Séminaires de recherche

EU air pollution regulation: A breath of air for East-European polluting industries?

Mardi | 2015-12-15
Sully 5 de 16h à 17h20

Igor BAGAYEV – Julie LOCHARD

In this paper we test whether tighter EU environmental regulation fosters pollution havens in ECA countries. By making an assumption on which sectors are more affected by environmental regulation, we provide robust evidence that ECA polluting industries benefit from EU environmental stringency. Moreover, we propose an original and relevant variable that evaluates environmental regulation stringency and limits simultaneity issues, based on the EU Air Quality Framework Directive. Finally, we use a wide range of fixed effects and instrumental variable approach to control for potential bias due to omitted variables and reverse causality.

Spatial dependence in sovereign wealth funds’ investments

Mardi | 2015-12-08
Sully 05 de 16h à 17h20

Nicolas DEBARSY – Jean-Yves GNABO – Malik KERKOUR

The aim of this paper is to identify the driving forces of Sovereign wealth funds’ investments. For this, we develop an original econometric framework that quantifies the role of spatial dependence in the location of investments, and uses the Inverse Hyperbolic Sine transformation of the dependent vari- able in a spatial panel model context. This transformation copes with two features of net flows, namely an highly skewed distribution and the presence of zero and negative values. Using a large-scale database, we provide evidence of negative spatial dependence, investments in one country being on average at the expense of its neighbors.

Les mystères de la liquidité. Plaidoyer pour la « bonne » transformation bancaire

Mardi | 2015-12-01
16h00-17h20 en Sully 5

Olivier DAVANNE

Parmi les nombreuses fonctions du système financier, il y a en a une particulièrement importante : la fourniture de services de liquidité. Les détenteurs du patrimoine, les ménages ou les divers fonds d’investissement et institutions financières travaillant pour eux, aiment la liquidité. Le secteur financier est organisé pour répondre à ces exigences apparemment contradictoires et vise à permettre un financement stable des investissements tout en offrant de la flexibilité aux apporteurs de fonds.Cet article souligne que cette dangereuse transformation de maturité n’est pas le seul canal par lequel les banques four- nissent de la liquidité aux investisseurs. Il défend aussi l’idée selon laquelle d’autres politiques sont possibles pour favoriser l’émergence d’un système financier répondant aux besoins de liquidité de façon plus efficace. Il insiste aussi sur la nécessité d’une meilleure régulation des fonds d’investissement, qui participent crucialement à la fourniture des services de liquidité, pour qu’ils puissent jouer pleinement leur rôle dans un système de financement plus stable et plus efficace.

Crisis at Home: Mancession-induced Change in Intrahousehold Distribution

Mardi | 2015-11-24
Sully 5 de 15h00 à16h20

Olivier BARGAIN – Laurine MARTINOTY

The Great Recession has often been referred to as a ‘mancession’ in several coun- tries including Spain and the US. Although women did experience substantial job losses during the recession, the crisis hit men harder than women for they were dis- proportionately represented in heavily affected sectors such as construction, man- ufacturing and financial services. To date, nothing is known about the way the mancession has translated within the household. More generally, we know little about how labor market opportunities affect intrahousehold distribution. To study this issue, we exploit the exogenous, gender-oriented evolution of the economic environment in Spain. Using consumption data from 2006-2011, we adapt and es- timate a collective model of consumption which allows testing original distribution factors. In particular, we allow the sharing rule to depend on regional-time varia- tion in relative job opportunities during the mancession. Looking more specifically at the gender-differentiated shock from the construction sector, we also suggest a difference-in-difference estimation originally embedded in the structural model. We find that the mancession strongly impacts the way the resources are shared within the household. On average, following the improvement of their relative opportu- nities on the labor market, the resource share accruing to Spanish wives increased by around 5-6 percent in stable marriages. In magnitude, this effect is higher than the distributional impact of actual husbands’ unemployment. The difference-in-difference estimates confirm that most of the effect is driven by the construction sector.

