Mardi | 2016-12-13 16-17h20 en sully05 Abdelaati DAOUIA – Stéphane GIRARD – Gilles STUPER We use tail expectiles to estimate alternative measures to the Value at Risk (VaR), Expected Shortfall (ES) and Marginal Expected Shortfall (MES), three instruments of risk protection of utmost importance in actuarial science and statistical finance. The concept of expectiles is […]
Mardi | 2016-11-29 16-17h20 en sully05 Sessi TOKPAVI – Christophe BOUCHER – Elena Ivona DUMITRESCU This paper is about testing for volatility transmission between financial markets. The potential adverse e ffect of volatility spillover on fi nancial stability is a subject of great importance in the current context of increasing financial integration. We add to […]
Mardi | 2016-11-22 16h00-17h20 en salle des thèses Simone RIGHI – Karoly TAKACS Previous studies show that direct and indirect reciprocity are good candidates to explain the fundamental problem of evolution of cooperation between unrelated individuals. The importance of different forms of reciprocity, however, might be differentiated and one form could potentially drive out the […]
Mardi | 2016-11-15 Salle des thèses Gilles DUFRENOT – Anne-Charlotte PARET This paper provides evidence that the external debt-to-fiscal revenue ratio in the emerging countries follows a power-law distribution. Such a distribution reflects the fact that external debt distress or debt crises correspond to extreme events that have been found to happen fairly often. We […]
Mardi | 2016-11-08 16-17h20 en salle des thèses Victoire GIRARD – Rémi BAZILLIER This paper takes advantage of a quasi-natural experiment to provide the first comparative analysis of the impact of artisanal versus industrial extraction of natural resources on households’ wealth. This experiment is provided by Burkina Faso’s gold mining sector: gold represented 1.6% of […]
Mercredi | 2016-10-26 B103 12h Réda MARAKBI – Patrick VILLIEU In this paper, we build an endogenous growth model describing a cash-in-advance economy to reassess the macroeconomic consequences of corruption in terms of monetary policy in the long run. To this end, we consider two main configurations: a model with exogenous corruption and a model […]
Mardi | 2016-10-18 16-17h20 en salle des thèses Louis RAFFESTIN We present a model of the FX market with 3 agents: carry traders, momentum traders, and fundamentalists, where carry traders are subject to funding constraints. We show that the interactions between these agents provide a theoretical base for the empirical observation that exchange rates go […]
Mardi | 2016-10-14 14h30-16h30 en B103 Michel DE VROEY This book retraces the history of macroeconomics from Keynes’s General Theory to the present. Central to it is the contrast between a Keynesian era and a Lucasian – or dynamic stochastic general equilibrium (DSGE) – era, each ruled by distinct methodological standards. In the Keynesian era, […]
Mardi | 2016-09-27 16h00-17h40 – Salle des thèses Jean Thomas BERNARD – Ba CHU – Lynda KHALAF We study estimation uncertainty when the object of interest contains one or more ratios of parameters. The ratio of parameters is a discontinuous parameter transformation; it has been shown that traditional confidence intervals often fail to cover this […]
Mardi | 2016-09-27 16h00-17h40 Salle des thèses Alexandru MINEA – Clément MATHONNAT Using an extensive dataset covering 96 banking crises in 75 countries over 1977-2014, we study the role of financial development (FD) in the duration of banking crises (DBC). Our duration analysis reveals that FD significantly increases the DBC: moving from the lowest to […]