BENOˆIT S´EVI - UMR-GAEL

B ENO ÎT S ÉVI
July 2015
Associate Professor of Economics (Professeur des Universités)
Université Pierre Mendès-France, UMR GAEL 1512
Faculté d’Économie de Grenoble, BATEG, BP 47
38040 Grenoble cedex 09
Email: benoit.sevi@gmail
Phone: +33(0)4 76 82 54 23
Homepage: https://sites.google.com/site/benoitsevi
SSRN homepage: SSRN Homepage
Google Scholar: Google Scholar Citations
R ESEARCH F IELDS
• Energy and Emission Financial Markets
• Empirical Finance, High Frequency Financial Econometrics
• Microeconomics of Risk and Uncertainty
A CADEMIC P OSITION
since May 2013
since September 2014
since September 2009
since September 2006
2010 – 2014
Associate Editor of Research in International Business and Finance (Elsevier)
Associate Professor of Economics at Université Pierre Mendès-France (Grenoble 2)
Researcher at GAEL UMR INRA 1512
Permanent Visiting Researcher at London Business School (MSO Department)
Research Associate with CREDEN (University of Montpellier I)
Assistant Professor of Economics at Université Aix-Marseille
Researcher Aix-Marseille School of Economics (GREQAM)
Visiting Researcher at London Business School
Energy Markets Group in the MSO Department (D.W. Bunn)
2009 – 2010
2006 – 2010
Assistant Professor of Economics at the University of Angers
Lecturer in Finance at École Centrale de Nantes
Research Associate with LEMNA (University of Nantes)
2005 – 2006
Teaching Assistant in Economics – University of Perpignan
April – May 2004
Visiting Doctoral Student at HEC Montréal
2001 – 2005
Teaching Assistant in Economics – University of Montpellier I
E DUCATION
2005
Doctorate in Economics, Summa Cum Laude, Université Montpellier I (UMI)
Dissertation: Forward and derivatives markets – From competition to oligopoly with
application to the European electricity markets (Adv.: Jacques Percebois)
2001
One year degree required before doctoral studies in Public Decision, Magna Cum Laude, UMI
2000
One year post-graduate degree in Energy Economics, Cum Laude, UMI
1999
MA in Econometrics, Magna Cum Laude, Université de Caen
1992 – 1994
Intensive undergraduate studies in Mathematics
G RANTS
Updated: July 17, 2015
1/6
2015
Research Grant from the French Energy Council, Paris, for “The behavior of U.S. oil and gas
producers in financial markets: Hedging or speculation?” (joint with Olivier Rousse)
2010
Research Grant from the French Energy Council, Paris, for “EU ETS – Option market, information
and efficiency” (joint with 6 researchers)
2009
Research Grant from the University of Angers for visiting London Business School
ARIANE mobility programmes
2009
Research Grant from University of Paris X Nanterre (EconomiX) for “High frequency time series
modelling” (joint work with Julien Chevallier and Florian Ielpo)
2009
Research Grant from Europlace Finance Institute, Paris, for “Carbon Finance” (joint work with
Émilie Alberola and Julien Chevallier)
2008
Research Grant from the French Energy Council, Paris, for “Citizen participation in emission
permits markets” (joint work with Dorian Litvine and Olivier Rousse)
2007
Research Grant from the French Energy Council, Paris, for “Vulnerability about energy resource
supply in Europe” (joint work with Agnès d’Artigues and Jacques Percebois)
2001 – 2004
Fellowship of French Ministry of Education for doctoral studies
PAST PROFESSIONAL ACTIVITIES
January – June 2006
Consultant for Gaz de France Négoce (joint work with F. Mirabel and J. Percebois)
Research issue: the future of long-term gas contracts in Europe
June 2005
Work experience at EDF Trading Ltd., London
May – August 2000
Work experience at EDF Grands Clients Méditerranée, Marseille
P UBLICATIONS
M AIN PEER- REVIEWED PUBLICATIONS
1. Forecasting the volatility of crude oil futures using intraday data, 2014, European Journal of Operational Research
235, 643-659.