Institutional similarities and bilateral trade in services

Mardi | 2015-11-17
Sully 5 de 16h00 à 17h20

Isabelle RABAUD

Experts are expecting huge gains from liberalization of trade in services, due to the importance of impediments to trade and to the size of the tertiary sector. Insofar as barriers to trade are closely related to domestic regulations, institutions matter. Focusing on three service activities (Business services, Finance and Insurance), in a cross-section estimation for the mean of years 2010 and 2011 based on the database by Francois and Pindyuk (2013), our paper aims at identifying the institutions that should be improved first. The originality of our contribution lies on the analyses of the impact of differences of institutions on bilateral trade in sectoral services. We show that commercial presence and cross-border trade are complement for other business services, while they are substitute in total service and finance, and do not impact on insurance. If total services trade decreases with differences in the six institutions reported by Kaufman et al. (2010), and other business services also appear sensitive to institutional quality, neither insurance nor finance are impacted.

Dont touch my road. Evidence from India on Segregation and Affirmation Action

Mardi | 2015-11-10
Sully 5 de 16h à 17h20

Victoire GIRARD

Inter-group relations may take the form of segregation, with public goods turned into club goods as a result. Caste-based discrimination is a striking example of this segregation process. In the Hindi- belt, the heartland of India, 44.5% households members of the marginalized castes labeled Scheduled Castes (SCs) declared that some streets were off-limits due to their caste in the 2006 survey used in the article. The exclusion rate was 20 percentage points higher 10 years before. This article investigates whether affirmative action in the form of mandated political representation has played a part to decrease exclusions. The identification strategy takes advantage of the Indian system of seat reservation for SC members in local assemblies, which changes SC’s local power. The effect of political reservations for SC’s access to streets appears to be large and significant, both statistically and economically. However, the effect does not last after the end of the reserved term. This evidence underlines important consequences of political reservation in the short run. However, it also questions legislators’ goals when using positive action as a transitory tool, to be abandoned once practices and beliefs have been altered.

Co-Authorship and Individual Research Productivity in Economics: Assessing The Assortative Matching Hypothesis

Mardi | 2015-11-03
Sully5 de 16h à 17h20

Francisco SERRANITO – Damien BESANCENOT – Kim HUYNH

This paper aims at estimating the determinants of co-authorship in economics. More specifically, we test the existence of a potential relationship between the research efficiency of an individual and that of his co-authors (the so called assortative matching hypothesis) using a novel database of French academic scholars. However, individual research productivity should be an endogenous regressor as the quality of an academic’s publication will depend somehow on the quality of his co-authors. We have applied the Two Stage Residual Inclusion (2SRI) approach in order to take into account this endogeneity bias. The main empirical result is that the number and the quality of a researcher’s co-authors reflect the productivity of that researcher.There is also a significant gender effect: being a woman has no impact on the probability of never collaborating with other economists but it decreases both the quality and the quantity of co-authors. Finally, life-time cycles are also an important determinant of the co-authorship trend as the social imprinting hypothesis would suggest. So institutional changes occurred in French academia in mid-eighties have had a large impact on individual research productivity.

Do We Need Ultra-High Frequency Data to Forecast Variances?

Mardi | 2015-10-20
Sully 5 de 16h à 17h20

Denisa BANULESCU-RADU – Bertrand Candelon – Christophe HURLIN – Sébastien LAURENT

In this paper we study various MIDAS models in which the future daily variance is directly related to past observations of intraday predictors. Our goal is to determine if there exists an optimal sampling frequency in terms of volatility prediction. Via Monte Carlo simulations we show that in a world without microstructure noise, the best model is the one using the highest available frequency for the predictors. However, in the presence of microstructure noise, the use of ultra high-frequency predictors may be problematic, leading to poor volatility forecasts. In the application, we consider two highly liquid assets (i.e., Microsoft and S&P 500). We show that, when using raw intraday squared log-returns for the explanatory variable, there is a “high-frequency wall” or frequency limit above which MIDAS-RV forecasts deteriorate. We also show that an improvement can be obtained when using intraday squared log-returns sampled at a higher frequency, provided they are pre-filtered to account for the presence of jumps, intraday periodicity and/or microstructure noise. Finally, we compare the MIDAS model to other competing variance models including GARCH, GAS, HAR-RV and HAR-RV-J models. We find that the MIDAS model provides equivalent or even better variance forecasts than these models, when it is applied on filtered data.