Séminaires de recherche

The Cyclicality of Marginal Cost and the Dynamics of the Labor Market and Inflation

Mardi | 2017-12-19
Salle des thèses 16h – 17h20

Pierrick CLERC

Existing business-cycle models for which firms unilaterally adjust labor along both the intensive and extensive margins have difficulties in reproducing the dynamics of employment and hours per worker. Within a New-Keynesian framework with search frictions in the labor market, we show that a much higher pro-cyclicality for marginal labor cost than for average labor cost, in accordance with empirical observations, is a crucial mechanism for replicating labor-market fluctuations. At the same time, the large pro-cyclicality of marginal cost is consistent with inflation inertia since this pro- cyclicality induces strong strategic complementarities between price-setters.

Collaterals and (in)stability of monetary policy

Mardi | 2017-12-12
Salle des thèses 16h – 17h20

Daria ONORI – Antoine LE RICHE

We consider an infinite horizon monetary economy and study the effects of collaterals on credit market on the steady-state features, on the welfare properties and on the business cycle. Capital plays the role of collateral: the share of consumption that must be paid in cash depends negatively on the stock of capital held by the households. The monetary policy is conducted by the Central Bank following a feedback Taylor rule. We show the coexistence of a liquidity trap and an interior Leeper equilibrium. We find that the Leeper steady state level of capital is always larger than that of the liquidity trap and that there may exist multiple steady state levels for capital and for consumption. In addition, under some mild conditions, the Leeper steady state consumption level can be larger or smaller than that of the liquidity trap. However the liquidity trap equilibrium always Pareto dominates the interior one. We show that when the constraint is exogenous or not fully internalized, the Leeper equilibrium is always determinate, meanwhile when it is internalized the steady state may be locally indeterminate.

Quality and export performance: Evidence from the French cheese industry

Mardi | 2017-12-05
Sully 5

Charlotte EMLINGER – Sabine DUVALEIX-TREGUER – Carl GAIGNé – Karine LATOUCHE

The paper questions the impact of geographical indication label on firm export competitiveness in the cheese and cream industry. We use firm level data from the French custom and an original dataset of firms and products concerned by protected designations of origin (PDO). Our econometric estimations show that PDO labelling impacts both the extensive margin and the intensive margin of trade (the value of trade) while the effect on unit value is not significant. Finally, observing multiproduct firms, we highlight a spillover effect of PDO certification on export of non-certified products for firm authorized to handle PDO products.

The effect of institutional ownership on firms’ competition orientation: The implications for crash risk

Mardi | 2017-11-28
Salle des thèses 16h – 17h20

Panayiotis ANDREOU – Franco FIORDELISI – Terry HARRIS – Dennis PHILIP

This paper develops a measure of competition orientation based on textual analysis of managements’ disclosures in their 10-K filings. Using this measure, we provide evidence regarding institutional investors’ preferences and behind‐the‐scenes interventions. In particular, we show that transient institutional ownership intensifies firms’ competition orientation, while dedicated institutional ownership lessens it. Further, we demonstrate that as firms intensify competition orientation, they also become more susceptible to stock price crash risk, a phenomenon observed among such firms with a high proportion of transient, and a low proportion of dedicated, institutional ownership. These findings have policy implications, since they identify firms’ competition orientation as a channel through which transient institutional investors influence firms’ decision-making and economic outcomes, albeit at the expense of shareholder value creation.

Are immigrants’ skills priced differently? Evidence from France

Mardi | 2017-11-21
Salle des thèses 16h – 17h20

Ahmed TRITAH – Catherine LAFFINEUR – Eva MORENO-GALBIS – Jeremy TANGUY

Over the last two decades, despite similar employment dynamics, immigrants and natives in France have experienced sharp differences in wage changes along the occupational wage distribution. Immigrants’ wage growth has outperformed that of natives along the whole occupational wage distribution. We explain this pattern within a Roy-type wage setting and relate changes in the occupational wage distribution to changes in task-specific skill returns and task specialization choices. We show that immigrants wage growth performance is mostly explained by changes in immigrants’ relative skill endowment, which allows them to move upward the occupational wage ladder. The sources of immigrants’ relative wage performance are heterogeneous depending on the immigrant skill group. Among the least skilled, minimum wage changes over the period are a major determinant. Instead, wage performance of the most skilled immigrants is rather driven by the dynamics of their occupational choices.

