About Me

I am a Post-Doc at the Chair of International Finance of the École Polytechnique Fédérale de Lausanne (EPFL).
I am on the Job Market 2022-2023
My research interests are in international finance and in macroeconomics with a focus on international portoflio choice . My work seeks to help our understanding of two core research agendas. The first concerns the role of portoflio frictions and expected excess returns for international portoflio choice. The second is to understand who owns what assets .
My research highligths significant portfolio frictions. While investors respond significantly to expected returns, portfolio frictions lead to a weaker and more gradual portfolio response to changes in expected returns. These slow portfolio reallocations 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 are based on models without frictions. Previously, I was a Ph.D. student in International Economics and Finance at the University of Lausanne .

Contact Details

My Institution Website (link)
Permanent email: simon@simontieche.com
University email: simon.tieche@epfl.ch


Research Papers

International Portfolio Choice with Frictions: Evidence from Mutual Funds Online Appendix

Philippe Bacchetta, Simon Tièche, and Eric van Wincoop R&R Review of Financial Studies: September 2022

Abstract: Using data on international equity portfolio allocations by US mutual funds, we estimate a simple portfolio expression derived from a standard Markowitz mean- variance portfolio model extended with portfolio frictions. The optimal portfolio depends on two benchmark portfolios, the previous month and the buy-and-hold portfolio shares, and a present discounted value of expected future excess returns. We show that equity return differentials are predictable and use the expected return differentials in the mutual fund portfolio regressions. The estimated reduced form parameters are related to the structural model parameters. The estimates imply significant portfolio frictions and a modest rate of risk aversion. While mutual fund portfolios respond significantly to expected returns, portfolio frictions lead to a weaker and more gradual portfolio response to changes in expected returns.

Zeros in International Portfolio Choice (Job Market Paper)

Simon Tièche Working Paper: November 2022

Abstract: The international portfolio of equity mutual funds consists of strictly positive country shares and country shares of zero. Given the fund investment universe, the country shares of zero are due to a short-selling constraint, which prevents negative country shares (betting on a future price fall). International mutual fund portfolios respond significantly to expected excess country returns. Yet portfolio frictions lead to a weaker and more gradual response to changes in expected returns. However, how mutual funds respond to expected excess returns and frictions when the zeros are considered is unknown. Here I show the portfolio impulse response of mutual funds to an expected excess return shock is higher by 0.3 percentage points and more persistent than estimated when ignoring the zeros. Active, regional, and more exposed funds react more to the financial shock. Furthermore, I provide descriptive statistics about zeros in international portfolio choice. My results demonstrate that models calibrating financial shocks might underestimate the persistence and the magnitude at which financial intermediaries respond to it.


Research Papers in Progress

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

Simon Tièche Work in progress: 2021

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

Simon Tièche Work in progress: 2022

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

Simon Tièche Work in progress: 2022


Employment

Post-Doc, Chair of International Finance

École Polytechnique Fédérale de Lausanne (EPFL) 2022-

Ph.D. in International Macroeconomics and Finance

University of Lausanne 2017-2022

Scientific collaborator, Centre de recherche en économie appliquée

University of Lausanne 2020-2022


Education

Ph.D. in International Macroeconomics and Finance

University of Lausanne 2022

SciencesPo Paris, Department of Economics, Visiting Ph.D. Student July 2021 - Dec 2021

Master of Sciences in Economics, Macroeconomic Policy and Quantitative Economics

University of Lausanne 2017

Bachelor of Sciences in Economics

University of Lausanne 2015


Teaching

Current Teaching

  • Macro-Finance (Master of Financial Engineering), Lecturer, 2022-

Past Teaching

  • Applied Statistics and Econometrics (BSc. Economics), Teaching-Fellow, 2016-2022
  • Monetary Theory and Policy (BSc. Economics), Teaching-Fellow, 2019-2022
  • Empirical Research for Economics and Management (BSc. Economics), Teaching-Fellow, 2015
  • Statistics and Econometrics I (BSc. Economics), Teaching-Fellow, 2016