Climate Risk in the Frequency domain Liquidity Proxies & TIPS Illiquidity
Written on 23 Apr 2019.
On June 4, 2019, in London, the third edition of the EDHEC PhD in Finance Forum will again present the research carried out by the EDHEC PhD in Finance graduates and candidates, encouraging discussion with the community of practitioners and faculty about the results of these original contributions.
The Great Financial Crisis deepened the debate about the relationship between the financial sector and the real economy. The switch to unconventional monetary policy in a very low interest rate environment aimed to put economic growth and the labour market back on track by providing liquidities to financial Institutions. Yet, being in a regime of low inflation may create some distortions in investors’ perception of key variables like inflation and the term structure of interest rates. The paper by Andrea Tarelli investigates these types of distortions and their impact on portfolio construction. While Central Banks actions can be supportive, they can hardly dictate market players’ understanding of the impact of ongoing issues on the interplay between the real economy and market valuations. It is only legitimate to wonder whether climate risk, a lively debated long run phenomenon, is integrated into prices. The US/China debate about bilateral exchange, on the other hand, has potentially a substantial short run impact. Jasmine Yu provides some lessons from the past on the latter issue while Jonathan Harris carefully investigates climate risk impact on financial markets in the frequency domain. Finally, if the standard of living of humanity is the ultimate objective for politicians, assessing the impact on commodity prices of natural and business cycle related as well as exceptional events on commodity prices is of prime importance. Thibault Lair has many interesting lessons on this.
It will be our pleasure to welcome John Y. Campbell, the Morton L. and Carole S. Olshan Professor of Economics at Harvard University as the keynote speaker.
Since inception, more than 10 years ago, the main objective of the doctoral programme has been to train well-established senior professionals in cutting-edge research methods within different fields of Finance. EDHEC Business School thus expects to make an educated, real and useful impact on practices within the financial industry, confirming the EDHEC brand signature “Make an Impact”.
We are proud of the recognition received from the profession for the research output produced by the 47 programme graduates to date, who have gone on to author more than 30 publications in top academic journals and leading professional reviews.