Mercredi | 2020-09-17 Salle des thèses – 12h00 Yannick LUCOTTE – Elham KAMAL – Vahid TAGHINEZHAD Abstract :This paper studies in two stages the effects of central bank credibility on exchange rate pass-through (ERPT) on 20 inflation targeting (IT) countries. In the first stage, using 60 months rolling window regression of inflation on nominal effective exchange rate is obtained time-varying ERPT in during 1979m1-2020m5. In the second stage a credibility loss index is computed to measure the importance of central […]

Mardi | 2020-06-02 11H00 – Webinar Marcel-Cristian VOIA AbstractWe construct an unique microgeographic data to study the effects of Canadian bank branch network on consumer’ cash management. We create the average distance of consumer’s travelling to (affiliated) closest branch on the Forward Sortation Area (FSA) level, which avoids the attenutation bias and accounts for spatial bank branch network. By shrinking the difference of distances between general Financial Institution (FI) and specific FI branch, we are able to separate the effects […]

Mardi | 2020-05-20 11H00 – Webinar Daniela BALUTEL This paper estimates the effect of Bitcoin ownership on the level of consumer cash holdings, showing that adoption is indeed strongly correlated with cash holdings even after controlling for other relevant factors. We further model Bitcoin ownership itself to control for selection effects. Finally, we compute quantile regressions which demonstrate a highly non-linear effect of Bitcoin ownership on cash holdings. Our results provide evidence against the narrative that certain new technologies such […]

Mardi | 2020-03-10 Salle des thèses 16h-17h20 Kiril TOCHKOV China’s rapid growth has masked the fact that some of its regions have failed to catch up with the modernization and efficiency drive during the market transition. China’s Northeast was once the most prosperous part of the country and a model for socialist industrialization efforts. But since the reforms and opening up, the region has struggled to turn its old industrial base into a vibrant economy. Trade represents a possible channel […]

Mardi | 2020-03-05 Salle B.103 12h15 16h45 Alessio BONGIOVANNI We offer early evidence on the impact of negative interest rate policy (NIRP) on bank risk-taking. Our robust empirical evidence finds banks in NIRP-adopter countries reduce holdings of risky assets by around 10 percentage points compared to banks in non-adopter countries. This supports the “deleverage” hypothesis, which posits that banks opt to cleanse weakened balance sheets by investing in safer liquid assets, such as, sovereign bonds due to favourable, zero risk […]

Mardi | 2020-03-03 Salle des thèses 16h-17h20 Graciela KUECHLE Entrepreneurs cope with uncertainty in different ways, from predictive approaches, based on the statistical assessment of contingencies, to non-predictive approaches based on judgment and oriented towards action. In this paper we develop a simple mathematical framework of the process by which entrepreneurs collect information about customers’ preferences under predictive and non-predictive strategies to assess the conditions under which they reduce uncertainty. Whereas predictive approaches offer a relatively economic way of reaching […]

Mercredi | 2020-02-19 12h30 – Salle B103 Robin SICKLES .

Mardi | 2020-02-18 Salle des thèses 16h-17h20 Olivier David ZERBIB I show how sustainable investing affects asset returns through exclusionary screening and environmental, social, and governance (ESG) integration. I develop an asset pricing model with partial segmentation and disagreement. A taste premium clarifies the relationship between ESG and financial performance. Two exclusion premia, generalizing Merton’s (1987) premium on neglected stocks, drive the exclusion effect. By using green fund holdings to proxy sustainable investors’ tastes, I estimate the model applied to […]

Mardi | 2020-01-28 B103 16h 17h20 Olivier SCAILLET We develop a simple, nonparametric approach for estimating the entire distributions of mutual fund skill and its economic value. Our approach avoids the challenge of specifying these distributions and accommodates the need to study jointly multiple skill measures. Our results show that the vast majority of the funds are skilled, which allows them to earn large economic profits. We also show that investment and trading skills vary substantially across funds and are […]

Mardi | 2020-01-21 Salle B103 16h – 17h20 Leonardo Eric CALCAGNO Argentina’s National Social Security Administration (ANSES), the country’s main social security scheme, lacks official projections of its future expenses or income. This hinders the study of the system’s sustainability, and makes it impossible to evaluate ex ante the impact of social security reforms either on social security accounts or on its beneficiaries. This paper presents the dynamic Microsimulation model for Social Security in Argentina (MISSAR): its general architecture, input […]