Welcome to Simon TIÈCHE's website!

I am a macroeconomist working on international portfolio choice. My research shows that portfolio frictions is a crucial determinant of international portfolio choice. While investors respond significantly to expected returns, portfolio frictions lead to a weaker and more gradual portfolio response to changes in expected returns. It can help us understand why investors are slow to reallocate their international portfolio after financial shocks. These slow movements of portfolio relate to the global financial cycle and to the business cycle. This perspective substantially broadens the standard international finance approach to study these questions, which is based on models without frictions.

I am a lecturer at the University of Lausanne and an Economist at the State Secretariat for Economic Affairs (Switzerland).

Previously, I was a postdoctoral researcher at the Chair of International of Finance of Prof. Luisa Lambertini at the Ecole Polytechnique Fédérale de Lausanne. Prior to that, I was a Ph.D. student in International Economics and Finance at the University of Lausanne .

Contact Details

Permanent email: simon@simontieche.com
University email: simon.tieche@unil.ch


Published Papers

Philippe Bacchetta, Simon Tièche, Eric van Wincoop, International Portfolio Choice with Frictions: Evidence from Mutual Funds , The Review of Financial Studies , Volume 36, Issue 10, October 2023, Pages 4233–4270, https://doi.org/10.1093/rfs/hhad027

Abstract: Using data on international equity portfolio allocations by U.S. mutual funds, we estimate a portfolio expression derived from a standard mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on the previous month and the buy-and-hold portfolio shares, and a present discounted value of expected excess returns. We estimate expected return differentials and use them in the portfolio regressions. The estimates imply significant portfolio frictions and a modest rate of risk aversion. While mutual fund portfolios significantly respond to expected returns, portfolio frictions lead to a weaker and a more gradual portfolio response to changes in expected returns.


Working Papers

Zeros in International Portfolio Choice (Job Market Paper)

Simon Tièche Working Paper: November 2023

Abstract: This article examines country shares of zero in international portfolio choice using data from 1592 equity mutual funds. The study presents stylized facts about these zeros, such as their prevalence, persistence, and factors influencing their occurrence. Then, I present a general equilibrium model of international portfolio, which incorporates those new facts. The model solves an optimal portfolio equation that I estimate using the data. To do so, I estimate a present discount value of expected equity returns that are exogenous to global changes in equity demand. The estimated model provides realistic estimates of risk aversion (4.8) and matches 94% of zeros in the data. Omitting the zeros underestimates the magnitude and the persistence of country shares to shocks in the expected excess return innovation.

The Real Exchange Rate, the Convenience Yield and the Global Financial Cycle

Simon Tièche Working Paper 2023

Bias in Economic Foreasting: Focus on Experts

Simon Tièche Working Paper 2023


Papers in Progress

Risk Aversion across Time: Evidence from Equity Mutual Funds

The Exchange Rate Risk Channel of International Portfolios: Evidence from the CHF/EUR Exchange Rate

Environmental Policy in Ramsey-Cass-Koopmans: insights from continuous time modeling

The Exchange Rate Response to Monetary Policy Innovations: The Convergence of Developing Countries


Teaching

Current

  • Macroeconomics (Master of Sciences in Economics, , University of Lausanne) - Lecturer

Past

  • Macro-Finance (Master of Financial Engineering, Ecole Polytechnique Fédérale de Lausanne), Lecturer, 2022
  • Applied Statistics and Econometrics (BSc. Economics, University of Lausanne), Teaching-Fellow, 2016-2022
  • Monetary Theory and Policy (BSc. Economics, University of Lausanne), Teaching-Fellow, 2019-2022
  • Empirical Research for Economics and Management (BSc. Economics, University of Lausanne), Teaching-Fellow, 2015
  • Statistics and Econometrics I (BSc. Economics, University of Lausanne), Teaching-Fellow, 2016