Mardi | 2016-09-20 16h00-17h20-Salle des thèses Xin LI – Daniel LADLEY – Subir BOSE Steroid hormones, such as testosterone, have been shown to affect risk preferences in humans with high levels leading to excessive risk-taking. Hormone levels, in turn, are affected by trading outcomes as well as by gender-males are more sensitive to stimuli than females. We investigate the effects of hormones on market behavior and trader performance. An increase in the proportion of female traders does not necessarily make […]

Mardi | 2016-09-13 16h00-17h00 en sully 05 Thais NUNEZ-ROCHA – Inmaculada MARTíNEZ-ZARZOSO Recent research has questioned the effectiveness of International Environmental Agreements; some are seen as an attempt by countries to project an image on the international stage, rather than legitimate environmental concerns. This paper focuses on the Rotterdam Convention (RC) on hazardous chemicals (HCs) and the Stockholm Convention (SC) on persistent organic pollutants (POPs). It explicitly evaluates the effects of ratification and adoption of these agreements on imports of […]

Mardi | 2016-07-05 16h00-17h00 en sully05 FEI JIN – Lung-fei LEE In this paper, we consider estimation of the matrix exponential spatial specification model with the Durbin and endogenous regressors. We find that the nonlinear two-stage least squares (N2SLS) estimator is in general consistent and asymptotically normal. However, when the Durbin and endogenous regressors are irrelevant, the gradient vector of the N2SLS criterion function has a singular covariance matrix with probability approaching one (w.p.a.1.). Some components of the N2SLS estimator […]

Mardi | 2016-06-30 16h00-17h00 en Sully05 Andrea STOIAN – Bettina BöKEMEIER The aim of this study is to investigate debt sustainability in ten Central and Eastern European countries over 1997-2013. Following Burger (2012), we calculate the stabilized debt using the estimates of a fiscal reaction function for a balanced panel with fixed effects. Comparing the stabilized, the effective debt ratios and the historical averages, we can assess debt sustainability in short and in long run

Mardi | 2016-06-30 16h00-17h00 en sully05 Filip IORGULESCU – Andreea STOIAN The aim of this paper is to examine whether information on fiscal policy includes in the stock prices in a way which is consistent with the Efficiency Market Hypothesis. We conduct our investigation for the Bucharest Stock Exchange which is one emerging stock market from Central and Eastern Europe. For the purpose of our study, we employ the methodology suggested by Darrat (1988). We analyse the influence of past […]

Mercredi | 2016-06-22 12h B103 Les fluctuations de prix ont toujours créé un environnement défavorable aux anticipations correctes des agents économiques. Elles rendent par leur effet, vulnérables lesproducteurs et consommateurs qui dépendent des produits concernés. Or l’un des moyens de réduire la vulnérabilité et la pauvreté en milieu rural est de garantir des prix stables.Les politiques de stabilisation ont pour rôle d’asseoir la stabilité des prix agricoles et des principales denrées. Le présent article teste, à l’aide d’un modèle ARCH, […]

Mardi | 2016-06-21 16h00-17h20 en sully 05 Denisa BANULESCU-RADU The nature of the relationship between trading volume and volatility series has been widely studied but overall, the literature provides mixed results. In this paper, we investigate this issue for the thirty components of the Dow Jones stock market index in light of a recent concept named anti-cointegration. For almost all firms, we show that the most persistent component of both trading volume and volatility series is idiosyncratic and dwarfs a […]

Mercredi | 2016-06-15 12h B103 A venir

Mardi | 2016-06-14 Sully05 16h00-17h20 Jean-Pierre URBAIN – Jan LOHMEYER – Franz PALM – Hanno REUVERS This paper investigates the Focused Information Criterion (Claeskens and Hjort (2003)) in autoregressive models with local misspecification. A main advantage of the FIC is that model selection and/or model averaging is focused on the quantity of interest instead of aiming at some measure of global model fit. The quantity of interest is allowed to be any (su fficiently regular) function of the parameters. We […]

Mardi | 2016-06-07 10h00-11h20 Inmaculada MARTíNEZ-ZARZOSO – Florian JOHANNSEN This paper investigates the determinants of indirect exporting using firm-level data for 27 countries in Eastern Europe and Central Asia. Indirect exporting depends on a combination of fixed and variable trade cost factors. We hypothesize that firms that perceive transportation, crime, legal systems and corruption as severe obstacles face higher fixed costs and are more likely to export indirectly and that indirect exporting tends to be a temporary strategy. Econometric models […]