2. On the stochastic properties of carbon futures prices (with J. Chevallier), 2014, Environmental and Resource Economics 58, 127-153.
3. Citizen’s participation in permit markets and social welfare under uncertainty (with O. Rousse), 2013, Environmental
Science & Policy 27, 215-222.
4. On the volatility-volume relationship in energy futures markets using intraday data (with J. Chevallier), 2012, Energy
Economics 34, 1896-1909.
5. Option introduction and volatility in the EU ETS (with J. Chevallier and Y. Le Pen), 2011, Resource and Energy Economics 33, 855-880.
6. Volatility transmission and volatility impulse response functions in European electricity forward markets (with Y. Le
Pen), 2010, Energy Economics 32, 758-770.
7. What trends in energy efficiencies? Evidence from a robust test (with Y. Le Pen), 2010, Energy Economics 32, 702-708.
8. A pair-wise econometric approach to testing for energy intensities convergence: New method for new results (with Y.
Le Pen), 2010, Ecological Economics 69, 641-650.
9. The newsboy problem under multiplicative background risk, 2010, European Journal of Operational Research 200,
918-923.
10. Risk preferences and forward trading: the case of quantity uncertainty, 2007, Louvain Economic Review 73, 217-228.
(in French)
OTHER PEER- REVIEWED PUBLICATIONS
1. Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps, 2014, Economic
Modelling 44, 243-251.
Updated: July 17, 2015
2/6
2. A fear index to predict oil futures returns (with J. Chevallier), 2014, Energy Studies Review 20, 1-17.
3. The explanatory power of signed jumps for the risk-return tradeoff (with C. Baena), 2013, Economics Bulletin 33, 10291046.
4. Decreasing R&D expenditures in the European energy industry and deregulation (with O. Grosse), 2013, Journal of
Energy and Development 38, 157-188.
5. An empirical analysis of the downside risk-return trade-off at daily frequency, 2013, Economic Modelling 31, 189-197.
6. Funds from non-renewable energy resources: Policy lessons from Alaska and Alberta (with C. Baena and A. Warrack),
2012, Energy Policy 51, 569-577.
7. A reassessment of the risk-return tradeoff at the daily horizon (with C. Baena), 2012, Economics Bulletin 32, 190-203.
8. Macro factors in oil futures returns (with Y. Le Pen), 2011, International Economics 126-127, 151-174.
9. Brownian motion vs. pure-jump processes for individual stocks (with C. Baena), 2011, Economics Bulletin 31, 31383152.
10. On the realized volatility of the ECX emissions 2008 futures contract: distribution, dynamics and forecasting (with J.
Chevallier), 2011, Annals of Finance 7, 1-29.
11. The impact of a shock on the correlations between three indices – The Lehman Brothers case (with Y. Le Pen), 2010,
Revue Économique 61, 407-420. (in French)
12. Jump robust estimation of realized volatility in the EU ETS (with J. Chevallier), 2010, Journal of Energy Markets 3, 1-19.
13. Hedging an unknown quantity with variable cost function, 2006, Economics Bulletin 7, 1-8.
14. A Special Case of Self-protection: The Choice of a Lawyer (with F. Yafil), 2005, Economics Bulletin 4, 1-8.
15. Spot and derivatives markets for gas and power industries (with C. Clastres), 2003, Économie et Sociétés 9, 495-511.
(in French)
U NDER REVIEW OR REVISION
• “Futures trading and the excess comovement of commodity prices” (with Y. Le Pen), in revision for the 3rd round.
• “Fundamental and financial influences on the co-movement of oil and gas prices”, (with D. Bunn, J. Chevallier and Y.
Le Pen), in revision for the 3rd round.
• “European stock markets integration and the 2007-08 financial crisis: Insights from a fractional cointegration analysis
of volatilities” (with G. de Truchis), submitted.
• “Do oil and gas prices react to the same shocks? Empirical evidence using intraday jumps” (with O. Rousse), submitted.
• “The role of trade openness and investment in examining the emissions-energy-growth nexus: Empirical evidence for
China and India” (with G. Salah Uddin, D.K. Nguyen, B. Sjö), submitted.
