LBS PhD student awarded 2024 Ieke van den Burg Prize
LBS PhD student in Economics, Tsvetelina Nenova, awarded top prize for research on systemic risk
The 2024 Ieke van den Burg Prize for research on systemic risk has been awarded to London Business School PhD student in Economics Tsvetelina Nenova for her paper, “Global or regional safe assets: evidence from bond substitution patterns”.
This follows a highly competitive selection process, involving peer reviews conducted by members of the Advisory Scientific Committee (ASC) of the European Systemic Risk Board (ESRB).
Tsvetelina, who is an advisee of Professor Hélène Rey, said she was honoured to have her paper selected as this year’s prize winner for the distinguished Ieke van den Burg Prize for research on systemic risk.
“I can think of no better inspiration for future research than the ESRB’s Advisory Scientific Committee finding this line of research useful for maintaining financial stability in Europe.”
In the paper, Tsvetelina used granular data – positions of a vast universe of euro-area and US mutual funds at the securities level – to estimate time-varying own elasticities and cross-elasticities of demand for bonds.
“My estimates shed light on the special roles of safe assets in international portfolios, “flight to safety” phenomena in bond markets, as well as the transmission of monetary policies via international portfolio rebalancing.”
Tsvetelina added that the substitutability estimates are also key in assessing the degree of market fragmentation and highlight distinct roles of different safe assets. “Shocks to US Treasuries spill over globally through portfolio rebalancing, while shocks to German Bunds have regional spill-overs to other euro-area bonds. For the euro area, in particular, the substitution elasticities offer a novel way of tracking the degree of fragmentation in the currency block’s sovereign debt markets.”
The winning paper will be presented at the forthcoming Eighth ESRB Annual Conference in September of this year in Frankfurt.
The Ieke van den Burg Prize is established in memory of Ieke van den Burg, who passed away ten years ago. She was a member of the inaugural ASC between 2011 and 2014 and a member of the European Parliament between 1999 and 2009.
Ms van den Burg was dedicated to the notion that finance should serve society, and the prize is administered in that spirit.
