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 […]

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 […]