O NGOING WORK
• “News and correlations: An impulse response analysis”, (with Y. Le Pen), working paper.
• “The asymmetric hedgers’ reaction to price changes in commodity markets: Evidence from mixed frequency data”,
(with M. Bessec and Y. Le Pen), in progress.
I N - BOOKS
• “Modélisation stochastique des prix du pétrole”. In: Énergie by J.-P. Hansen and J. Percebois, De Boeck, 2010.
• “Marchés à terme et marchés dérivés énergétiques – Le cas du gaz et de l’électricité”. In: Rapport au Conseil d’Analyse
Économique no. 74 “Marchés européens de l’électricité et du gaz – Quels prix ? Quelles marges de manœuvre pour la
France ?” by Jean-Marie Chevalier (CGEMP) and Jacques Percebois (UM1), Paris, 2008.
• “The Impact of Uncertainty on Banking Behavior: Evidence from the US Sulfur Dioxide Emissions Allowance Trading
Program” (with Olivier Rousse). In: Daniel Lieberman, Matthias Jonas et Zbigniew Nahorski (eds), Accounting for Climate Change: Uncertainty in Greenhouse Gas Inventories - Verification, Compliance, and Trading, Springer, 2008.
R EPORTS
• “Évolution du portefeuille optimal d’approvisionnement d’une entreprise gazière – Le devenir des contrats long terme”
(with F. Mirabel and J. Percebois, CREDEN, Université Montpellier I), Gaz de France Négoce, June 2006.
• “Développement des marchés financiers de couverture sur les secteurs du gaz et de l’électricité”, Institut Français de
l’Énergie (IFE) Report, March 2002.
Updated: July 17, 2015
3/6
P ROFESSIONAL PUBLICATIONS
• Caring Competition, 2004, Energy Risk Management 2, 61-65.
N ON - REFEREED ARTICLES
• “Produits dérivés et gestion du risque de prix”, Energy News (Les Échos) 69, December 2003.
• “Youth Symposium”, Conseil Français de l’Énergie (CFE), Newsletter 31, December 2004.
• “L’environnement victime de l’ouverture des marchés”, Energy News (Les Échos) 84, September 2004.
C OMMUNICATIONS
• “Insider trading in oil markets” (with O. Rousse): 10th Energy and Finance Conference, Cass Business School, September 2015, London.
• “The time-varying risk-return trade-off in international stock markets using high-frequency data”: INFINITI Annual
Meeting, June 2015, Ljubljana.
• “The asymmetric hedgers’ reaction to price changes in commodity markets: Evidence from mixed frequency data”
(with M. Bessec and Y. Le Pen): 3rd International Symposium on Energy and Finance Issues, March 2015, Paris; Opening Conference of the Thematic Semester on Commodity Derivatives Markets: Industrial Organization, Regulation and
Financialization, Institut Henri Poincaré, March 2015, Paris; Invited Seminar, MSE, Paris 1; 10th Energy and Finance
Conference, Cass Business School, September 2015, London.
• “Is there a daily risk-return trade-off in international markets? Further evidence using the range”: INFINITI Annual
Meeting, June 2014, Prato; 2nd Paris Financial Management Conference, December 2014, Paris.
• “An empirical evaluation of pseudo-long-memory time-series models to predict the S&P 500 index-futures realized
volatility”: Computational and Financial Econometrics Conference, December 2013, London; INFINITI Annual Meeting, June 2014, Prato; 2nd Paris Financial Management Conference, December 2014, Paris.
• “European stock markets integration and the 2007-08 financial crisis: Insights from a fractional cointegration analysis
of volatilities” (with G. de Truchis): ISCEF Annual Meeting, May 2014, Paris; INFINITI Annual Meeting, June 2014, Prato;
INFINITI Annual Meeting, June 2015, Ljubljana.
• “The relationship between risk and return in financial oil markets” (with Y. Le Pen): 2nd International Symposium on
Energy and Finance Issues, March 2014, Paris; Energy Finance Conference, September 2014, Erice.
