BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//132.216.98.100//NONSGML kigkonsult.se iCalcreator 2.20.4//
BEGIN:VEVENT
UID:20250806T192853EDT-2833UXSkWl@132.216.98.100
DTSTAMP:20250806T232853Z
DESCRIPTION:Essays on Macrofinance and Sovereign Credit Risk\n\nTuesday\, J
 uly 29\, 2025\, at 10:00 am\n\n\n\nBorel Espoir Senan Ahonon\, a doctoral 
 student at ɬÀï·¬ in the area of Finance will be presenting his
  research proposal entitled:\n\n(The presentation will be conducted on Zoo
 m)\n\nStudent Committee Co-chairs: Professor Patrick Augustin and Professo
 r Guillaume Roussellet\n\n\nABSTRACT\n\nThis proposal explores how investo
 rs interpret macroeconomic signals and how these interpretations affect as
 set prices such as Treasury yields\, sovereign credit spreads\, and exchan
 ge rates. In the first and co-authored paper\, we shed light on the effect
  of learning about long-run macroeconomic risks and its effect on the term
  structure of Treasury yields. We develop a macro-finance model where infl
 ation\, growth\, and the monetary policy rate are driven by a combination 
 of long-run trends and shorter-lived cycles. The representative investor o
 nly observes the aggregate macroeconomic variables but not their decomposi
 tion in permanent and transitory components\, so she performs Bayesian lea
 rning. Despite the learning complexity\, our model produces closed-form af
 fine Treasury yields formulas. Estimation reveals significant uncertainty 
 about long-term real interest rate estimates\, in sharp contrast with thos
 e obtained from perfect information models. We find that because the inves
 tor confuses trends with cycles when faced with aggregate macroeconomic mo
 vements\, the yield curve can under or overreact to structural shocks.\n\n
 In the second paper\, I explore the relationship between sovereign credit 
 risk and exchange rate and how the difference in credit default swaps (CDS
 ) spreads on the same entity but denominated in different currencies\, i.e
 . quanto spread\, arises. I empirically document a negative contemporaneou
 s relationship between sovereign credit risk and exchange rate and a posit
 ive predictability of exchange rates by quanto CDS spreads. I then propose
  an international macro-finance model in which the level\, volatility\, an
 d term structure of the quanto spread are driven by a rare disaster risk w
 ith time-varying probability and its contagion effect. These features of q
 uanto spread depend on the correlation of cross-country expected consumpti
 on volatilities and present a trade-off: an upward term structure of quant
 o spread and a strong negative contemporaneous relationship lead to a nega
 tive predictability relationship and exceedingly high exchange rate volati
 lity.\n\nThe third paper documents that both a country’s domestic inflatio
 n rate and the U.S. inflation rate significantly influence financial marke
 t perceptions of sovereign credit risk across the world. My findings indic
 ate that high domestic inflation is positively correlated with an increase
 d probability of government default\, whereas high U.S. inflation is assoc
 iated with a decrease in the global component of sovereign credit risk. Th
 ese effects are consistent across both panel and country-level analyses an
 d are not driven by the global inflation factor. Furthermore\, domestic in
 flation directly affects the level of sovereign credit risk\, while U.S. i
 nflation flattens its term structure. Importantly\, the influence of U.S. 
 inflation remains unaffected by factors such as foreign exchange rates\, U
 .S. inflation expectations\, or U.S. real business conditions.\n
DTSTART:20250729T140000Z
DTEND:20250729T150000Z
SUMMARY:PhD Research Proposal Presentation: Borel Espoir Senan Ahonon
URL:/desautels/channels/event/phd-research-proposal-pr
 esentation-borel-espoir-senan-ahonon-366117
END:VEVENT
END:VCALENDAR