Mardi | 2014-12-16 Sully 5, 16h-17h20 Djamel KIRAT – Claire GAVARD We analyze the price dynamics of European allowances and international carbon credits in the second phase of the European carbon market. We develop and use a model combining fundamental drivers associated with the demand for quotas by installations and risk-return considerations related to the financial nature of carbon permits. We estimate it with autoregressive conditional heteroskedasticity models. Although carbon permits present some characteristics of financial assets, we find that […]

Mercredi | 2014-12-10 salle B103, 12h-14h Awa TRAORE Abstract: Major African cities came recently in the age of digital communications, mainly through the uprising of mobile phone networks which have experienced an impressive growth throughout the continent. The development of the continent mobile telecommunication market is providing many advantages in the economic, social and human fields, changing rural and urban populations access to information in most of developing countries, including Sub-Saharan Africa countries. The telecommunications sector has then been coming […]

Mercredi | 2014-12-03 salle B103, 12h-14h Nada MSELMI Abstract Financial distress prediction is a central issue in empirical finance that has drawn a lot of research interests in the literature. This paper aims to predict the financial distress of French small and medium firms using Logit model, Artificial Neural Networks and Support Vector Machine techniques. Empirical results indicate that one year before financial distress, Support Vector Machine is the best classifier with an overall accuracy of 88.57%. Two years before […]

Mardi | 2014-12-02 Sully 5, 16h-17h20 Daria ONORI – Marwân-al-Qays BOUSMAH We analyze the influence of financial openness on the level of aggregate consumption, a research question which has been left surprisingly unexplored by the previous literature. We construct a complete and balanced panel dataset of 88 countries for the period 1980-2010, and then differentiate between four groups of countries. Models for non stationary heterogeneous panels, as well as panel threshold regression models, are used to estimate the determinants of […]

Mercredi | 2014-11-26 salle B103, 12h-14h Armand FOUEJIEU AZANGUE – Alexandra POPESCU The leaning against the wind strategy in which the central bank responds to financial imbalances when setting its policy interest rate has been advocated in the aftermath of the recent financial crisis. While such a strategy can generate trade-offs between policy objectives, macroprudential frameworks are discussed in current debates as the most appropriated approaches to cope with financial instability. In response to financial risks, this paper investigates the […]

Mardi | 2014-11-25 Sully 5, 16h00-17h20 Gabriel AHLFELDT – Volker NITSCH – Nicolai WENDLAND The decision on where to locate transportation infrastructure is often a matter of great public dispute. Typically, positive and negative externalities arise simultaneously, exhibiting varying effects on localities in the surrounding area of the infrastructure. Given the difficulties in assessing these effects separately, previous work usually examines aggregate (net) effects of infrastructure provision, typically measured by property prices or land values. However, this approach is likely […]

Mercredi | 2014-11-19 salle B103, 12h-14h Ahmed Al Mahdi SAGNA Nous cherchons dans ce chapitre, à travers une modélisation VAR-structurelle, à identifier les chocs économiques responsables des fluctuations de l’activité dans la zone Uemoa, d’une part. D’autre part, nous cherchons à analyser l’évolution de la convergence de ces chocs, à l’aide d’une estimation dynamique des paramètres d’un modèle d’espace-état (Boone, 1997). Il ressort de cette étude que les chocs d’offre sont globalement responsables des fluctuations de la production dans cette […]

Mardi | 2014-11-18 Sully 5, 16h00-17h20 Abdoul Aziz NDOYE This study provides a Bayesian estimation method for unconditional quantile regression based on the recentered inuence function (RIF). The method consists of estimating a non linear RIF-regression model using a Gibbs-within-Metropolis Hastings sampler to perform better in the presence of heavytailed distributions. These techniques are used to evaluate the impact of changes in the distribution of covariates on the conditional quantiles of the marginal distribution of the dependent variable.Applied to a […]

Mercredi | 2014-11-05 salle B103, 12h-14h Marie-Pierre HORY This paper empirically analyses the relationship between public spending and GDP in a panel of Emerging (EMEs) and Advanced Economies (AEs) with quarterly data from 1990 to 2013. Using a Panel VAR model, we compute spending multipliers in AEs and EMEs and we confirm previous results in the literature: EMEs have smaller spending multipliers than AEs, and the persistence is weak in both cases. We then use a Panel Conditionally Homogenous VAR […]

Mardi | 2014-11-04 Sully 5 – 16h-17h20 Christophe HURLIN – Grégoire ISELI – Christophe PERIGNON – Stanley C.H. YEUNG As most Exchange-Traded Funds (ETFs) engage in securities lending or are based on total return swaps, they expose their investors to counter party risk. To mitigate the funds’ exposure, their counterparties must pledge collateral. In this paper, we present a framework to study collateral risk and provide empirical estimates for the $40.9 billion collateral portfolios of 164 funds managed by a […]