• “A fear index to predict oil futures returns” (with J. Chevallier): FEEM Workshop Oil Price Forecasts and Trends, May
2013, Milan.
• “Macro factors in oil futures returns” (with Y. Le Pen): European IAEE Conference, September 2012, Venice.
• “On the stochastic properties of carbon futures prices” (with J. Chevallier): European IAEE Conference, June 2011,
Stockholm; 10th Applied Environmental Economics Conference (envecon), UKNEE, March 2012, London; HEC Energy
& Finance Chair Research Conference “The Behavior of Carbon Prices”, CDC Climat Research, January 2012, Paris.
• “Futures trading and the excess comovement of commodity prices” (with Y. Le Pen): 3ème Journées de l’Atelier Finance & Risque, March 2010, Nantes; Forecasting Financial Markets, May 2011, Marseille; Workshop in Development
Economics, September 2011, Aix-en-Provence; XXIth International Conference on Money, Banking and Finance, December 2012, Roma; EWGCFM 51st Annual Meeting, May 2013, London; AFFI Annual Meeting , May 2013, Lyon; AFSE,
June 2013, Aix-en-Provence; ESEM, August 2013, Gothenburg.
• “Are investors downside-risk averse? An empirical analysis of the risk-return trade-off using intraday data”: EFA, August
2010, Frankfurt; University of Nantes, Angers and Aix-Marseille II seminars.
• “The contribution of jumps to forecasting the density of returns”, (with F. Ielpo): Journées d’Économétrie – Développements
récents de l’économétrie appliquée à la Finance, EconomiX, Université Paris Nanterre, November 2009, Nanterre; 2nd
Humboldt-Copenhagen Conference on Financial Econometrics, May 2011, Copenhagen; Forecasting Financial Markets, May 2011, Marseille; ESEM, August 2011, Oslo; Computational and Financial Econometrics Conference, December 2011, London.
• “Option introduction and volatility in the EU ETS”, (with J. Chevallier and Y. Le Pen): International IAEE Conference,
June 2009, San Francisco; EAERE annual conference, June 2009, Amsterdam; European IAEE conference, September
2009, Vienna; University of Stirling, September 2009, Stirling; Chaire Finance Carbone Seminar, March 2011, Paris.
• “News and correlations: an impulse response analysis”, (with Y. Le Pen): Forecasting Financial Markets, May 2009, Luxembourg; LVIIIeCongrès de l’AFSE, September 2009, Paris-Nanterre University; Journées d’Économétrie – Développements
récents de l’économétrie appliquée à la Finance, EconomiX, Université Paris Nanterre, November 2009, Nanterre;
SNDE 2010, April 2010, Novara.
• “On the realized volatility of the ECX emissions 2008 futures contract: distribution, dynamics and forecasting”, (with
J. Chevallier): Atelier Finance et Risque, April 2009, Nantes; “Carbon Markets Workshop”, LSE, May 2009, London; 6th
MONDER Conference, May 2009, Rio de Janeiro; IEW Workshop, June 2009, Venise; ESEM, August 2009, Barcelona;
European IAEE Conference, September 2009, Vienna; University of Stirling, September 2009.
Updated: July 17, 2015
4/6
• “A pair-wise econometric approach to testing for energy intensities convergence: New method for new results”, (with
Y. Le Pen): 31st IAEE International Conference, June 2008, Istanbul.
• “Volatility transmission and volatility impulse response functions in European electricity forward markets”, (with Y. Le
Pen): 31st IAEE International Conference, June 2008, Istanbul; UKERC Meeting “Policymaking Benefits and Limitations from Using Financial Methods and Modelling in Electricity Markets”, St Anne’s College, July 2008, Oxford (UK);
LVIIeCongrès de l’AFSE, September 2008, Paris; Journées d’Économétrie – Développements récents de l’économétrie
appliquée à la Finance, EconomiX, Université Paris Nanterre, September 2008, Nanterre.
