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Module A - Asset Pricing and Portfolio Management

Project A2 - Macro Risk, Capital Flows and Asset Pricing in International Finance

The topics in this project all lay near the border between financial economics and macroeconomics, and deal with the complex interactions between finance and the real economy. These interactions run two ways. First, from the real economy to asset prices, which belongs in the vast and rich literature on asset pricing in general equilibrium. The opposite linkages are becoming important, however, with an increasingly pressing necessity to understand how financial development affects the real economy - its performance, its volatility, or the prevalence of crises.

The project proposes contributing to each of these literatures, in original and novel ways. First, the pricing of assets is embedded into general equilibrium models, where the consequences on both the financial and the real sides of the constructed theoretical economies are investigated. This includes the introduction of imperfect information in models of the nominal exchange rate, the role of health in determining portfolio choice, and thus asset prices, or the exploration of the consequences on equity prices of a variety of governance arrangements.

Second, the project examines whether financial openness affects the efficiency of investment across sectors, and in doing so, influences the volatility of economic activity. This addresses a wide range of currently important issues: for instance, whether international capital flows do increase economic volatility, by rendering sudden crises more likely, or on the contrary improve risk diversification and consumption smoothing.

Third, the massive rise in international financial integration over the past few years has ignited renewed interest in global imbalances, debt sustainability, and ultimately financial crises. The project investigates, among others, the reasons why debt in the developing world is contracted almost wholly in foreign currency, or why beyond a certain threshold, external debt ceases to foster economic growth, but rather tends to elicit poor economic policies and low investment.

Research Team

Leader
Prof. Philippe Bacchetta
+41 21 692 34 73
philippe.bacchetta@unil.ch
University of Lausanne
Senior Researchers and Post Docs
Prof. Kenza Benhima +41 21 692 36 92 Kenza.Benhima@unil.ch
Dr. Isabella Blengini +41 21 692 36 93 Isabella.Blengini@unil.ch
Dr. Luis Bryce +41 21 692 33 35 Luis.Bryce@unil.ch
Prof. Harald Hau +41 22 379 96 68 prof@haraldhau.com
Dr. Baptiste Massenot +41 21 692 33 00 Baptiste.Massenot@unil.ch
Dr. Francesco Pappada +41 21 692 34 93 Francesco.Pappada@unil.ch
Prof. Florian Pelgrin +41 21 692 34 36 Florian.Pelgrin@unil.ch
Prof. Celine Poilly +41 21 692 33 52 Celine.Poilly@unil.ch
Prof. Pascal St-Amour +41 21 692 34 77 Pascal.St-Amour@unil.ch
Prof. Mathias Thoenig +41 21 692 33 93 Mathias.Thoenig@unil.ch
Prof. Cedric Tille +41 22 908 59 28 cedric.tille@graduateinstitute.ch
Dr. Christoph Winter +41 44 634 52 66 christoph.winter@econ.uzh.ch
Prof. Fabrizio Zilibotti +41 44 634 51 88 fabrizio.zilibotti@econ.uzh.ch
Doctoral Students
Rachel Cordonier +41 21 692 36 95 rachel.cordonier@unil.ch
Jessica Leutert +41 21 692 34 42 jessica.leutert@unil.ch
Veronica Preotu +41 21 692 36 93 Veronica.Preotu@unil.ch
Andreas Waelchli +41 31 780 31 34 andreas.waelchli@szgerzensee.ch
Associated Participants
Prof. Jean Imbs +33 14 407 82 01 jean.imbs@parisschoolofeconomics.eu
Paris School of Economics
Dr. Ivan Jaccard +49 69 1344 6947 ivan.jaccard@ecb.int
European Central Bank
Dr. Elmar Mertens +1 202 452 2916 elmar.mertens@frb.gov
The Federal Reserve
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  The National Centres of Competence in Research (NCCR) are a research instrument of the
Swiss National Science Foundation.