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Academic Programs

The notional amount of derivatives held by French and US firms surpasses gross domestic product. The goal of this project is to explore the real implications of derivatives for firms and the macroeconomy using regulatory data from France. I outline a simple framework to clarify derivatives’ dual role in cash management and uncertainty management. I then describe empirical exercises that I plan to implement to quantify the effect of derivatives on firms’ cash volatility and pricing. For pricing, I provide theoretical conditions under which hedging has no effect, which allows me to interpret the null under a large class of models.