Année : 2011

Mardi | 2011-02-15 B103 Sebastian KESSING – Isabelle RABAUD xx

Mardi | 2011-02-08 B103 Petar Chobanov – Amine LAHIANI – Nikolay NENOVSKY Summary: When the first phase of the crisis focused primarily on the interbank market volatility, thesecond phase spread on the instability of public finance. Although the overall stance of public financesof the new members is better than the old member countries, the differences within the new group aresignificant (from the performer Estonia to the laggard Hungary). Sovereign CDS spreads have becomemajor variables focused on risks and expectations about […]

Mardi | 2011-02-01 B103 Philippe CHARLOT – libre The goal of the present paper is to present a new multivariate GARCH model with time varying conditional correlation. Since the seminal work of Bollerslev (1990), conditional correlation models have become a attractive field in economics. Different specifications have been developed to study both empirical findings and practical use like asymmetry, change in regime but also estimation of large correlation matrix (see, e.g. Silvennoinen and Teräsvirta (2009) for a survey of recent […]

Mardi | 2011-01-25 B103 Mireille CHIROLEU-ASSOULINE – Mouez FODHA This paper analyzes the environmental tax policy issues when labor is heterogeneous. The objec-tive is to assess whether an environmental tax policy could be Pareto improving, when the revenueof the pollution tax is recycled by a change in the labor tax properties. We show that, dependingon the heterogeneity characteristics of labor and on the initial structure of the tax system, a policymix could be designed in order to leave each class […]

Mardi | 2011-01-18 B103 Patrick GAGLIARDINI – Elisa OSSOLA – Olivier SCAILLET AbstractWe develop an econometric methodology to infer the path of risk premia from large unbalancedpanel of individual stock returns. We estimate the time-varying risk premia implied by conditional linearasset pricing models through simple two-pass cross-sectional regressions, and show consistency andasymptotic normality under increasing cross-sectional and time series dimensions. We address consistentestimation of the asymptotic variance, and testing for asset pricing restrictions. Our approach alsodelivers inference for a time-varying […]

Mercredi | 2011-01-12 B103 Aram BELHADJ – Comlanvi Jude EGGOH Over the past two decades, the Maghreb Countries have initiated a liberalization process characterized by increasing trade flows and they have strengthened economic and financial linkages between their economies.In this paper, we demonstrate how co-movements of outputs would respond to this integration process. The nature of this relation seems to be important for these countries because the decision to join an economic and monetary union would depend on how the […]