Catégorie : Séminaires de recherche

Séminaires de recherche

Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis (preliminary draft)

Mardi | 2010-12-14

Rabah AREZKI – Bertrand Candelon – Amadou SY – libre

This paper examines the spillover effects of sovereign rating news across countries and financial markets using daily data on sovereign credit default swaps (CDS) spreads, stock market indices and sub-indices for banking and insurance for selected European countries during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically significant spillover effects both across countries and financial markets implying that rating agencies announcements can have negative externalities leading to financial instability. Those spillover effects depend both on the source country experiencing the downgrade and the linkages between the source and destination country. We also find that on average, rating news related to downgrades have stronger spillover effects than revision of outlooks which could be explained by ratings-based triggers such as those in banking regulation, ECB collateral rules, CDS contracts or investment mandates. Announcements from different credit rating agencies have different spillover effects suggesting that credibility or communication play a role beyond the news.

Public Finance and Economic Growth: The Case of Holland in the 17th Century

Mardi | 2010-12-07

Oscar GELDERBLOM – Joost JONKER – Cyrille PIATECKI – Christian RIETSCH

The debate over the institutions that link economic growth to public finance tends todisregard the need for savings to finance growing public debt. We analyze Holland’s 17thcentury public debt and find that its structure, size, and issuing rates were determined byinvestors’ preferences, themselves driven by economic growth, wealth accumulation, andchanging private investment opportunities. Savings generated by economic growthenabled the government to build up a huge debt largely with short-term bills. At the sametime issuing rates dropped because savings outstripped private investment alternatives. InHolland’s case, and probably in others as well, credible commitment and efficient fiscalinstitutions were necessary, but not sufficient to create liquid secondary markets and lowcosts of capital.

Entreprises adaptatives, détermination des prix et répartition du revenu dans un modèle macroéconomique multi-agents avec monnaie endogène

Mardi | 2010-11-30


Ce papier présente un modèle macroéconomique qui associe étroitementthéorie de la monnaie endogène et approche multi-agents. C’est un modèledécentralisé, peuplé d’agents multiples, hétérogènes, autonomes et concurrentsqui interagissent simultanément dans les sphères réelle et monétaire.Les propriétés macroéconomiques du modèle ne sont pas postulées, ce sontdes propriétés émergentes du système complexe formé par les interactionsentre les agents.On dote les entreprises de capacité d’adaptation, alliant imitation et innovation,pour déterminer les prix sur le marché des biens. Par une série desimulations, on observe l’évolution des comportements des entreprises et leurimpact sur la dynamique macroéconomique, en particulier sur le partage durevenu entre salaires et profits.

Stratégies évolutionnaires dans un modèle macroéconomique dynamique et complexe peuplé d’agents hétérogènes, autonomes et concurrents

Mardi | 2010-11-30


Dans un papier récent (Seppecher 2010b), écrit pour le colloque de l’Associationpour le Développement des Etudes Keynésiennes (ADEK, Bordeaux,juillet 2010), j’ai présenté une série de simulations dans lesquelles les entreprisespeuplant un modèle multi-agents avec monnaie endogène mettaient enoeuvre des stratégies évolutionnaires pour déterminer le prix de vente de leurproduction, cherchant à maximiser leurs profits. J’y étudiais l’impact macroéconomiquede ces stratégies, m’intéressant en particulier à leurs effets surla répartition du revenu entre salaires et profits.Le présent document de travail, écrit quelques mois plus tard pour legroupe de travail « Analyses et modélisation postkeynésiennes » du Centred’Economie de Paris Nord (CEPN), se situe logiquement juste en amontdu papier précédent. Je discute ici des difficultés posées par la modélisationdu comportement des entreprises dans le contexte d’incertitude propre auxmacroéconomies complexes et j’expose de façon détaillée la construction del’algorithme évolutionnaire utilisé dans le papier précédent.J’ai l’intention de fusionner ces deux papiers en un seul article, dans lequell’étude des simulations s’articulera avec l’exposé détaillé de l’algorithme.Comme entre temps l’algorithme a subi quelques modifications mineures, lessimulations donneront des résultats légèrement différents de ceux de la premièreversion, mais les lignes principales devraient rester les mêmes.En attendant cette synthèse, les deux papiers viendront se compléter l’unl’autre.

