Mardi | 2017-03-07 16h00-17h20 salle des thèses Patrick VILLIEU – Maxime MENUET – Alexandru MINEA This paper presents a theoretical setup for studying nonlinear effects of pubic debt in an endogenous growth model with cycles. Our results are threefold. (i) From a long run perspective, our model exhibits multiplicity, i.e. a high-growth and a low-growth balanced growth path (BGP), due to the interaction between the government’s budget constraint and households optimal saving behavior. (ii) Turning to local dynamics, while the […]

Mercredi | 2017-03-01 B103 12h Nicolae-Bogdan IANC We estimate, following a PVAR methodology, the fiscal multipliers of the E(M)U members and candidates. We perform our analysis on four groups of European countries, focusing specifically on CEE countries as Albania, Macedonia, Serbia and Turkey. Our results suggest that, in the short run, the EU candidates exhibit the highest values of their spending multipliers. Furthermore, being an EU member seems to affect in particular the spending multiplier, in the short run. Tax […]

Mardi | 2017-02-28 16h00-17h20 en salle des thèses Daniel MIRZA – Rémi BAZILLIER – Francesco MAGRIS This paper shows that policies which favor (im)-migration may actually provoke unexpected consequences by increasing the outflows of previously settled migrants. To do so, we set a 3-country theory where already settled migrants in one country of residence respond to economic and policy incentives making them move back to their country of origin or a third country. In particular, we show that outmigration from […]

Mercredi | 2017-02-15 B103 12h This paper studies the impact of natural disasters on exports of agricultural products by developing countries. We first highlight many channels (domestic supply and demand, changes in relative costs/prices and changes in preferences of importers) through which disasters affect exports, making their relationship very ambiguous. We then run a series of regressions to see how disasters affects first, exports to the rest of world and second, exports across partners. Using different sets of disaster variables […]

Mardi | 2017-02-07 Salle des thèses de 16h00 à 17h20 Guillaume VUILLEMEY – Vincent BIGNON We provide the first empirical description of the failure of a derivatives clearinghouse.We use novel, hand-collected, archive data to study risk managementincentives of the Paris commodity futures clearinghouse around its failure in 1974.We do not find evidence of lenient risk management during the commodity priceboom of 1973-1974. However, we show severe distortions of risk management incentives,akin to risk-shifting, as soon as prices collapsed and a […]

Mardi | 2017-01-31 Salle des Thèses de 16h00 à 17h20 Mihai MUTASCU The paper investigates the causality between government revenues and government expenditures in the case of Romania, for the period 1991m1-2015m5, by following the wavelet approach. The study offers detailed information of this connection, for different sub-periods of time and frequencies, emphasizing the lead-lag nexus between variables under cyclical and anti-cyclical shocks. The main findings show that the treasury goals should be controlled by using the individual taxation techniques […]

Mardi | 2017-01-24 Sully05 de 16h00 à 17h20 Nikolay NENOVSKY – Jacques-Marie VASLIN Shadowing the Latin Monetary Union: Interest rates and Debts Dynamics at the Balkans Periphery

Mardi | 2017-01-17 16h00-17h20 en sully05 clément GOULET – Matthieu GARCIN In this paper, we propose an innovative methodology for modelling the news impact curve. The news impact curve provides a non-linear relation between past returns and current volatility and thus enables to forecast volatility. Our news impact curve is the solution of a dynamic optimization problem based on variational calculus. Consequently, it is a non-parametric and smooth curve. To our knowledge, this is the first time that such a […]

Mardi | 2017-01-10 16h00-17h20 sully 05 Christophe HURLIN – Sylvain BENOIT – Christophe PERIGNON We identify two main shortcomings in the systemic-risk scoring methodology currently used to identify and regulate Systemically Important Financial Institutions (SIFIs). Using newly-disclosed regulatory data for 119 US and international banks, we show that the economic magnitude of the resulting bias turns out to be important. The banks that benefit the most from the bias are custodian banks and (non-) Eurozone banks when the Euro weakens […]

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 a least squares analogue of quantiles. Both expectiles and quantiles were embedded in the more general class of M-quantiles as the minimizers of an asymmetric […]