Mercredi | 2017-11-09 Salle B103 – 12h00 Cherry MOUNIR SAAD KHALIL This paper aims to investigate the effect that infrastructure quality and accessibility have on the extensive and intensive export margins of manufacturing firms in Egypt. Using firm-level data from the World Bank’s enterprise survey for the years 2007 and 2013, we attempt to link Egyptian firms’ heterogeneity in productivity and characteristics related to the access toinfrastructure such as transport, telecommunication, power generation and water and sanitation, with their trade […]

Mardi | 2017-11-07 Salle des thèses 16h – 17h20 Angela CHEPTEA – Charlotte EMLINGER – Karine LATOUCHE This paper questions the impact of the globalization of the retail sector on the export activity of origin country agri-food firms. We use an original firm-level database of French agri-food exports that identifies the domestic suppliers of French retailers through certification with the private IFS standard. Results show that IFS certified French firms are more likely to export and export larger volumes than […]

Mardi | 2017-10-24 Salle des thèses 16h – 17h20 Julien IDIER – Thibaut PIQUARD We propose in this paper a simulation framework of pandemic in financial system composed of banks, asset markets and interbank markets. This framework aims at complementing the usual stress-test strategies that evaluate the impact of shocks on individual balance-sheets without taking into account the interactions between several components of the financial system. We build on the network model of Gourieroux, Heam, and Monfort (2012) for the […]

Mardi | 2017-10-17 Salle des thèses 16h – 17h20 Guillaume CHEVILLON – Alain HECQ – Sébastien LAURENT This paper shows that a large dimensional vector autoregressive model (VAR) of finite order can generate fractional integration in the marginalized univariate series. We derive high-level assumptions under which the final equation representation of a VAR(1) leads to univariate fractional white noises and verify the validity of these assumptions for two specific models.

Mercredi | 2017-10-12 Salle B103 – 12h15 Olessia CAILLÉ – Daria ONORI The risk-based investment strategies, such as Minimum Variance, Maximum Diversification, Equal Risk Contribution, Risk Parity, etc. share the common feature of being based on a risk measure of the asset returns, typically the covariance matrix. When one comes to implement these strategies, the standard approach consists in using an unconditional covariance matrix, simply estimated by the sample covariance matrix of past returns over a rolling window. An alternative […]

Mardi | 2017-10-10 Salle des thèses 16h – 17h20 Yang LU – Christian GOURIEROUX We introduce a general state-space (or latent factor) model for time series and panel data. The state process has a polynomial expansion based dynamics that can approximate any Markov dynamics arbitrarily well, and has a latent, endogenous switching regime interpretation. The resulting state-space model is associated with simulation-free, recursive formulas for prediction and filtering, as well as the maximum composite likelihood estimation method, which has an […]

Mercredi | 2017-10-05 Salle B103 – 12h00 Nicoleta PINTILIE – Alin ANDRIES – Bogdan CAPRARU The present study re-assesses the competition-risk link based on a sample of 3,680 commercial, cooperative and savings banks from EU28 countries during 2005-2015. We determine the banklevel competition for loans and securities using Lerner index, its efficiency-adjusted form and Boone indicator. Marginal costs (MC) are estimated with a translog cost function with two bank products (i.e. loans and securities) and three input prices (i.e. labour, […]

Mardi | 2017-10-03 Salle des thèses 16h – 17h20 Patrick VILLIEU – Maxime MENUET This paper develops a new analysis of the strategic use of public debt. Contrary to the usual view that politicians can use public debt to tie the hands of their successors, we show that an incumbent government can take advantage of having tied his own hands before the election by the means of public debt. By so doing, he reduces the base for future social conflicts, […]

Mercredi | 2017-09-26 Salle B103 – 12h The influence of monetary and fiscal policy frameworks on the expected cost of systemic banking crisis.

Mardi | 2017-09-26 Salle des thèses 16h – 17h20 Yeliz YALCIN – Hakan BERUMENT – Julide YILDIRIM This paper investigates the effect of inflation uncertainty innovations on inflation over time by considering the monthly United States data for the time period 1976-2006. In order to investigate the effect of inflation uncertainty innovation on inflation, a Stochastic Volatility in Mean model (SVM) has been employed. SVM models are generally used to capture the innovation to inflation uncertainty, which cannot be achieved […]