Do Savers Respond to Tax Incentives? The Case of Retirement Savings

Mardi | 2010-11-23

Clément CARBONNIER – Alexis DIRER – libre

This article exploits a large micro-file tax return data to test whether savers respond to the presence of tax incentives by contributing more in saving accounts that mandate annuitization at retirement. A frictionless model of demand for annuity is first set, which highlights the phenomenon of bunching of savers around tax thresholds when consumers’ budget set is kinked. Using French households income tax data, we do not find any bunching, which is consistent either with the absence of behavioral responsiveness to tax incentives or optimization frictions. We investigate the implications of the second hypothesis and propose an alternative test in which discontinuity in marginal rate of return on the two sides of tax thresholds is exploited. We find that the deduction scheme is effective in boostingthe demand for annuity of the richest savers whose marginal tax rate is the highest, especially for the oldest savers (aged 45 and above). In most cases, it fails to raise contributions of younger and less wealthy savers.

Interpreting dynamic space-time panel data models

Mardi | 2010-11-16

Nicolas DEBARSY (CERPE De Namur) – Cem ERTUR – James P. LeSAGE – libre

There is a great deal of literature regarding the asymptotic properties ofvarious approaches to estimating simultaneous space-time panel models, butlittle attention has been paid to how the model estimates should be interpreted.The motivation for use of space-time panel models is that they canprovide us with information not available from cross-sectional spatial regressions.[8] show that cross-sectional simultaneous spatial autoregressivemodels can be viewed as a limiting outcome of a dynamic space-time autoregressiveprocess. A valuable aspect of dynamic space-time panel data modelsis that the own- and cross-partial derivatives that relate changes in the explanatoryvariables to those that arise in the dependent variable are explicit.This allows us to employ parameter estimates from these models to quantifydynamic responses over time and space as well as space-time diffusion impacts.We illustrate our approach using the demand for cigarettes over a 30year period from 1963-1992, where the motivation for spatial dependence isa bootlegging effect where buyers of cigarettes near state borders purchase

To Control or Not to Control? Bias of Simple Matching vs Difference-in-Difference Maching in a Dynamic Framework

Mardi | 2010-11-09

Sylvain CHABE-FERRET – libre

In this paper, I examine whether the claim “the more control variables, the better” holdswhen matching in a dynamic context. I exhibit three situations where it is better todifference with respect to past outcomes rather than to control for them: DID-matchingis unbiased whereas matching on past outcomes is biased. I also study the special caseof evaluating a job training program, borrowing a credible selection rule from Heckman,LaLonde, and Smith (1999) and relying on the parameters of the wage process estimatedby MaCurdy (1982). I derive closed forms for the bias terms of the two estimators whenthe error terms are normally distributed. I show that DID matching is unbiased whenapplied symmetrically around the period of enrollment, as implemented by Heckman,Ichimura, Smith, and Todd (1998). DID-matching is more robust than matching to misspecificationboth of the amount of information individuals have when deciding to enterthe program and of the control period. I finally point to previously unnoticed experimentalresults that confirm the claim that DID-matching is less biased than matching.

Microfinance and Entrepreneurship in Cameroon

Mardi | 2010-11-02

Serge MESSOMO ELLE – libre

The objective of this paper was to examine the role of microfinance institutions oncreation and expansion of microenterprises in Cameroon using the Schumpeter model and theVerstraete and Fayolle model of definitions of entrepreneurship. Creation of organization wasassociated with creation of microenterprise business organizations and expansion was associatedwith identification of business opportunity, value creation and innovation. The study uses ninemicrofinance institutions from Cameroon to assess the relationship between microfinanceinstitutions services and creation of microenterprises and the relationship between microfinanceinstitution services and expansion of microenterprises. The results are that microfinanceinstitutions to boost entrepreneurship in Cameroon prefer to finance expansion than creation andprefer also to supply lending, savings and money transfer services than microinsurance andtraining services to microentrepreneurs. All the services are important for microentrepreneursfor a development of an efficient microentrepreneurship in Cameroon. To counter the effect ofcost, the microfinance institutions should innovate in strategies and in service packages to supplyall microentrepreneurial services to microentrepreneurs.

A Non-Newtonian Examination of the Theory of Exogenous Economic Growth

Mardi | 2010-10-19

Diana-Andrada FILIP – Cyrille PIATECKI – libre

The development of the newtonian calculus has unexpectedly bea look-in in such away that the additive derivative approach ofNewtonand Leibnitz could have been replaced by a multiplicative one,more adapted to growth phenomenon. In this paper, we have triedto present how a non-newtonian calculus could be applied to repostulateand analyse the neoclassical exogenous growth model.