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DESCRIPTION:\n\nBorel Ahonon\, a doctoral student at 91ºÚÁÏÍø in t
 he Finance area will be presenting his thesis defense entitled:\n\nThree E
 ssays on Macrofinance and Sovereign Credit Risk\n\nThursday\, May 21\, 202
 6\, at 9:00 AM \n	(The defense will be conducted online)\n\nStudent Committ
 ee Co-chairs: Prof. Patrick Augustin and Prof. Guillaume Roussellet\n\nPle
 ase note that the Defence will be conducted online. Only the student and t
 heir committee members may participate in the presentation.\n\n\nAbstract
 \n\nThis thesis studies how investors interpret macroeconomic information 
 and how these interpretations shape the pricing of Treasury bonds\, sovere
 ign credit risk\, and exchange rates.\n\nThe first essay proposes a macro-
 finance model in which inflation\, growth\, and the policy rate are driven
  by unobservable long-run trends and transitory cycles that investors must
  infer from aggregate data. The subjective estimates of these trends\, and
  the uncertainty surrounding them\, are priced into the Treasury yield cur
 ve in a tractable way through both interest rate expectations and bond ris
 k premia. Empirical estimates reveal a smooth upward trend in the long-run
  real interest rate (r-star) until the 1980s and large investor uncertaint
 y\, with confidence bands as wide as 3.4 percentage points\, contrasting w
 ith the volatile rate implied by perfect-information models.\n\nIn the sec
 ond essay\, I examine the effects of domestic and U.S. inflation on sovere
 ign credit risk. Using monthly data for twenty-three advanced economies be
 tween 2001 and 2022\, I document that domestic inflation raises sovereign 
 CDS spreads\, whereas U.S. inflation lowers them. These opposite effects o
 perate mainly through investors’ expectations of sovereign default rather 
 than risk premia. The negative association between U.S. inflation and sove
 reign credit risk reflects a demand-driven channel\, where price increases
  arise during periods of stronger economic activity and lower default prob
 abilities. In contrast\, domestic inflation signals tighter monetary polic
 y and weaker fiscal prospects\, heightening concerns about debt sustainabi
 lity.\n\nThe last essay explores the relationship between sovereign credit
  risk and exchange rates and how quanto spreads arise. Quanto spreads corr
 espond to the difference between credit default swap (CDS) spreads on the 
 same entity but denominated in different currencies. I empirically documen
 t a negative contemporaneous relationship between sovereign credit risk an
 d exchange rates and show that quanto CDS spreads positively predict excha
 nge rate movements. I then propose an international macro-finance model in
  which the level\, volatility\, and term structure of quanto spreads are d
 riven by rare disaster risk with time-varying probability and its contagio
 n effects. These features depend on the correlation of cross-country expec
 ted consumption volatilities and generate a trade-off: an upward term stru
 cture of quanto spreads and a strong negative contemporaneous relationship
  lead to negative exchange rate predictability and excessively high exchan
 ge rate volatility.\n
DTSTART:20260521T130000Z
DTEND:20260521T150000Z
SUMMARY:PhD Thesis Defense Presentation: Borel Ahonon
URL:/desautels/channels/event/phd-thesis-defense-prese
 ntation-borel-ahonon-372967
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