable?

   with Adrien d'Avernas and Vincent Maurin

   ForthcomingManagement Science (published online May 2026)·Working paper version

   Abstract

   This paper provides a general model of stablecoins, cryptocurrencies pegged to a traditional currency. We characterize the optimal design of a stablecoin protocol that generates seigniorage fees from issuance. We use this framework to assess the ability of various protocol designs to maintain the peg. Our model rationalizes algorithmic backing of stablecoins but highlights its greater fragility relative to collateralization. Immutable smart contracts improve stability because the issuer suffers from a commitment problem. Even under full collateralization, promises to repurchase stablecoins when demand drops are not credible. Alternatively, the protocol can restore commitment by decentralizing issuance, and this highlights a new benefit of DeFi protocols.

4. Discount Factors and Monetary Policy: Evidence from Dual-Listed Stocks

   with Minghao Yang and Constantine Yannelis

   PublishedJournal of Financial Economics, 2026, 175: 104190·Working paper version

   Abstract

   This paper studies the transmission of monetary policy to the stock market through investors' discount factors. To isolate this channel, we investigate the effect of US monetary policy surprises on the ratio of prices of the same stock listed simultaneously in Hong Kong and Mainland China. We identify a strong discount rate channel driven exclusively by cycle-amplifying surprises, defined as rate cuts during easing cycles and surprise hikes during tightening cycles. A 100 basis point of such cycle-amplifying surprise induces a 30 basis point change in the price ratio within five days.

5. Intraday Liquidity and Money Market Dislocations

   with Adrien d'Avernas and Baiyang Han

   PublishedManagement Science, 2025, 71(12): 10740–10752·Working paper version

   Abstract

   This paper proposes a new model of monetary policy implementation to account for two key developments: (i) the introduction of intraday liquidity requirements and (ii) the decreasing relevance of the federal funds market in favor of repurchase agreement (repo) markets with nonbank participants. Our paper studies how liquidity requirements prevent banks from arbitraging between the fed funds and repo markets and generate large repo spikes. We propose a simple measure of excess intraday reserves. Consistent with our theory, this metric is close to zero in 2019Q2, when U.S. repo markets experienced a spike of 400 basis points.

6. Treasury Bill Shortages and the Pricing of Short-Term Assets

   with Adrien d'Avernas

   PublishedThe Journal of Finance, 2024, 79(6): 4083–4141·Internet appendix

   Abstract

   We propose a model of post-Great Financial Crisis (GFC) money markets and monetary policy implementation. In our framework, capital regulation may deter banks from intermediating liquidity derived from holding reserves to shadow banks. Consequently, money markets can be segmented, and the scarcity of Treasury bills available to shadow banks is the main driver of short-term spreads. In this regime, open market operations have an inverse effect on net liquidity provision when swapping ample reserves for scarce T-bills or repos. Our model quantitatively accounts for post-2010 time series for repo rates, T-bill yields, and the Fed's reverse repo facility usage.

7. Equilibrium in a DeFi Lending Market

   with Thomas Rivera and Fahad Saleh

   Working paperRevise and resubmit, Management Science

   Abstract

   We provide an economic model of a Decentralized Lending Protocol (DLP) and analyze its novel pricing mechanism. We show that the mechanism admits a unique equilibrium under general conditions, allowing for risk aversion and incomplete information. Additionally, we demonstrate that when borrowers and lenders are fully informed about the state of the credit market, then the DLP can generate approximately efficient interest rates even if the DLP pricing mechanism cannot condition on the state of the credit market. In contrast, we show that if users face uncertainty about the state of the credit market, then any DLP pricing mechanism must generate interest rates that are inefficient. Given these findings, our results highlight that the key inefficiency of the DLP pricing mechanism arises from uncertainty faced by DLP users.

8. The Fiscal Cost of Quantitative Easing

   with Adrien d'Avernas, Antoine Hubert de Fraisse and Liming Ning

   Working paperJuly 2026

   Abstract

   Quantitative easing (QE) shortens the duration of the consolidated public balance sheet, swapping long-term government bonds for short, floating-rate liabilities and shifting interest-rate risk onto taxpayers. In segmented bond markets this transfer can support real activity, but the state-contingent losses must be financed with distortionary taxes. We quantify the ex ante fiscal-efficiency cost by mapping forecasted QE-portfolio returns into expected tax deadweight losses. Across U.S. QE programs, the expected cost is 0.35% of GDP—below published output-effect estimates—with a conservative upper bound of 1.35%. Yet the distribution is wide: across programs, 95th-percentile losses sum to 6.65% of GDP.

Teaching

• Mergers & Acquisitions

  Masters in Financial Analysis, London Business School · 2026–27

• Private Equity

  Masters in Financial Analysis, London Business School · 2026–27