• “Optimal hedging in European electricity forward markets”, (with Y. Le Pen) : University of Angers, September 2007;
University of Nantes, May 2007; 6th Toulouse Conference on Environment and Resources Economics: “Environment,
Finance and Corporate Behavior”, May 2007, Toulouse; 9th IAEE European Meeting, June 2007, Florence; University of
Caen, June 2007.
• “The impact of uncertainty on the firm’s banking behavior in the US Acid Rain Program”, (with O. Rousse): “International Workshop on Uncertainty in Greenhouse Gas Inventories: Verification, Compliance & Trading”, September
2004, Warsaw (co-author); LACEA Annual Meeting, October 2005, Paris; LIVeCongrès de l’AFSE, September 2005, Paris;
7th IAEE European Meeting, August 2005, Bergen; 45th ERSA Annual Meeting, August 2005, Amsterdam; 10th Symposium on Finance, Banking, and Insurance, December 2005, Karlsruhe; séminaire du CIRED, February 2006, Paris; 15th
EAERE Annual Conference, Thessaloniki, juin 2007.
• “Electricity sector deregulation and the environment”: 19ème Congrès Mondial de l’Énergie, September 2004, Sydney.
• “Développement des marchés financiers de couverture sur les secteurs du gaz et de l’électricité”: séminaire de l’Institut
Français de l’Énergie, April 2002, Paris.
T EACHING A CTIVITIES
• The Economics of Financial Markets (L2 EAD) (2014, UPMF).
• Économétrie Appliquée (CM L3 MASS) (2014, UPMF).
• Finance Internationale et Matières Premières (CM M2) (2014, ENSIMAG).
• Marchés Financiers de l’Énergie (CM M2 EEDD) (2014, UPMF).
• Économétrie Financière (CM M1) (2013, U. Aix-Marseille).
• Gestion des Risques (CM, M2 MRF) (2012, U. Aix-Marseille).
• Numerical Option Pricing (CM, M2 MRF) (2013, U. Aix-Marseille).
• Optimization Methods in Finance (CM, M2 MRF) (2013, U. Aix-Marseille).
• Computational Finance (CM, M2 MRF) (2012, U. Aix-Marseille).
• Marchés Financiers (CM L2) (2012, U. Aix-Marseille).
• Mathématiques Financières (CM L3, 1ère année de Magistère) (2012-2013, U. Aix-Marseille).
• Finance de Marché (2012-2013, 1ère année de Magistère, U. Aix-Marseille).
• Risque et Décision (CM L3) (2011, U. de la Méditerranée).
• Techniques Quantitatives en Économie et Gestion (CM L3) (2011/2012, U. de la Méditerranée).
• Gestion des Risques (CM, M2 EBF et MRF) (2011/2012, U. de la Méditerranée).
• Théorie des Marchés Financiers (CM, M2 EBF et MRF) (2011, U. de la Méditerranée).
• Finance de Marché (CM, L3 et M1) (2011/2012, U. de la Méditerranée).
• Produits Dérivés (CM et TD M1) (2006/2009, U. Angers).
• Théorie du choix de portefeuille (CM et TD M1) (2006/2010, U. Angers).
• Théorie de la Finance (CM M2) (2006/2010-2012, École Centrale Nantes).
• Marchés de Matières Premières (2009/2011, Master Ingénierie Économique et Financière (272, IEF), U. Paris Dauphine).
• Séminaire Marchés de Matières Premières (2008/2010, Master BIM, U. Paris Dauphine).
• Gestion des Risques sur les Marchés de Matières Premières (2006/2011, Séminaire M2 Université Montpellier I et ISTOM).
• Marchés d’Actions et d’Obligations (CM et TD M1) (2006/2009, U. Angers).
• Mathématiques Financières (CM L3) (2006/2007, U. Angers).
• Tutorials in Mathématiques (TD L1, TD L2), Mathématiques Financières (TD L2), Histoire de la Pensée Économique
(TD L1), Histoire des Faits Économiques (TD L1), Conférences de méthodes (TD L1), Marketing Bancaire et Financier
(TD M1) while teaching assistant (2001/2006).
