Brendan Berthold, PhD
I am currently working as a Macro & Climate Economist at Zurich Insurance Group, Investment Management. I have a particular interest in building quantitative models to better understand and identify the macro-financial risks and opportunities of the climate transition. I have advanced programming skills and extensive experience in economic forecasting. I've held research positions at the Bank of England, the Swiss National Bank, and the Swiss Institute of Applied Economics of the University of Lausanne. I received the doctoral award for the best overall performance in the Doctoral Program in Economics from the Study Center Gerzensee. My PhD thesis is at the intersection of econometrics, macroeconomics, and finance.
What's new?
March 2024 : My paper "The Macro-Financial Effects of Climate Policy Risk: Evidence from Switzerland" has been accepted for publication at the Swiss Journal of Economics and Statistics.
February 2024 : Our paper "Foreign Exchange Interventions with UIP and CIP deviations: The Case of Small Safe-Haven Economies" (joint with P. Bacchetta and K. Benhima) is now R&R at The Review of Economic Studies. The paper is available here
April 2023 : My paper "The Macroeconomic Effects of Uncertainty and Risk Aversion Shocks" has been accepted for publication at the European Economic Review. The article is accessible in open access here.
February 2023 : The AGEFI (Swiss financial newspaper) talks about my paper "Climate Policy Risk and Asset Prices in Switzerland". The Faculty of HEC (UNIL) posted about this research here (in french).
My research is in Applied Econometrics and Macro-Finance
In my first paper, I use state-of-the-art econometric techniques to quantify the macro-financial effect of different types of financial volatility shocks. The results allow for example to quantify the risk-premium channel of uncertainty, that is to which extent risk aversion can exacerbate the real and financial effects of uncertainty shocks.
My second and third paper investigate the macro-financial effects of climate policies and transition risk. In particular, I develop a measure of climate policy risk for Switzerland using a large dataset of media articles and document that innovations in this index can have negative macroeconomic effects. I also provide evidence on the financial effects of climate policy risk. In a joint paper with the Bank of England, we find that carbon pricing shocks in the EU carbon ETS tend to behave as negative supply shocks for a large panel of European countries. We further show that brown firms' stock prices are disproportionately more negatively impacted by these shocks. Overall, the results highlight the economic importance of transition risk, and how investors can benefit from these insights when forming their portfolios.
In my fourth paper, joint with my supervisor Philippe Bacchetta and Kenza Benhima from the University of Lausanne, we develop a theoretical framework to think about the opportunity costs of foreign exchange interventions for safe-haven economies such as Switzerland. We find that there may be a benefit, rather than a cost, of FX reserves if international intermediaries value more the safe haven properties of a currency that domestic households. We show that this has been the case for the Swiss franc and the Japanese Yen.
More information on my research can be found here
Research highlights
Post
A collection of a few things I wrote