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 […]

Mercredi | 2014-10-22 salle C002, 12h-14h Aurélien LEROY This paper empirically analyzes the linkages between credit procyclicality and financial architecture in Europe over the time period from 1999 to 2012 using panel VAR model with interaction terms. This framework allows to make response of credit to an real activity shock conditional to the financial structure of the different economies. Based on financial accelerator theory we presume that 4 indicators of country’s financial architecture (bank competition, bank business model, nature of […]

Mardi | 2014-10-21 Sully 5, 16h00-17h20 Charles DENNERY – Alexis DIRER This article proposes an equilibrium approach to lottery markets in which a firm designs an optimal lottery to rank-dependent expected utility (RDU) consumers. We show that a fi nite number of prizes cannot be optimal, unless implausible utility and probability weighting functions are assumed. We then investigate the conditions under which a probability density function can be optimal. With standard RDU preferences, this implies a discrete probability on the […]

Mardi | 2014-10-14 Sully 5, 16h00-17h20 Emmanuel THIBAULT – Hippolyte D’ALBIS In this paper, ambiguity aversion to uncertain survival probabilities is introduced in a life-cycle model with a bequest motive to study the optimal demand for annuities. Provided that annuities return is sufficiently large, and notably when it is fair, positive annuitization is known to be the optimal strategy of ambiguity neutral individuals. Conversely, we show that the demand for annuities decreases with ambiguity aversion and that there exists a […]

Mercredi | 2014-10-08 C002, 12h-14h Oumou GUISSE L’objectif de cet article est d’étudier la nature de la relation entre endettement extérieur et activité économique. L’étude se fait sur un panel constitué des pays membres de l’Union Économique et Monétaire Ouest Africaine (à l’exception de la Guinée Bissau) sur une période allant de 1972 à 2012. Différentes méthodologies ont été utilisées, parmi lesquelles le mécanisme de la transition brutale ou modèle PTR développée par Hansen (1999) mais aussi son extension en […]

Mardi | 2014-10-07 Sully 5, 16h30-17h50 Cyrille PIATECKI – Maxime MENUET Abstract to be added here.

Mardi | 2014-09-30 Sully 5, 16h00-17h20 Leonardo Eric CALCAGNO Using a standard microsimulation framework, this paper intends to draw perspectives on Argentina’s pension system from a household-level quaterly survey data, the EPH. After describing the country’s current public Pay-As-You-Go pension system, this paper uses the country’s household survey’s labour market related data to describe and estimate transitions between labour market states for individuals of working age. Finally, together with demographic data provided by Argentina’s statistical body INDEC, we describe how […]

Thèses soutenues en 2014 HDR soutenues en 2014