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 this ever-growing literature a new, simple and parsimonious testing procedure for volatility transmission. Our test focuses on extreme (large) values of the latent process of […]

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 feasibility of others. In the Prisoner’s Dilemma played in random networks we show that when present, direct reciprocity gains dominance over network-based indirect reciprocity as […]

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 formally test the hypothesis of a power-law, going further than the usual visual inspection of the distribution of the variable of interest on a doubly […]

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 the value of exports of the country in 2007, and 71% in 2011. We combine the geolocalization of – both artisanal and industrial – mining […]

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 with endogenous corruption. From this analysis, we can extract four main results. First, contrary to Al-Marhubi (2000) and Blackburn textit{et al.} (2011), the relation between […]

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 up the stairs and down the elevator. Such microstructure effects also help to explain some of the puzzles of the FX market, such as the […]

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, the book studies the following theories: Keynesian macroeconomics, monetarism, disequilibrium macro (Patinkin, Leijonhufvud, and Clower) non-Walrasian equilibrium models, and first-generation new Keynesian models.Three stages are […]

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 the highest FD quintile raises the DBC by 4 to 6 years on average, depending on the DBC measure. This result is robust to a […]

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 true ratio with very high probability. Constructing confidence sets for ratios using Fieller’s method is a viable solution as the method can avoid the discontinuity […]

Thèses soutenues en 2016 SALL Abdoul Khadry « Les perspectives de ciblage de l’inflation dans les pays de l’Union Economique et Monétaire Ouest Africaine (UEMOA) » (Cotutelle, sous les directions de Jean-Paul POLLIN et Adama DIAW, Université Gaston Berger de Saint-Louis, Sénégal), soutenue le 8 décembre 2016. TOADER Oana « Recherches sur les coûts et les bénéfices de la nouvelle régulation bancaire. Applications au cas européen » (Sous les directions de Jean-Paul POLLIN et Raphaëlle BELLANDO), soutenue le 5 juillet 2016. LEROY Aurélien « Analyse des effets de la […]