Séminaires de recherche

Séminaires de recherche

Latent Multilateral Trade Resistance Indices: Theory and Evidence

Mardi | 2010-06-22

Wilfried KOCH – James P. LeSAGE – Cem ERTUR

Anderson and van Wincoop (2003) make a convincing argument that traditionalgravity equation estimates are biased by the omission of multilateral resistance terms.They show that these multilateral resistance terms are implicitly de ned by a system ofnon-linear equations involving all regions’ GDP shares and a global interdependencestructure involving trade costs. We show how linearizing the system of non-linearrelationships around a free trade world leads to an interdependence structure that canbe used as a Bayesian prior to produce statistical estimates of the inward and outwardmultilateral resistance indices. This reects a statistical approach that has advantagesover the non-stochastic numerical approach used by Anderson and van Wincoop (2003)to solve for these indices and other approaches proposed in the literature.

Adoption of Inflation Targeting and Tax Revenue Performance in Emerging Market Economies : An Empirical Investigation

Mardi | 2010-06-15

Yannick LUCOTTE – Grégory LEVIEUGE

Inflation targeting is a monetary policy framework which was adopted by several emerging countries over the last decade. Previous empirical studies suggest that inflation targeting has significant effects on either inflation or inflation variability in emerging targeting countries. But, by reinforcing the disinflation process and so, by reducing drastically seigniorage revenue, the adoption of this monetary policy framework could also affect the design of fiscal policy. In a recent paper, Minea and Villieu (2009a) have shown theoretically that inflation targeting provides an incentive for governments to improve institutional quality in order to enhance tax revenue performance. In this paper, we test this theoretical prediction by investigating whether the adoption of inflation targeting affects the fiscal effort in emerging markets economies. Using propensity score matching methodology, we evaluate the “treatment effect” of inflation targeting on fiscal mobilization in thirteen emerging countries that have adopted this monetary policy framework by the end of 2004. Our results show that, on average, inflation targeting has a significant positive effect on public revenue collection.

Outliers Correction and Distributional Timing of Higher Moments for RobustAsset Allocations

Mardi | 2010-06-08

Bertrand MAILLET – P. MERLIN – libre

We propose a new methodology for abnormal return detection and correction, andevaluate the economic impacts of outliers on asset allocations with higher-order mo-ments (Cf. Maillet and Merlin, 2010). Indeed, extreme returns and outliers greatlya ect empirical higher-order moment estimations (Cf. Kim and White, 2004). We thusextend the outlier detection procedures of Franses and Ghijsels (1999) and Charles andDarn e (2005) with an Arti cial Neural Network – GARCH model (Cf. Donaldson andKamstra, 1997). The proposed method for deletion and correction of outliers, cou-pled with the use of a robust approach based on higher-order L-moments, clearly showsome improvements of the portfolio allocation performance in the French stock market.

Predicting Financial Distress in a High-Stress Financial World

Mardi | 2010-06-01

Adrian POP – Jérome COFFINET – Muriel TIESSET – Sébastien GALANTI

The current global crisis offers a unique opportunity to investigate the leadingproperties of market indicators in an increasingly stressed environment and their usefulnessfrom a banking supervision perspective. One pool of relevant information that hasbeen overlooked so far in the empirical literature is the market for bank’s exchange-tradedoption contracts. In this paper, we first extract early-warning indicators from the pricesof the most actively traded option contracts on financial firms’ equity. We then examineempirically their ability to predict financial distress by applying survival analysis techniquesto a sample of large US financial firms. We find that market indicators extractedfrom option prices significantly explain the survival time of troubled financial firms anddo a better job in predicting financial distress than other time-varying covariates typicallyincluded in bank failure models. Overall, both accounting information and option pricescontain useful information of subsequent financial problems and, more importantly, thecombination produce better forecasts in a high-stress financial world, full of doubts anduncertainties.

Annoucements, Financial Operations of Both ? Generalizing Central Banks’ FXReaction functions

Mardi | 2010-05-25

Oscar BERNAL – Jean-Yves GNABO – Yannick LUCOTTE

This paper generalizes the reaction functions of central banks’ FX interventions to include oral inter-ventions alongside actual ones. Using Japanese data for the 1991-2004 period, we estimate an orderedprobit model explaining the occurrence of each type of intervention and evaluating the extent to whichoral and actual interventions are substitutes or complements. In addition, the effectiveness of interven-tions is examined using an event-study approach. Our results indicate that the Japanese authoritiestended to adopt progressively stronger measures as the exchange rate was found to behave in an in-creasingly unfavorable way. This suggests that words and deeds were only coordinated (i.e. used in acomplementary way) in extreme cases. Overall, interventions are found to be moderately successful incorrecting unwanted exchange-rate developments, especially volatility.

Crisis, Capital Controls and Covered Interest Parity: Evidence from China in Transformation.

Mardi | 2010-05-18

Jinzhao CHEN – libre

This paper aims to investigate the e®ectiveness of capital controls in China for bothshort-term and long-term, with a special attention to the period of ¯nancial turbulencebursted in the summer of 2007. On one side, we employ a two regime threshold autore-gressive model to study the Renminbi yield di®erential between the onshore interest rateand the o®shore Non Deliverable Forward-implied one for the period of 2006-2009; onthe other side, we distinguish (and measure) the short-term cross-border capital °owsfrom the long-term °ows for a long horizon. Based on obtained evidence, we found thecapital controls in China less e®ective, nevertheless, still working for some goals of Chi-nese government under a more opened capital accounts.