In September 2017, the SCOR Corporate Foundation for Science and the Paris School of Economics created a research chair in Macroeconomic Risk, which was renewed in 2021 for a period of three years until 2023.
The chair is held by PSE and headed by Gilles Saint-Paul (PSE, ENS) as Academic director and Axelle Ferrière (PSE, CNRS) as Executive director.
In many economies, a multitude of factors are contributing to current uncertainty about the - macroeconomic environment, including:
- the pursuit of unconventional monetary policies, with zero and even negative interest rates;
- very high levels of private and public debt;
- disquiet about growth, productivity, future innovation, and the possibility of secular stagnation;
- high political uncertainty (including the ramifications of Brexit);
- the return to conventional monetary policy sooner or later, the timing of rising interest rates.
In addition, the issue of “macroeconomic risk” is also related to the possibility of infrequent but major shocks.
The SCOR–PSE chair aims to promote the development and dissemination of research into several areas linked to macroeconomic risk, which are of common interest to SCOR and PSE, including:
- the possibility of fat-tail events in macroeconomic and financial modeling;
- the macroeconomic effects of uncertainty;
- the financial and macroeconomic contagion effects of crises;
- the long-term risks: secular stagnation, whether the liquidity trap will persist, and unconventional monetary policy regimes.
The work of the chair includes:
- the development and promotion of scientific articles to be submitted for publication in top international journals;
- invitations to renowned international scholars to participate in teaching and research programs;
- the establishment of workshops and specific meetings between SCOR and PSE members;
- the organization of seminars, an annual lecture, and an annual conference to present and discuss work at the cutting-edge of international research into macroeconomic risk;
- an annual prize to reward a young researcher for excellence in his or her work.
Click here to read the 2019-2020 SCOR-TSE chair activity report (in French).
- Philippe Aghion (Collège de France, PSE)
- Agnès Bénassy-Quéré (PSE, University Paris 1)
- Tobias Broer (PSE, University Paris 1)
- Daniel Cohen (PSE, ENS)
- Axelle Ferriere (PSE, CNRS)
- Jean-Olivier Hairault (PSE, University Paris 1)
- Jean Imbs (PSE, CNRS)
- Francesco Pappada (Banque de France, PSE)
- Ariell Reshef (PSE, CNRS)
- Gilles Saint-Paul (PSE, ENS)
- Jean-Marc Tallon (PSE, CNRS)
SCOR-PSE Chair Conference
- SCOR-PSE Annual Conference of the “Macroeconomic Risk” Chair (PSE Macro Days 2021), September 17, 2021 | Click here for more information | Click here to attend the conference on YouTube or via the conference page.
- SCOR-PSE Chair Conference: Online PSE Annual Macro Meeting, September 17, 2020 | Click here for more information
- Annual SCOR-PSE Chair Conference, July 2, 2019
- Inaugural SCOR-PSE Chair Conference, June 15, 2018 | Click here for more information
- Annual Conference: “Sovereign Debt and Risks”, June 2-3, 2016
- Annual Conference: “Risk, Uncertainty and Macroeconomics”, June 12-13, 2015
SCOR-PSE Chair Lecture
- Lecture by Luigi Zingales "Can Democracy Survive a Concentrated Economy?", June 7, 2021 | Click here for more information
- Lecture SCOR-PSE - Jesus Fernandez-Villaverde , April 28-29, 2020 | Click here for more information
- Lecture by Nicolas Bloom "Why do Stock Markets Jump (and Trump’s Impact on Markets)", December 5, 2019 | Click here for more information
SCOR-PSE Chair Roundtable
- SCOR-PSE Chair: Online Roundtable - Macroeconomic consequences of Coronavirus crisis, On May 4, 2020 | Click here for more information
SCOR-PSE Chair Workshop
- Workshop on Risks posed by China to the Global Economy, January 17, 2020 | Click here for more information
- Annual Workshop: “Modelling of Economic Scenarios and their Impact on Capital Management”, April 23, 2015
- Annual Workshop: “Yield Curve between Economics and Finance”, July, 2014
Click here to consult all Chair events and associated information.
2020 Young Researcher Award
The selection committee headed by Gilles Saint-Paul, scientific director of the SCOR-PSE Chair, has decided to award this year’s prize to Ludwig Straub and Robert Ulbricht, respectively Assistant Professor at Harvard and Assistant Professor at Boston College. The award is in recognition of their work titled "Endogenous Uncertainty and Credit Crunches”. In this paper, Ludwig and Robert develop a model with uncertainty and financial frictions to understand why financial crises usually generate large and persistent economic contractions.
At the heart of the paper lies the idea that greater uncertainty and bad economic conditions reinforce each other, channeled through financial constraints and learning dynamics. An initial tightening of credit constraints restricts firms’ access to funding: Some firms exit, which results in an increase in uncertainty as investors cannot learn about the productivity of inactive firms. Increased uncertainty fuels investors’ pessimism, which restricts even more firms’ access to funding, and further amplifies the recession. Taken together, this model explains why a temporary financial shock can develop into a large and persistent “funding freeze”. The paper, which highlights the role played by the interaction of informational and financial frictions, also has important policy implications: for instance, direct transfers to firms should be favored over banks’ recapitalization.
Click here to read the press release.
2019 Young Researcher Award
The selection committee headed by Gilles Saint-Paul, scientific director of the SCOR-PSE Chair, has decided to award this year’s prize to Maryam Farboodi, Assistant Professor of Finance at the MIT Sloan School of Management for her recent paper titled “International and Voluntary Exposure to Counterparty Risk”. In this paper, Maryam develops a model of the financial sector in which endogenous intermediation among debt-financed banks generates excessive systemic risk.
There is overwhelming evidence that interbank markets exhibit a core-periphery structure, which may increase systemic risk. In line with this observation, this work provides a new theoretical framework to analyze the endogenous formation of networks in the financial sector. Maryam then shows that the interbank network generated by the model is socially inefficient: Banks who make risky investments overconnect, exposing themselves to excessive counterparty risk, while banks who mainly provide funding end up with too few connections. Overall, her work suggests that explicitly modeling the interaction between banks’ incentives to capture higher returns, with intermediation, a necessary mechanism to allocate liquidity within the financial system, jointly explains the stylized facts about the global structure of interbank networks, interbank interconnectedness, and gross and net exposures among financial institutions. Moreover, by providing sharp predictions about sources of inefficiency in interbank relationships, the model contributes to the heated policy debate on how to regulate the financial market.
Click here to read the press release.