Working papers:
Clearinghouse-Five: determinants of voluntary clearing in European derivatives markets
In the European Union, there is obligation to centrally clear certain credit and interest rate derivative contracts, while other trades can be voluntarily cleared through a central counterparty if the parties to the contract wish to clear it thus. I use a dataset of all newly entered into derivatives contracts in the European Union between March 2016 and June 2017 to show the extent to which central clearing is being used for derivatives belonging to all five major asset classes, and to determine which characteristics of the contracts not under the clearing obligation affect the likelihood they would be centrally cleared on a voluntary basis. I show that currently only around 20% of credit and 40% of interest rate derivatives are centrally cleared, while equity, foreign exchange, and commodity derivatives are barely centrally cleared. I also show that there are significant effects of scale connected with central clearing, both in terms of previous clearing activity of the counterparty and the notional of the specific contract. Finally, I show that various characteristics of the contract, such as the maturity and the type of counterparty involved, also have significant impact on the probability of a trade being centrally cleared, but these effects tend to be ambiguous and depend on the specific combination of factors.
Information and liquidity linkages in ETFs and underlying markets (with P. Katsoulis)
We find that exchange-traded funds (ETFs) have differential effects on the underlying equities and corporate debt securities. First, ETFs propagate liquidity shocks to equities but not to debt securities. Second, ETF flows affect the underlying equities' returns to a much higher degree than debt securities' returns. Third, higher ETF ownership increases equities' volatility but decreases debt securities' volatility. The results are consistent with the view that the higher accessibility of equities facilitates the formation of strong information links with ETFs and encourages arbitrage activity, which makes equities' prices sensitive to ETF demand shocks and creates the potential for illiquidity contagion when this link is disrupted. In contrast, the hard-to-access nature of corporate debt securities results in weak information links with ETFs and inhibits arbitrage activity which reduces commonalities between the two markets.
Policy publications:
Securitisation Special Purpose Entities, Bank Sponsors and Derivatives (with N. Killeen)
Shock amplification in an interconnected financial system of banks and investment funds (with colleagues)
Centrally cleared interest rate derivatives market: How are clients changing the risk perspective? (with S. Lapschies & L. Országhová)
Macroprudential provisions, measures and instruments for insurance (ESRB Report)
Indicators for the monitoring of central counterparties in the EU (with E. Alfranseder, S. Lapschies, L. Országhová & P. Sobolewski)
Regulatory risk-free yield curve properties and macroprudential consequences (with J. Brinkhoff, L. Dieckhoff, D. Hendrickx, P. Sengmüller & M. Strömgren)
Interdisciplinary publications:
Networks in financial markets based on the mutual information rate, Physical Review E 89, 052801, 2014.
Information-theoretic approach to lead-lag effect on financial markets, European Physical Journal B 87 (8), 168, 2014.
Granger-causal nonlinear financial networks, Journal of Network Theory in Finance 1 (2), 1-30, 2015.
Multiscale Analysis of the Predictability of Stock Returns, Risks 3 (2), 219-233, 2015.
Sector strength and efficiency on developed and emerging financial markets, Physica A 413, 180-188, 2014.
Partial Mutual Information Analysis of Financial Networks, Acta Physica Polonica A 127 (3), 863-867, 2015.
Mutual Information-Based Hierarchies on Warsaw Stock Exchange , Acta Physica Polonica A 127 (3A), 33-37, 2015.
Structural Sustainability of the Polish Trade System , Acta Physica Polonica A 129 (5), 1004-1007, 2016.
The Social Dynamics of the Peter Principle, Journal of Engineering Science and Technology Review 8 (1), 2015.
Refutation of the Economic Constant Hypothesis, Cracow Review of Economics and Management 920, 22-32, 2013.
Frequency Effects on Predictability of Stock Returns, Proceedings of the CIFER 2014 conference, pp. 247-254, London, 2014.
A firm's perspective on econophysics-based currency risk analysis, Financial Sciences 4 (21), 92-107, 2014. (with A. Hołda)
Network Analysis of the Shanghai Stock Exchange Based on Partial Mutual Information, Journal of Risk and Financial Management 8 (2), 266-284, 2015. (with T. You & A. Hołda)
Preprints and citations:
http://scholar.google.com/citations?user=PZV_WHkAAAAJ
http://ideas.repec.org/f/pfi237.html
http://arxiv.org/a/fiedor_p_1
Peer reviews:
http://publons.com/a/474552/
Code:
https://github.com/pafiedor
I am a Senior Economist in the International Finance division at the Central Bank of Ireland, working on research and policy development in market based finance, also in cooperation with international institutions. My work concentrates on stress testing, mutual funds, and derivative markets. I used to work with the European Systemic Risk Board, working on analysing systemic risk in the context of the derivatives market in Europe, analysing macroprudential issues within the insurance sector in Europe, and supporting the Advisory Scientific Committee. I have also been a Postdoctoral Research Fellow at the University of Cape Town, under the supervision of Prof. Co-Pierre Georg. I have obtained a PhD in economics at the Cracow University of Economics in 2015, where I have also obtained M.Econ in 2010. My research interests include financial economics, the use of network theory and information theory in economics, as well as financial stability and systemic risk. I am a member of the IEEE, Royal Economic Society, and Polish Economic Society. My CV can be found here.