OTHER P ROFESSIONAL A CTIVITIES
Updated: July 17, 2015
5/6
• Guest Editor
1. Special Issue of Research in International Business and Finance, ISCEF, April 2014, Paris, with Fredj Jawadi.
2. Special Issue of the European Journal of Comparative Economics, September 2014, with Duc Khuong Nguyen.
• Master Thesis Advising
1. “Does the volatility smirk forecast oil futures returns?”, Benoı̂t Wintergerst, École Centrale de Nantes & Cranfield
School of Management, Cranfield University, 2015.
2. “The impact of the U.S. shale oil revolution on world oil prices and U.S. gasoline prices”, Nelly Morisot, University
of Grenoble, 2015.
3. “Option-implied distribution in the oil market: Estimation and empirical analysis”, Gauthier Teresa, Aix-Marseille
School of Economics, 2014.
4. “The risk-return trade-off in emerging and developed financial markets: A comparative analysis under MIDAS
regression specification”, Yacine Bekrar, Aix-Marseille School of Economics, 2012.
• PhD committees
1. Théo Naccache, March 2010 (Université Paris-Ouest).
2. Lina Escobar Rangel, November 2014 (referee) (CERNA – Mines Paris Tech)
3. Asmaa Boutachali, December 2014 (referee) (Université Montpellier 1)
• PhD advising committees
1. Alexis Vessat, June 2015 (Université Montpellier 1)
• Recruitment committees
1. Université d’Angers, 2009.
2. Aix-Marseille Université, 2012.
3. Université Grenoble Alpes, 2015 (President of the Committee).
4. Université Paris-Dauphine, 2015.
• Member of the Scientific Committee for:
1. 2nd Symposium International sur l’Énergie et la Finance (ISEFI-2014), Paris, March 28, 2014.
2. 3rd Symposium International sur l’Énergie et la Finance (ISEFI-2015), Paris, March 20, 2015.
• Referee activity: American Journal of Agricultural Economics (2), Annals of Economics and Statistics/Annales d’Économie
et de Statistiques (1), Annals of Finance (1), Applied Economics (1), Bankers, Markets & Investors (1), Climate Policy
(3), Economics Bulletin (4), Economic Modelling (5), Économie Appliquée (1), Emerging Markets Finance and Trade
(1), Emerging Markets review (1), Empirical Economics (1), Energy Journal (5), Energy Economics (9), Energy Policy (12), Energy Studies Review (1), Environmental and Resource Economics (6), Environmental Science and Policy
(2), Environmetrics (1), European Journal of Comparative Economics (2), European Journal of Operational Research
(8), International Journal of Production Economics (1), International Economics (2), International Review of Financial Analysis (3), Journal of Banking & Finance (1), Journal of Economic Integration (1), Journal of Energy Markets (1),
Journal of Environmental Policy & Planning (1), Journal of Futures Markets (1), Journal of the Operational Research
Society (2), Journal of the Royal Statistical Society Series A (1), Louvain Economic Review/Recherches Économiques de
Louvain (1), North American Journal of Economics and Finance (3), Resource and Energy Economics (1), Research in
International Business and Finance (7), Revue d’Économie Politique (1).
• Professional membership: Society for Financial Econometrics (SoFiE), Econometric Society (ES), French Economic
Association (AFSE), International Association for Energy Economics (IAEE), American Statistical Association (ASA).
• 2007/2010: Jointly responsible for the “Atelier Finance & Risque” du LEMNA [Atelier Finance & Risque].
• 2006/2007: Jointly responsible for the Economic Seminar in Angers University (2006-2007).
• 2007/2010: Jointly responsible for the Economic and Management Working Paper Series of the GRANEM (Angers University) [Cahiers du GRANEM].
M ISCELLANEOUS
• Citizenship: French
• Computer skills: Matlab, Eviews, Gretl, LaTeX.
• Languages: English (fluent), Italian (notions), German (notions), French (native).
• Used to practice sprint (60m, 100m, 200m) and volley-ball at the national level
• Hobbies: beach-volley, tennis, reading and . . . a bit of economics (sorry for that!)
Updated: July 17, 2015
6/6