Mercredi | 2012-05-16 B103 Denisa BANULESCU-RADU – Bertrand Candelon – Christophe HURLIN Considering mixed data sampling (MIDAS) regressions, we analyze the inuenceof the sampling frequency of intra-daily predictors on the accuracy of the volatility forecasts. We propose various in-sample and out-of-sample comparisons of daily,weekly and bi-weekly volatility forecasts issued from MIDAS regressions based on intra-daily regressors sampled at di erent frequencies. First, we show that increasing the frequency of the regressors improves the forecasting abilities of the MIDAS model. In […]

Mercredi | 2012-04-18 B103 Muhammad KHAN – Nikolay NENOVSKY

Mardi | 2012-04-17 B103 Aymen BELGACEM – Amine LAHIANI This paper investigates the impact of US scheduled macroeconomic announcementson the domestic, the French and the German market, respectively using anaugmented version of the multivariate DCC-GARCH model. Our setting allows toseparate the direct effect (common response), from the indirect effect(volatility transmission) of the US macroeconomic announcements on the two European markets. Empirical results show evidence of a direct reaction of French and German investors to some common as well as specific […]

Mercredi | 2012-04-11 B103 Madeleine TOMO-NKONO In light of increasing interest in the relationship between economic growth and poverty, the present paper uses panel data of CEMAC and WAEMU countries, which use commonly the CFA franc, to determine empirically the impact of growth on poverty for the period 1981–2005. During this period, CEMAC and WAEMU economic progress improved and performance in terms of poverty reduction is slightly satisfactory. Based on random-effects model, we provide estimates for poverty measures at the […]

Mardi | 2012-04-10 B103 Mathieu LEFEBVRE – Pierre PESTIEAU – Gregory PONTHIERE Under income-differentiated mortality, poverty measures reflect not only the  » true » poverty, but, also, the interferences or noise caused by the survival process at work. Such interferences lead to the Mortality Paradox: the worse the survival conditions of the poor are, the lower the measured poverty is. We examine several solutions to avoid that paradox. We identify conditions under which the extension, by means of a fictitious income, […]

Mardi | 2012-04-03 B103 Christophe BOUCHER – Jon DANIELSSON – Bertrand MAILLET – Patrick S. KOUONTCHOU The recent experience from the global financial crisis has raised serious doubts about the accuracy of standard risk measures as a tool to quantify extreme downward risks. Risk measures are hence subject to a “model risk” due, e.g., to the specification and estimation uncertainty. Therefore, regulators have proposed that financial institutions assess the “model risk” but, as yet, there is no accepted approach for […]

Mercredi | 2012-03-28 B103 Grégory LEVIEUGE – Yannick LUCOTTE

Mardi | 2012-03-27 B103 Abdelkader BOUDRIGA – Neila BOULILA TAKTAK – Sana JELLOULI The paper empirically analyses the determinants of problem loans and the potential impact of both business and institutional environ¬ment on credit risk exposure of banks in the MENA region. Looking at a sample of 46 banks in 12 countries over the period 2002-2006, we find that, among bank specific factors, high credit growth, loan loss provisions, and foreign participation coming from developed countries reduce the NPL level. […]

Mercredi | 2012-03-21 B103 Nabila BOUKEF JLASSI

Mardi | 2012-03-20 B103 Audrey LAUDE Limit climate change requires deep transformations of the energetic system and thereby heavy investments. Nevertheless, long-term climate targets and the means to reach them are still largely undefined, as evidenced by Copenhagen agreement that has failed to impose a binding commitment. More generally, outcomes of negotiation rounds are hardly predictable. This regulatory uncertainty hampers investments because investors can often postponed their decision easily. Our purpose is to analyze how this uncertainty affects investor’s behavior, […]