Séminaires de recherche


L’instabilité politique et ses déterminants : un réexamen empirique

Mardi | 2018-12-18
Salle des thèses 16h – 17h20

Hassen KOBBI – Comlanvi Jude EGGOH

De nombreux pays subissent des crises politiques, parfois sévères avec des conséquences économiques dramatiques, sans qu’une analyse profonde des motifs de ces phénomènes d’instabilité politique ne soit réellement effectuée. Une meilleure connaissance des facteurs favorisant l’instabilité politique, permettra de mieux les prévenir, les contenir et de limiter les effets adverses. Le présent article s’inscrit dans cette perspective en revisitant les déterminants macroéconomiques et institutionnels de l’instabilité politique. L’analyse est effectuée à partir un large panel de 103 pays sur la période 1975-2015, basée sur une approche factorielle de l’instabilité politique à travers les dimensions formelle et informelle. Les tests empiriques réalisés en coupe transversale et sur panel dynamique confirment que l’amélioration des conditions macroéconomiques diminue le niveau de l’instabilité politique d’une façon significative. De même, l’amélioration des processus démocratiques tend à réduire le niveau de l’instabilité politique formelle et informelle. En ce qui concerne les deux nouvelles variables mobilisées lors de cette étude, les résultats obtenus montrent que des effets de contagion liés à la proximité géographique sont observés au niveau de l’instabilité politique et l’âge du chef de l’exécutif augmente toutes les formes d’instabilité politique, en particulier l’instabilité informelle.

A Meta-analysis of Systemic Risk Measures for gauging Financial Stability

Mercredi | 2018-12-06
Salle B103 – 12h30

Jean-Charles GARIBAL – Massimiliano CAPORIN – Michele COSTOLA – Bertrand MAILLET

After the last major financial crisis of 2008, the financial literature has proposed several systemic risk measures as attempts for quantifying the magnitude of the financial system distress. In this article, we suggest the construction of an overall meta-index for the measurement of systemic risk based on a Sparse Principal Component Analysis of main systemic risk measures, which ultimately aims to provide an index with a more stable dynamic and with an explicit link to severe economic recessions.

Assessing House Prices: Insights from HouseLev, a Dataset of Price Level Estimates

Mardi | 2018-12-04
Salle des thèses 16h – 17h20

Jean-Charles BRICONGNE – Alessandro TURRINI – Peter PONTUCH

Despite growing consensus on the relevance of a sound assessment of housing market developments for macro-financial surveillance, housing prices assessments in a multi-country context normally rely on price indexes only. This has a number of limitations, especially if available time series are short and series averages cannot be taken as reliable benchmarks. To address this issue, the present paper computes housing prices in levels for all EU countries and a number of other advanced and emerging economies according to common methodologies. The baseline methodology makes use of transaction data or on information on the total value of dwellings in national accounts statistics and on floor areas of existing dwelling stocks from census statistics. When such information is not available, price level estimates are based either on house price offers quoted in realtors’ websites. When both sources are available, discrepancies usually do not exceed a few percent, which confirms the validity of this second approach despite an expected upward bias. House price level estimates permit to compute price to income ratios with a clear interpretation: the average number of yearly incomes necessary to buy dwellings 100 m2 large. Using a signalling approach aimed at identifying price-to-income threshold maximising the signal power in predicting downward price adjustments, it is found that a price to income close to 10 can be taken as an across-the board rule of thumb for identifying possibly overvalued house prices. Besides, when price levels are used in regression-based models to estimate fundamental-based house price benchmarks, they permit to exploit cross-section variation thereby providing additional insights as compared with analogous benchmarks based on house price indexes.

Non Taxation of imputed rent: A gift to Scrooge ? Evidence from France

Mercredi | 2018-11-29
Salle B103 – 12h00

Montserrat BOTEY – Guillaume CHAPELLE

In France, imputed rents were taxed until 1965 but were removed from the fiscal base in order to foster homeownership. In this paper, we argue that imputed rent taxation should be treated as the abolition of a five decade subsidy. We then develop a method to assess the amount of tax saved by homeowners and analyze who benefits from this tax exemption using TAXIPP microsimulation model by Landais et al (2011). Answering such questions appears important to enlight the debate on the opportunity of reestablishing their taxation awaken by the unprecedented rise in housing prices of the 2000s.Two main conclusions are reached. First, non taxation of imputed rent represents a fiscal spending between 9 and 11 billions of euros. It is the first fiscal spending directed to homeowners and mainly concerns the richest fiscal households who are full right owners. Indeed, if the average subsidy is relatively small, it is very unevenly distributed. Owners with a mortgage do not benefit from such a tax scheme which is mostly captured by full right owners of the top income decile. Second, provided that homeownership rates rise dramatically with age, non taxation of imputed rent is an important transfer from young to elderly. To conclude, this paper interrogates the opportunity to maintain such a subsidy.Two main drawbacks plead in favor of its suppression. First, non taxation of imputed rent appears as a relative inefficient policy to foster homeownership while the benefits of increasing the homeownership rate are still debated. Second,in a context of growing intergenerational wealth inequalities provoked by the unprecedented rise in housing prices, subsidizing older households and their heirs might reinforce inter and intra generational inequalities.

