PhD Dissertation Defense, Marina Traversa, Finance

Congratulations to Dr Marina Traversa, Finance, who successfully defended her doctoral dissertation at HEC Paris on December 7, 2022.

Specialization: Finance

Topic: Three essays in finance 

Supervisor: Johan Hombert, Professor, HEC Paris 

Jury Members:

• Alberta Di Giuli Professor, ESCP Business School
• Jean-Stéphane Mesonnier Associate Professor, Sciences Po - Paris 
• François Derrien Professor, HEC Paris 
• Johan Hombert Professor, HEC Paris, Supervisor 

Abstract:

The first paper of the thesis adds to the literature on the employment drop between 2007 and 2010 in the US. I show that one reason for this drop is the fact that the level of employment was, in 2007, too high than it should, due to labor-capital substitution arisen in the housing boom. The second paper, instead, shows that adverse selection is a key determinant of banking market structure. Using data on US bank branches over 1981-2016, I find that banks are more likely to expand in counties that are similar, in terms of industry shares, to those in which they already have branches. Second, when contracting, banks are more likely to close or sell branches in similar areas. These results suggest that banks value diversification, but that informational barriers prevent them from achieving optimal scale. These findings have implications for banking competition and the rise of fintechs. Finally, the third paper examines the link between the VIX/VSTOXX and monetary policy in both the US and the euro area. From previous results of the literature, I predict that the VIX (VSTOXX) should rise with central banks tightening. I find that, while this is true until 2007, the subsequent financial crisis altered the standard transmission mechanism: the new unconventional monetary policies adopted by the Fed and the ECB don't seem to impact investors' sentiment, and the conventional ones are effective only in the Euro area. A possible explanation for these results is that interest rates in the US reached the zero lower bound much earlier than in the Euro area and that central bank asset growth (unconventional monetary policy loosening) was perceived, by market participants, as a sign that economic recovery hadn't been achieved yet.
 

Keywords: labour, central bank, monetary policy