Séminaires de recherche


Euro zone sovereign crisis spillover to real sector: Is banking sector liquidity a major conduit ?

Mercredi | 2014-12-17
salle B103, 12h-14h

Hadi KHALIL – Syed Muhammad Noaman Ahmed SHAH

In this paper, we try to analyze the spillover effects of sovereign debt crisis in Euro-area on non-financial corporate sector through banks liquidity creation transmission channel. The existing empirical literature mainly treats the sovereign-bank or bank-corporate nexus while gauging the spillover effects of vulnerability in the said sectors. The current study is an attempt to fill the gap and provides a novel approach to view the government, bank and corporate nexus as continuous structural system which is empirically impassable to truncate in order to effectively analyze its true effect and potential relationship. In addition, the present work contributes to explain in detail how such contagion transmits and the evidence regarding its related causality.

Flexibility in the Market for International Carbon Credits and Price Dynamics Difference with European Allowances

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 an increased volatility is not associated with an increased return. The price of allowances and credits are explained by similar factors. However, whereas the corresponding returns present comparable dynamics, the long-term relationships between the price of these two types of permits and their drivers differ significantly. While the price of allowances is demand-driven, we suggest the existence of a supply-side effect for credits, and explain it by the flexibility in the related market. The impact of the European economic activity is less visible on credits than on allowances. The price elasticity of allowances with regards to the coal and gas prices is negative in time periods of low economic activity while it is positive in the rest of the time. We suggest an explanation for this dynamics difference.

Mobile Phone in Sub-Saharan Africa: Impact on Technological Innovation and Economic Development

Mercredi | 2014-12-10
salle B103, 12h-14h


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 to be a vital sector on the time of economic reforms that the African continent has recently experienced. The main objective of this paper is to study the effects of telecommunications infrastructure, particularly the mobile phone implementation on economic development and growth. A dynamic panel dataset using annual observations of 33 countries covering period from 1990 to 2012 is used to measure the causal relationship between mobile phone technology and economic development in Sub-Saharan Africa. We use a dynamic panel System Generalized Method of Moments (GMM) approach, which shows that the implementation of mobile phone technology contributes in a major way to the economic development of the continent. It proves to be a crucial determinant, as our results indicate a significant and positive correlation between mobile phone and economic development in Africa, after controlling for a number of related factors.

Financial distress prediction: The case of French small and medium firms

Mercredi | 2014-12-03
salle B103, 12h-14h


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 financial distress, Support Vector Machine and Logit model outperform Artificial Neural Networks with an overall accuracy of 92.86%. Distressed firms are found to be smaller, more leveraged and with lower repayment capacity. Moreover, they have lower liquidity, profitability, and solvency ratios. Besides the academic research contribution, our findings can be useful for managers, investors, and creditors. Keywords: Financial distress prediction, financial ratios, Logit model, Artificial Neural Networks, Support Vector Machine

Financial openness, aggregate consumption, and threshold effects

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 aggregate consumption. The core finding of the paper is that the financial openness effect on consumption changes in the course of economic development, with the level or per capita income acting as a threshold which is consistently estimated within the model. The openness effect is non homogeneous across groups, stronger for low levels of per capita income, and diminishes as income rises, providing novel insights about the welfare effect of financial liberalization.

On the Effectiveness of ‘Leaning Against the Wind’ and Macroprudential Policy

Mercredi | 2014-11-26
salle B103, 12h-14h


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 performances of various policy strategies in improving both financial and macroeconomic stability. The analysis relies on a hybrid formulation of the three-equation New Keynesian model. This standard model is supplemented with a set of equations describing a banking sector, and an endogenous asset price bubble equation which captures the risk in the financial sector, with the underlying assumption that credit supply feeds the bubble and increases financial instability. Therefore, a macroprudential instrument is set to control the bank loan supply. One of the main conclusions of the paper is that, a two-pillar framework in which in addition to the setting up of the macroprudential instrument the central bank leans against the wind, provides the best stabilization outcome.

