Année : 2010

Mardi | 2010-10-12 B103 Nikolay NENOVSKY – Philippe SAUCIER

Mercredi | 2010-10-06 B103 Muhammad KHAN

Mardi | 2010-10-05 B103 Bertrand Candelon – Gilbert COLLETAZ – Christophe HURLIN – Sessi TOKPAVI – libre

Mardi | 2010-07-06 Salle Sully 3 Bertrand Candelon – libre A remplir

Mardi | 2010-06-22 B103 Wilfried KOCH – James P. LeSAGE – Cem ERTUR Anderson and van Wincoop (2003) make a convincing argument that traditionalgravity equation estimates are biased by the omission of multilateral resistance terms.They show that these multilateral resistance terms are implicitly de ned by a system ofnon-linear equations involving all regions’ GDP shares and a global interdependencestructure involving trade costs. We show how linearizing the system of non-linearrelationships around a free trade world leads to an interdependence structure […]

Mardi | 2010-06-15 B103 Yannick LUCOTTE – Grégory LEVIEUGE Inflation targeting is a monetary policy framework which was adopted by several emerging countries over the last decade. Previous empirical studies suggest that inflation targeting has significant effects on either inflation or inflation variability in emerging targeting countries. But, by reinforcing the disinflation process and so, by reducing drastically seigniorage revenue, the adoption of this monetary policy framework could also affect the design of fiscal policy. In a recent paper, Minea […]

Mardi | 2010-06-08 B103 Bertrand MAILLET – P. MERLIN – libre We propose a new methodology for abnormal return detection and correction, andevaluate the economic impacts of outliers on asset allocations with higher-order mo-ments (Cf. Maillet and Merlin, 2010). Indeed, extreme returns and outliers greatlya ect empirical higher-order moment estimations (Cf. Kim and White, 2004). We thusextend the outlier detection procedures of Franses and Ghijsels (1999) and Charles andDarn e (2005) with an Arti cial Neural Network – GARCH model […]

Mardi | 2010-06-01 B103 Adrian POP – Jérome COFFINET – Muriel TIESSET – Sébastien GALANTI The current global crisis offers a unique opportunity to investigate the leadingproperties of market indicators in an increasingly stressed environment and their usefulnessfrom a banking supervision perspective. One pool of relevant information that hasbeen overlooked so far in the empirical literature is the market for bank’s exchange-tradedoption contracts. In this paper, we first extract early-warning indicators from the pricesof the most actively traded option contracts […]

Mardi | 2010-05-25 B103 Oscar BERNAL – Jean-Yves GNABO – Yannick LUCOTTE This paper generalizes the reaction functions of central banks’ FX interventions to include oral inter-ventions alongside actual ones. Using Japanese data for the 1991-2004 period, we estimate an orderedprobit model explaining the occurrence of each type of intervention and evaluating the extent to whichoral and actual interventions are substitutes or complements. In addition, the effectiveness of interven-tions is examined using an event-study approach. Our results indicate that the […]

Mardi | 2010-05-18 B103 Jinzhao CHEN – libre This paper aims to investigate the e®ectiveness of capital controls in China for bothshort-term and long-term, with a special attention to the period of ¯nancial turbulencebursted in the summer of 2007. On one side, we employ a two regime threshold autore-gressive model to study the Renminbi yield di®erential between the onshore interest rateand the o®shore Non Deliverable Forward-implied one for the period of 2006-2009; onthe other side, we distinguish (and measure) the […]