The Choice of Adopting Inflation Targeting in Emerging Market Economies: Do Institutions Matter?

Mardi | 2010-02-23 B103 Yannick LUCOTTE – Grégory LEVIEUGE Over the last decade, a growing number of emerging market economies has adopted inflation targeting as monetary policy framework. In a recent paper, Freedman and Laxton (2009) ask the question “Why Inflation Targeting?”. This paper empirically investigates this question by analyzing a large set of institutional and political factors potentially associated with a country’s choice of IT in a sample of 50 emerging countries over the period of 1986-2005. Using a […]

Measuring Herding Intensity: a Hard Task

Mardi | 2010-02-09 B103 Raphaëlle BELLANDO – Mohamed AROURI Ce travail s’intéresse à la mesure traditionnelle de mimétisme proposée par Lakonishok, Shleifer and Vishny (LSV) et remet en question sa construction. Frey, Herbst and Walter (2007) ont montré par des simulations de Monte Carlo que cet indicateur est biaisé en présence de mimétisme. Nous donnons uneexplication formelle à ce biais et proposons un indicateur corrigé de celui-ci. Nous examinons ensuite les propriétés de la nouvelle mesure proposée par Frey, Herbst […]

Detecting Spurious Jumps in High Frequency Data

Mardi | 2010-02-02 B103 P. BAJGROWICZ – Olivier SCAILLET – libre We propose a technique to avoid spurious detection of jumps in highfrequency data via an explicit thresholding on available test statistics. Weprove that it eliminates asymptotically all spurious jumps. Monte Carloresults show that it performs also well in nite samples. Our empiricalinvestigation of Dow Jones stocks reveals that the spurious detections representup to 50% of the jumps detected initially. After eliminating the spuriousdetections with our method, the average number […]

Providing Adequate Incentives for Bioenergies with CO2 Capture and Geological Storage

Mercredi | 2010-01-27 B103 Olivia RICCI With a large recognition that anthropogenic greenhouse gases (GHG) have a real impact on climate change, we propose to understand better the role and importance of biomass carbon capture and geological storage (BCCS) in stabilizing GHG emissions. To date carbon capture and storage (CCS) is not deployed at a commercial level, therefore policy instruments could be used to provide adequate incentives to firms in order to abate pollution with a CCS technology. The objective […]

Impact of Climate Policy on Biomass Carbon Capture and Storage Investment

Mercredi | 2010-01-20 Sully 10 Audrey LAUDE La Capture et Stockage du Carbone est une technologie qui permet de séquestrer des émissions de CO2 issues de l’industrie dans des strates géologiques profondes. Appliquée à une source de biomasse comme dans le cas de la production de biocarburants, le BCSC peut permettre de créer des puits artificiels de carbone. Cependant, l’incertitude importante pesant sur le marché du carbone incite les investisseurs à différer leur décision dans l’attente d’une meilleure information. La […]

How to Evaluate and Early Warning System?

Mardi | 2009-12-08 Bertrand Candelon – Elena-Ivona DUMITRESCU – Christophe HURLIN – Jaouad MADKOUR This paper proposes a new statistical framework inherited from the traditional credit-scoringliterature, to evaluate currency crises Early Warning System (EWS). Applied so as to assessthe predictive power of panel logit and Markov frameworks, it results that the panel logitis outperforming the Markov switching ones. Furthermore, the introduction of forward loo-king variables clearly improves the forecasting properties of the EWS. It thus con rms theadequacy of the […]

Estimating Nonlinearities in Spatial Auregressive Models

Mardi | 2009-12-01 Nicolas DEBARSY – Vincenzo VERARDI – Amine LAHIANI In spatial autoregressive models, the functional form of autocorrelationis assumed to be linear. In this paper, we propose a simple semiparametricprocedure, based on Yatchew’s (1997) partial linear least squares, that doesnot impose this restriction. Simple simulations show that this model outper-forms traditional SAR estimation when nonlinearities are present. We thenapply the methodology on real data to test for the spatial pattern of vot-ing for independent candidates in US presidential […]

What Gains from Liberalisation of Trade in Service: Lessons from Modelling and Political Economy

Mardi | 2009-11-24 Thierry MONTALIEU – Isabelle RABAUD – Thierry BAUDASSE Theoretically, welfare gains from liberalisation of trade in services arise from falling pricesand technology transfers from foreign firms. Empirically, substantial gains are only reachedwhen entry of foreign firms is widened. These results rest upon three strong assumptions.First, substitution elasticities need to be important, which is not the case empirically foraggregated service data. Second, information is required on the breakdown of the initial pricewedgebetween rent and inefficient technology. Third, wage […]

Untalented but Successful

Mardi | 2009-11-10 O. GERGAUD – Vincenzo VERARDI – Cyrille PIATECKI When studying the problem of the emergence of superstars, scholars face dif-…culties in measuring talent, obtaining con…dential data on earnings, and …ndingeconometric techniques that are robust to the presence of outliers (superstars).In this paper we use a quasi-experimental dataset from the Pokemon trading cardgame in which (i) there is no unidenti…able heterogeneity, (ii) rarity can be sepa-rated from talent and (iii) objective earnings are observable through transactionprices. Using semi-parametric […]