Séminaires de recherche


Estimation of Tail Risk based on Extreme Expectiles

Mardi | 2016-12-13
16-17h20 en sully05

Abdelaati DAOUIA – Stéphane GIRARD – Gilles STUPER

We use tail expectiles to estimate alternative measures to the Value at Risk (VaR), Expected Shortfall (ES) and Marginal Expected Shortfall (MES), three instruments of risk protection of utmost importance in actuarial science and statistical finance. The concept of expectiles is a least squares analogue of quantiles. Both expectiles and quantiles were embedded in the more general class of M-quantiles as the minimizers of an asymmetric convex loss function. It has been proved very recently that the only M-quantiles that are coherent risk measures are the expectiles. Moreover, expectiles define the only coherent risk measure that is also elicitable. The elicitability corresponds to the existence of a natural backtesting methodology. The estimation of expectiles did not, however, receive yet any attention from the perspective of extreme values. The first estimation method that we propose enables the usage of advanced high quantile and tail index estimators. The second method joins together the least asymmetrically weighted squares estimation with the tail restrictions of extreme-value theory. We establish the limit distributions of the proposed estimators when they are located in the range of the data or near and even beyond the maximum observed loss. A main tool is to first estimate the large expectile-based VaR, ES and MES when they are covered by the range of the data, and then extrapolate these estimates to the very far tails. We show through a detailed simulation study the good performance of the procedures, and also present concrete applications to medical insurance data and three large US investment banks.

Testing for Extreme Volatility Transmission with Realized Volatility Measures

Mardi | 2016-11-29
16-17h20 en sully05

Sessi TOKPAVI – Christophe BOUCHER – Elena Ivona DUMITRESCU

This paper is about testing for volatility transmission between financial markets. The potential adverse e ffect of volatility spillover on fi nancial stability is a subject of great importance in the current context of increasing financial integration. We add to this ever-growing literature a new, simple and parsimonious testing procedure for volatility transmission. Our test focuses on extreme (large) values of the latent process of integrated volatility since they are of utmost concern for policy makers due to their sudden and destabilizing e ffects. The test statistic is based on realized measures of volatility, and we show that it is asymptotically distribution-free, and thus robust to jumps in the log-price process and microstructure noise. Extensive Monte Carlo simulations show that the test has good small sample size and power properties. An empirical application on the volatility of US and EU equity markets is further proposed.

The Importance of Direct and Indirect Reciprocity for the Emergence of Cooperation

Mardi | 2016-11-22
16h00-17h20 en salle des thèses

Simone RIGHI – Karoly TAKACS

Previous studies show that direct and indirect reciprocity are good candidates to explain the fundamental problem of evolution of cooperation between unrelated individuals. The importance of different forms of reciprocity, however, might be differentiated and one form could potentially drive out the feasibility of others. In the Prisoner’s Dilemma played in random networks we show that when present, direct reciprocity gains dominance over network-based indirect reciprocity as well as over network-independent generalized reciprocity. When direct reciprocity is absent, indirect reciprocity strategies are able to become dominant in the population and to supply a higher cooperation rate than that is attainable by direct reciprocity. Forgiveness is a characteristic that improves the performance of all reciprocal strategies in the long run.Limited memory quickly disrupts the reign of direct reciprocity and leaves place for the spread of network-based indirect reciprocity. Population size and network density seems to have an inversely U-shaped effect on cooperation in the absence of direct reciprocal strategies.

Power-law distribution in the external debt-to-scale revenue ratio: empirical evidence and a theoretical model

Mardi | 2016-11-15
Salle des thèses

Gilles DUFRENOT – Anne-Charlotte PARET

This paper provides evidence that the external debt-to-fiscal revenue ratio in the emerging countries follows a power-law distribution. Such a distribution reflects the fact that external debt distress or debt crises correspond to extreme events that have been found to happen fairly often. We formally test the hypothesis of a power-law, going further than the usual visual inspection of the distribution of the variable of interest on a doubly logarithmic scale. We further show that such a distribution can be derived from a theoretical model in which uncertainty comes from tax evasion and corruption. Using the framework of an optimal stochastic growth model, we model the external debt-to-scale revenue ratio as a diffusion process for which the stochastic steady state distribution is derived using the properties of Itô diffusion processes.

Natural resources: a curse or a blessing ? Evidence from Burkina Faso’s gold boom

Mardi | 2016-11-08
16-17h20 en salle des thèses


This paper takes advantage of a quasi-natural experiment to provide the first comparative analysis of the impact of artisanal versus industrial extraction of natural resources on households’ wealth. This experiment is provided by Burkina Faso’s gold mining sector: gold represented 1.6% of the value of exports of the country in 2007, and 71% in 2011. We combine the geolocalization of – both artisanal and industrial – mining sites with annual variations in gold prices to identify the impact of mining according to the extraction technique being used. To measure household wealth, we rely on 4 household surveys recording consumption between 1998 and 2014. We show that despite the huge amount of wealth generated by industrial gold mines from the country’s perspective, the opening of these mines have not generated backward linkages at the local level sine they do not have any impact on households’ consumption. Artisanal mining in comparison significantly increases households’ consumption. Moreover, we acknowledge the existence of general equilibrium effects and show that the relationship between artisanal mining and consumption is unlikely to be driven by changes in local prices. These results complement the existing literature, which focuses on the expansion of existing industrial mines, by shedding light on the impact of opening industrial mines, and including artisanal mining in the picture.

