Année : 2010

Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis (preliminary draft)

Mardi | 2010-12-14 B103 Rabah AREZKI – Bertrand Candelon – Amadou SY – libre This paper examines the spillover effects of sovereign rating news across countries and financial markets using daily data on sovereign credit default swaps (CDS) spreads, stock market indices and sub-indices for banking and insurance for selected European countries during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically significant spillover effects both across countries and financial markets implying that rating agencies announcements […]

Public Finance and Economic Growth: The Case of Holland in the 17th Century

Mardi | 2010-12-07 B103 Oscar GELDERBLOM – Joost JONKER – Cyrille PIATECKI – Christian RIETSCH The debate over the institutions that link economic growth to public finance tends todisregard the need for savings to finance growing public debt. We analyze Holland’s 17thcentury public debt and find that its structure, size, and issuing rates were determined byinvestors’ preferences, themselves driven by economic growth, wealth accumulation, andchanging private investment opportunities. Savings generated by economic growthenabled the government to build up a huge […]

Entreprises adaptatives, détermination des prix et répartition du revenu dans un modèle macroéconomique multi-agents avec monnaie endogène

Mardi | 2010-11-30 B103 Pascal SEPPECHER – Cyrille PIATECKI Ce papier présente un modèle macroéconomique qui associe étroitementthéorie de la monnaie endogène et approche multi-agents. C’est un modèledécentralisé, peuplé d’agents multiples, hétérogènes, autonomes et concurrentsqui interagissent simultanément dans les sphères réelle et monétaire.Les propriétés macroéconomiques du modèle ne sont pas postulées, ce sontdes propriétés émergentes du système complexe formé par les interactionsentre les agents.On dote les entreprises de capacité d’adaptation, alliant imitation et innovation,pour déterminer les prix sur le marché […]

Stratégies évolutionnaires dans un modèle macroéconomique dynamique et complexe peuplé d’agents hétérogènes, autonomes et concurrents

Mardi | 2010-11-30 B103 Pascal SEPPECHER – Cyrille PIATECKI Dans un papier récent (Seppecher 2010b), écrit pour le colloque de l’Associationpour le Développement des Etudes Keynésiennes (ADEK, Bordeaux,juillet 2010), j’ai présenté une série de simulations dans lesquelles les entreprisespeuplant un modèle multi-agents avec monnaie endogène mettaient enoeuvre des stratégies évolutionnaires pour déterminer le prix de vente de leurproduction, cherchant à maximiser leurs profits. J’y étudiais l’impact macroéconomiquede ces stratégies, m’intéressant en particulier à leurs effets surla répartition du revenu entre […]

Do Savers Respond to Tax Incentives? The Case of Retirement Savings

Mardi | 2010-11-23 B103 Clément CARBONNIER – Alexis DIRER – libre This article exploits a large micro-file tax return data to test whether savers respond to the presence of tax incentives by contributing more in saving accounts that mandate annuitization at retirement. A frictionless model of demand for annuity is first set, which highlights the phenomenon of bunching of savers around tax thresholds when consumers’ budget set is kinked. Using French households income tax data, we do not find any […]

Interpreting dynamic space-time panel data models

Mardi | 2010-11-16 B103 Nicolas DEBARSY (CERPE De Namur) – Cem ERTUR – James P. LeSAGE – libre There is a great deal of literature regarding the asymptotic properties ofvarious approaches to estimating simultaneous space-time panel models, butlittle attention has been paid to how the model estimates should be interpreted.The motivation for use of space-time panel models is that they canprovide us with information not available from cross-sectional spatial regressions.[8] show that cross-sectional simultaneous spatial autoregressivemodels can be viewed as […]

To Control or Not to Control? Bias of Simple Matching vs Difference-in-Difference Maching in a Dynamic Framework

Mardi | 2010-11-09 B103 Sylvain CHABE-FERRET – libre In this paper, I examine whether the claim “the more control variables, the better” holdswhen matching in a dynamic context. I exhibit three situations where it is better todifference with respect to past outcomes rather than to control for them: DID-matchingis unbiased whereas matching on past outcomes is biased. I also study the special caseof evaluating a job training program, borrowing a credible selection rule from Heckman,LaLonde, and Smith (1999) and relying […]

Microfinance and Entrepreneurship in Cameroon

Mardi | 2010-11-02 B103 Serge MESSOMO ELLE – libre The objective of this paper was to examine the role of microfinance institutions oncreation and expansion of microenterprises in Cameroon using the Schumpeter model and theVerstraete and Fayolle model of definitions of entrepreneurship. Creation of organization wasassociated with creation of microenterprise business organizations and expansion was associatedwith identification of business opportunity, value creation and innovation. The study uses ninemicrofinance institutions from Cameroon to assess the relationship between microfinanceinstitutions services and creation […]

A Non-Newtonian Examination of the Theory of Exogenous Economic Growth

Mardi | 2010-10-19 B103 Diana-Andrada FILIP – Cyrille PIATECKI – libre The development of the newtonian calculus has unexpectedly bea look-in in such away that the additive derivative approach ofNewtonand Leibnitz could have been replaced by a multiplicative one,more adapted to growth phenomenon. In this paper, we have triedto present how a non-newtonian calculus could be applied to repostulateand analyse the neoclassical exogenous growth model.