Local Diffusion of Short-Time Work

Mardi | 2017-11-14
Salle des thèses 16h – 17h20

Florence PUECH – Sandra NEVOUX – Eric MARCON

This paper aims at assessing the local diffusion of short-time work. We argue that the geographical proximity of establishments having already used short-time work in the past is a major information channel regarding this scheme. Relying on distance-based methods, our stylized facts highlight the spatial and dynamic concentration of short-time work use in France between 2002 and 2014. Our econometric analysis reveals that (i) the local information about short-time work constitutes an important determinant of its use, (ii) it attenuates as the distance range increases and (iii) this information is better transmitted within than between sectors. We interpret this significant spatial concentration of short-time use, after controlling of the individual determinants of the applicants, as an evidence of information spillovers.

Quality and accessibility of infrastructure and manufacturing exports in Egypt: Firm- level evidence

Mercredi | 2017-11-09
Salle B103 – 12h00

Cherry MOUNIR SAAD KHALIL

This paper aims to investigate the effect that infrastructure quality and accessibility have on the extensive and intensive export margins of manufacturing firms in Egypt. Using firm-level data from the World Bank’s enterprise survey for the years 2007 and 2013, we attempt to link Egyptian firms’ heterogeneity in productivity and characteristics related to the access toinfrastructure such as transport, telecommunication, power generation and water and sanitation, with their trade performance. Results suggest that quality and access to infrastructure have significant effects on export volumes, stronger in the case of private foreign firms. Being a large firm, increases resilience against the growth of access to power and water, as obstacles to exporting over time. Owning an electricity generator also seems to have a significant positive impact on exports. Moreover, results show discrepancies of infrastructure quality across regions, implying the importance of local authorities in maintaining and enhancing infrastructure quality and accessibility.

Exporting firms and retail internationalization: Evidence from France

Mardi | 2017-11-07
Salle des thèses 16h – 17h20

Angela CHEPTEA – Charlotte EMLINGER – Karine LATOUCHE

This paper questions the impact of the globalization of the retail sector on the export activity of origin country agri-food firms. We use an original firm-level database of French agri-food exports that identifies the domestic suppliers of French retailers through certification with the private IFS standard. Results show that IFS certified French firms are more likely to export and export larger volumes than non-certified firms to markets where French retailers have established outlets. We also show that when French retailers stop their activities in a market, certified firms reduce their exports to this market in the following years. Results are robust to the use of different sets of firm-year and country-year-specific controls and fixed effects, and are not affected by possible selection and endogeneity biases. The difference in the behaviour of certified and non-certified exporting firms on markets where French retailers operate confirms the network effect that benefits retailers’ suppliers, which is lost when French retailers exit from the destination country.

Pandemic crises in financial systems : a simulation-model to complement stress – testing frameworks

Mardi | 2017-10-24
Salle des thèses 16h – 17h20

Julien IDIER – Thibaut PIQUARD

We propose in this paper a simulation framework of pandemic in financial system composed of banks, asset markets and interbank markets. This framework aims at complementing the usual stress-test strategies that evaluate the impact of shocks on individual balance-sheets without taking into account the interactions between several components of the financial system. We build on the network model of Gourieroux, Heam, and Monfort (2012) for the banking system, adding some asset market channels as in Greenwood, Landier, and Thesmar (2015) and interbank markets characterized by collateralized debt and margin calls. We show that rather small shocks can be amplified and destabilize the entire financial system. In our framework, the fact that the system enters in an adverse situation comes from first round losses amplification triggered by asset depreciation, interbank contraction and bank failures in chain. From our simulations, we explain how the different channels of transmission play a role in weakening the financial system, and measure the extent to which each channel could make banks more vulnerable.

Generating Univariate Fractional Integration within a Large VAR(1)

Mardi | 2017-10-17
Salle des thèses 16h – 17h20

Guillaume CHEVILLON – Alain HECQ – Sébastien LAURENT

This paper shows that a large dimensional vector autoregressive model (VAR) of finite order can generate fractional integration in the marginalized univariate series. We derive high-level assumptions under which the final equation representation of a VAR(1) leads to univariate fractional white noises and verify the validity of these assumptions for two specific models.