Corruption and Monetary Policy in a Cash-in-Advance Economy

Mercredi | 2016-10-26
B103 12h


In this paper, we build an endogenous growth model describing a cash-in-advance economy to reassess the macroeconomic consequences of corruption in terms of monetary policy in the long run. To this end, we consider two main configurations: a model with exogenous corruption and a model with endogenous corruption. From this analysis, we can extract four main results. First, contrary to Al-Marhubi (2000) and Blackburn textit{et al.} (2011), the relation between corruption and inflation is characterized by a U-shaped relation. Second, corruption increases the growth-maximizing seigniorage rate for a lower growth rate for both exogenous and endogenous corruption. Third, unlike Paldam (2002) and Braun and Di Tella (2004), we show a negative impact of seigniorage on corruption. Finally, we demonstrate that corruption is a key determinant which positively affects the aggregate demand for money.

Endogenous currency crashes

Mardi | 2016-10-18
16-17h20 en salle des thèses


We present a model of the FX market with 3 agents: carry traders, momentum traders, and fundamentalists, where carry traders are subject to funding constraints. We show that the interactions between these agents provide a theoretical base for the empirical observation that exchange rates go up the stairs and down the elevator. Such microstructure effects also help to explain some of the puzzles of the FX market, such as the exchange rate disconnect from fundamentals and the seemingly abnormal profits to momentum and carry trading.

A History of Macroeconomics from Keynes to Lucas and Beyond

Mardi | 2016-10-14
14h30-16h30 en B103


This book retraces the history of macroeconomics from Keynes’s General Theory to the present. Central to it is the contrast between a Keynesian era and a Lucasian – or dynamic stochastic general equilibrium (DSGE) – era, each ruled by distinct methodological standards. In the Keynesian era, the book studies the following theories: Keynesian macroeconomics, monetarism, disequilibrium macro (Patinkin, Leijonhufvud, and Clower) non-Walrasian equilibrium models, and first-generation new Keynesian models.Three stages are identified in the DSGE era: new classical macro (Lucas), RBC modelling, and second generation new Keynesian modelling. The book also examines a few selected works aimed at presenting alternatives to Lucasian macro. While not eschewing analytical content, Michel De Vroey focuses on substantive assessments, and the models studied are presented in a pedagogical and vivid yet critical way.

Financial Development and the Duration of Banking Crises

Mardi | 2016-09-27
16h00-17h40 Salle des thèses

Alexandru MINEA – Clément MATHONNAT

Using an extensive dataset covering 96 banking crises in 75 countries over 1977-2014, we study the role of financial development (FD) in the duration of banking crises (DBC). Our duration analysis reveals that FD significantly increases the DBC: moving from the lowest to the highest FD quintile raises the DBC by 4 to 6 years on average, depending on the DBC measure. This result is robust to a broad range of alternative specifications, and is unaffected by unobserved heterogeneity or endogeneity. Moreover, the larger the size of the banking sector, the longer the DBC, while the activity of the banking sector does not significantly affect the DBC. Finally, higher FD significantly increases the DBC at relatively low and high FD levels but has no significant effect for “intermediate” FD levels, while the effect of FD on the DBC increases with the level of economic development.

Non-standard Condence Sets for Ratios and Tipping Points with Applications to Dynamic Panel Data

Mardi | 2016-09-27
16h00-17h40 – Salle des thèses

Jean Thomas BERNARD – Ba CHU – Lynda KHALAF

We study estimation uncertainty when the object of interest contains one or more ratios of parameters. The ratio of parameters is a discontinuous parameter transformation; it has been shown that traditional confidence intervals often fail to cover this true ratio with very high probability. Constructing confidence sets for ratios using Fieller’s method is a viable solution as the method can avoid the discontinuity problem. This paper proposes an extension of the multivariate Fieller’s method beyond standard estimators, focusing on asymptotically mixed normal estimators that commonly arise in dynamic panel polynomial regression with persistent covariates. We discuss the cases where the underlying estimators converge to various distributions, depending on the persistence level of the covariates. We show that the asymptotic distribution of the pivotal statistic used for constructing a Fieller’s confidence set remains a standard Chi-squared distribution regardless of rates of convergence, thus the rates are being ‘self-normalized’ and can be unknown. A simulation study illustrates the nice sample properties of the proposed method in a dynamic polynomial panel. Our method is demonstrated to work well in small samples, even when the persistence coefficient is unity.