Ease vs. Noise: On the Conflicting Effects of Transportation Infrastructure

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 to produce biased results if the partially offsetting externality is not properly controlled for. In this paper, we aim to disentangle the various effects of infrastructure provision, analyzing a unique micro-level data set of land values at the individual plot level for the city of Berlin, Germany, from 1890 to 1914. Specifically, we argue that the inauguration of the city’s first metro line in 1902 provides a perfect quasi?experimental setting to analyze this issue.Dividing our sample of up to 48,436 observations into residentially and commercially used properties, we apply a multi?step differences-in-differences approach to examine the conflicting effects of infrastructure provision.Our key results are derived from a fully-fledged panel analysis which makes use of the full variation of plot-level land values in our data. The results indicate an (unbiased) accessibility benefit of 23.7 (4.2) percent on commercial (residential) properties in the immediate vicinity of a station relative to localities of an additional km of distance. The corresponding disamenity effects of infrastructure, which are derived by using contemporary noise data, indicate a decline in land values of 0.5 (0.3) percent per additional db of noise. The corresponding structural parameters imply a decline of utility for households of 1.3 percent per km of distance to a station and a decline in firm productivity of 1.6 percent per km. The costs of noise add up to 0.16 percent and 0.34 percent for each 10 db increase in noise pressure. Confirming intuition, our results strongly indicate that estimated net effects of infrastructure externalities may be significantly biased if both amenities and disamenities are not controlled for simultaneously.

Analyse empirique des sources de fluctuations de l’activité économique dans la zone UEMOA

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 zone. Les fluctuations de l’inflation, à l’exception de la Côte d’Ivoire, du Togo et du Mali (où on note une forte contribution des chocs d’offre) sont essentiellement expliquées par ses propres innovations. S’agissant des variations de la masse monétaire, les chocs d’offre y contribuent fortement en Côte d’Ivoire, au Togo, au Bénin, au Mali et au Burkina Faso. Au Niger, plus de 70% de ces variations sont dues à ses propres innovations. Par contre, au Sénégal, les chocs inflationnistes expliquent 45,35% des variations de la masse monétaire.Résumé L’analyse de l’évolution de l’asymétrie des chocs économiques révèle la présence de fortes asymétries des chocs d’offre et des chocs monétaires. En revanche, les chocs inflationnistes ont globalement convergé dans la zone, à partir de 1995, mettant ainsi en exergue l’efficacité des mesures prises au lendemain de la dévaluation du franc CFA (la surveillance multilatérale (1997) et le Pacte de convergence et de stabilité (en décembre 1999)).

Measuring returns to education and decomposition of rural-urban inequality: evidence from Senegal

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 nationally representative household survey, the Senegal Poverty Monitoring Report (2005), the results show that the change in the rate of returns to education across quantiles is substantially lower at the primary level of education compared with secondary, and tertiary levels of education. The results also demonstrate that the high rural-urban inequality in Senegal is attributed in particular to the di erence in returns to various covariates, even for lower quantiles.

Fiscal multipliers in Emerging Market Economies: what can we learn from Advanced Economies experiences?

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 model (Georgiadis, 2012) in order to test if the development level modifies the role of the main determinants of fiscal multipliers. This method allows the relationship between GDP and public spending to change across countries according to one or two conditioning variables. First of all, we find that traditional determinants (imports, public debt, unemployment, savings, interest rates, financial development) act the same way in EMEs and AEs. Secondly, in relative terms and considering the weakness of fiscal multipliers in EMEs, public spending efficacy is more sensitive to the considered determinant in EMEs than in AEs. Thirdly, each tested determinant is individually insufficient to reach the same efficiency of public spending in EMEs than in AEs. This last result makes us conclude that we cannot directly extend conclusions about AEs to the case of EMEs, there are others factors on which government have to act in order to improve their efficiency.