Rules of Origin and the Profitability of Trade Deflection

Mardi | 2018-11-26
Salle des thèses 10h30 – 12h

Gabriel FELBERMAYR – Feodora TETI – Erdal YALCIN

When two countries conclude a free trade agreement (FTA), they define rules of origin (RoOs) to determine whether a product is eligible for preferential treatment. RoOs exist to avoid that exports from third countries enter the FTA through the member with the lowest tariff (trade deflection). However, RoOs distort exporters’ sourcing decisions and burden them with red tape. Using a global data set, we show that, for 86% of global trade and 78% of bilateral product-level comparisons, trade deflection is not profitable because external tariffs are rather similar and transportation costs are non-negligible; in the presence of a deep FTA, deflection is significantly less profitable still. We find evidence for both ex post adjustment of external tariffs and ex ante selection effects. The pervasive and unconditional use of RoOs is, therefore, hard to rationalize.

Individual preferences regarding pesticide-free management of green-spaces: a discrete choice experiment with French citizens

Mardi | 2018-11-20
Salle des thèses 16h – 17h20


We elicit citizens’ preferences for pesticide-free management in urban green spaces. While the literature has focused mostly on the estimation of willingness to pay for pesticide reduction in agricultural production by farmers and food products by consumers, the originality here is to study a pesticide-free non-agricultural good. We rely on a Discrete Choice Experiment ran on-line in November 2017, on a representative sample of the French urban population. This method allows to study individual preferences for alternative bundles of attributes characterizing the consequences of the transition towards pesticide-free green spaces. They include the new characteristics of these green spaces of direct interest for the users, as well as less visible characteristics such as the working conditions or the budget dedicated to the maintenance of such areas. The results account for heterogeneity in preferences. All the attributes included have a significant impact on preferences, and are consistent with the empirical and theoretical literatures.

Differentiated Impact of AGOA and EBA on West African Countries

Mardi | 2018-11-19
Salle Sully 5 11h – 13h

The “African Growth Opportunity Act” (AGOA) and “Everything But Arms” (EBA), two preferential agreements extended by the US (AGOA) and the EU (EBA) to some developing countries seem to have contributed somewhat to boost Sub-Saharan Africa’s exports since 2001. However, not all African countries have benefited from them, among which West African countries. Paradoxically, these latter countries host two of the most advanced regional economic communities in Sub-Saharan Africa: The West African Economic and Monetary Union (WAEMU) sharing a common monetary policy that has consistently maintained inflation low and forming a Customs Union with a compensation mechanism to uphold the Common External Tariff; and the Economic Community of West African States (ECOWAS) maintaining a regional military force (ECOMOG) and peer pressure that have rooted out military coups in its member countries. Simulations derived from a Pseudo Poisson Maximum Likelihood gravity model estimation show that West Africa could be exporting 2.5 to 4 times more to the EU and the US if AGOA and EBA were not implemented in a differentiated manner, in terms of country eligibility, product coverage and rules of origins. Given such trade creation potential for a group of countries committed to deep regional integration, a revision of AGOA and EBA, or a special ECOWAS/WAEMU provision would make these preferential trade agreements a driving force behind the success of regional integration in Sub-Saharan Africa.

Decomposing Analysts’ Earnings Forecast Errors: What Are the Key Factors?

Mardi | 2018-11-13
Salle des thèses 16h – 17h20


This paper investigates the key determinants of analysts’ earnings forecast errors. We find that the firm-analyst relationship is at the core of the process of forecasting earnings. Specifically, we find that there is an unobserved, time-invariant component related to the firm-analyst dimension that explains much of the variance in the absolute forecast errors. This component is not yet captured by the existing observable characteristics identified in prior literature. We also show that forecast errors are stable over time, and analysts do not efficiently integrate past information into their forecasts. This study contributes to the existing literature by shedding light on the “black-box” process through which analysts forecast earnings.

Cross-asset holdings and the resiliency of wholesale funding

Mercredi | 2018-10-25
Salle B103 – 12h00


We provide a model in which banks that share similar portfolios have an incentive to provide each other with favorable lending conditions, in order to avoid fire sales. This mechanism helps to explain the relatively low reaction of interest rates to rising risk in short-term unsecured lending markets during the 2008-2009 crisis. Nevertheless, systemic risk is not necessarily lower when similar banks act supportively, because increased lending between similar banks leads to a more clustered banking network, which fosters contagion.