Année : 2013

Heterogeneous Monetary Transmission Process in the Eurozone: Does Banking Competition Matter? (version préliminaire)

Mercredi | 2013-09-18 B103 Aurélien LEROY – Désiré KANGA – Yannick LUCOTTE This paper examines the implications of banking competition for the interest rate channel in Eurozone over the period 2003-2010. Using an Error Correction Model (ECM) approach to measure the long and short-run relationship between money market rates, bank interest rates, and our competition proxy, the Lerner index, we find that competition (i) reduces the bank lending interest rates, (ii) increases the long-term interest pass-through and, (iii) speeds up […]

Le blocage d’une installation pour déchets dangereux à Zimapan (article non disponible)

Mardi | 2013-09-17 salle des thèses Vicente UGALDE À travers la présentation d’un projet pour mettre en œuvre une installation pour le traitement des déchets dangereux au Mexique, la communication proposera une révision des 25 ans de la politique mexicaine des déchets dangereux. L’objectif est d’identifier les idées sous-jacentes de cette politique, et les principaux problèmes qui affectent sa mise en œuvre et de réfléchir à son avenir et son rôle dans la transition vers un comportement plus respectueux de […]

Recommendation Value on an Emerging Market: the Impact of Analysts’ Recommendations on Stock Prices and Trading Volumes in Tunisia

Mardi | 2013-06-25 B103 Sébastien GALANTI – Zahra BEN BRAHAM Financial analysts issue “buy”, “sell” or “hold” recommendation about stocks. Recommendations have value if investors trade upon them, which should affect prices and trading volumes. We use the methodology of event study to analyze price and volume reaction to the recommendation release. With a database of 2359 recommendations about 55 companies on the Tunisian Stock Exchange (BVMT) from 2005 to 2009, we show that prices and volumes react significantly to […]

Prediction in a Spatial Nested Error Components Panel Data Model

Mardi | 2013-06-11 salle des thèses Badi H. BALTAJI – Alain PIROTTE This paper derives the Best Linear Unbiased Predictor (BLUP) for a spatial nested error components panel data model. This predictor is useful for panel data applications that exhibit spatial dependence and a nested (hierarchical) structure. The predictor allows for unbalancedness in the number of observations in the nested groups. One application includes forecasting average housing prices located in a county nested in a state. We derive the BLUP […]

The Econometrics of the Hodrick-Prescott filter (preliminary)

Mardi | 2013-06-04 B103 Neslihan SAKARYA – Robert DE JONG The Hodrick-Prescott (HP) filter is a commonly used tool in macroeconomics, and is used to extract a trend component from a time series. In this paper, we derive a new representation of the transformation of the data that is implied by the HP fi lter. This representation highlights that the HP filter is a weighted average plus a number of adjustments that are important near the begin and end of […]

Risk Management, Nonlinearity and Aggressiveness in Monetary Policy: The Case of the US Fed

Mardi | 2013-05-21 B103 Jean-Yves GNABO – Diego MOCCERO We contribute to the empirical literature on the risk-management approach to monetary policy by estimating regime switching models where the strength of the response of monetary policy to macroeconomic conditions depends on the level of risk associated with the inflation outlook and risk in financial markets. Using quarterly data for the Greenspan period we find that: i) risk in the inflation outlook and volatility in financial markets are a more powerful […]

Political Incentives and Financial Innovation: The Strategic Use of Toxic Loans by Local Governments

Mardi | 2013-05-07 B103 Christophe PERIGNON – Boris VALLEE We examine the toxic loans sold by investment banks to local governments. Using proprietary data, we show that politicians strategically use these products to increase chances of being re-elected. Consistent with greater incentives to hide debt, toxic loans are utilized significantly more frequently within highly indebted local governments. Incumbent politicians from politically contested areas are also more likely to turn to toxic loans. Using a difference in-differences methodology, we show that […]

Les choix de portefeuille des épargnants sur le cycle boursier et le cycle de vie

Mercredi | 2013-04-19 B103 Eric YAYI – Alexis DIRER Les épargnants d étenant des titres nanciers risqu es ont-ils tendance a investir à contretemps sur les march és boursiers, achetant au sommet et vendant dans les creux ? R éduisent-ils leur exposition au risque avec l’âge et en particulier à l’approche de la retraite ? Nous r épondons à ces deux questions à l’aide des donn ées d’un grand assureur fran cais répertoriant les souscriptions de contrats Madelin entre 2002 […]

Premarital Births in Senegal: an Empirical Investigation of its Consequences (Article non disponible)

Mardi | 2013-04-16 B103 Nathalie GUILBERT – Karine MARAZYAN In Senegal, 16% of young mothers have given births out-of-wedlock. In a country, where fecundity is mainly thought inside the marriage institution, this proportion is rather surprising. In this paper, we are interested in testing the existence of a stigmatization on both the mother and the out of wedlock child. To investigate this question, we examine the consequences of premarital births on women’s marital trajectory and on children’s health in Senegal. […]