Séminaires de recherche


The Collateral Risk of ETFs

Mardi | 2014-11-04
Sully 5 – 16h-17h20

Christophe HURLIN – Grégoire ISELI – Christophe PERIGNON – Stanley C.H. YEUNG

As most Exchange-Traded Funds (ETFs) engage in securities lending or are based on total return swaps, they expose their investors to counter party risk. To mitigate the funds’ exposure, their counterparties must pledge collateral. In this paper, we present a framework to study collateral risk and provide empirical estimates for the $40.9 billion collateral portfolios of 164 funds managed by a leading ETF issuer. Overall, our findings contradict the allegations made by international agencies about the high collateral risk of ETFs. Finally, we theoretically show how to construct an optimal collateral portfolio for an ETF.

Financial Architecture and Credit Procyclicality in Europe: Empirical Evidence

Mercredi | 2014-10-22
salle C002, 12h-14h

Aurélien LEROY

This paper empirically analyzes the linkages between credit procyclicality and financial architecture in Europe over the time period from 1999 to 2012 using panel VAR model with interaction terms. This framework allows to make response of credit to an real activity shock conditional to the financial structure of the different economies. Based on financial accelerator theory we presume that 4 indicators of country’s financial architecture (bank competition, bank business model, nature of the financial system as well as risk-weighted capital) can mitigate asymmetry information problems and alleviate incentives to risk-taking. Our findings show that bank competition (low concentration), bank-based financial system as well as well capitalized system imply a weaker procyclicality of bank credit, that we consider asan evidence of a higher stability. Results for bank business model are more mixed. The findings suggest that financial structures matter for stability and for business cycle. Since we assume procyclicality as a measure of instability, our contributionis related to the literature analyzing the effects of financial structures on stability. Keywords: Credit cycle, Economic cycle, stability, financial structure, bank competition,Interacted panel VARJEL Codes: C33, E51, E52

Optimal Lottery

Mardi | 2014-10-21
Sully 5, 16h00-17h20

Charles DENNERY – Alexis DIRER

This article proposes an equilibrium approach to lottery markets in which a firm designs an optimal lottery to rank-dependent expected utility (RDU) consumers. We show that a fi nite number of prizes cannot be optimal, unless implausible utility and probability weighting functions are assumed. We then investigate the conditions under which a probability density function can be optimal. With standard RDU preferences, this implies a discrete probability on the ticket price, and a continuous probability on prizes afterwards. Under some preferences consistent with experimental literature, the optimal lottery follows a power-law distribution, with a plausibly extremely high degree of prize skewness.

Ambiguous Life Expectancy and the Demand for Annuities

Mardi | 2014-10-14
Sully 5, 16h00-17h20

Emmanuel THIBAULT – Hippolyte D’ALBIS

In this paper, ambiguity aversion to uncertain survival probabilities is introduced in a life-cycle model with a bequest motive to study the optimal demand for annuities. Provided that annuities return is sufficiently large, and notably when it is fair, positive annuitization is known to be the optimal strategy of ambiguity neutral individuals. Conversely, we show that the demand for annuities decreases with ambiguity aversion and that there exists a finite degree of aversion above which the demand is non positive: the optimal strategy is then to either sell annuities short or to hold zero annuities if the former option is not available. To conclude, ambiguity aversion appears as a relevant candidate for explaining the annuity puzzle.

Etude sur la non-linéarité entre croissance et endettement dans l’UEMOA

Mercredi | 2014-10-08
C002, 12h-14h


L’objectif de cet article est d’étudier la nature de la relation entre endettement extérieur et activité économique. L’étude se fait sur un panel constitué des pays membres de l’Union Économique et Monétaire Ouest Africaine (à l’exception de la Guinée Bissau) sur une période allant de 1972 à 2012. Différentes méthodologies ont été utilisées, parmi lesquelles le mécanisme de la transition brutale ou modèle PTR développée par Hansen (1999) mais aussi son extension en transition lisse modélisée par Gonzales et al.(2005).Ces méthodologies comparées á la méthode des moments généralisés sur données de panel nousont permis d’étudier et d’estimer le niveau d’endettement soutenable maximal qui pourrait être favorable à la croissance économique et de tester la robustesse de nos résultats. Ce choix se justifie par le fait que la politique budgétaire n’a d’effets keynésiens que si la dette publique est en-dessous d’un certain seuil (Tanimoune & Combes) d’où l’intérêt d’étudier le taux d’endettement optimal. La modélisation aboutit à un seuil optimal d’endettement d’environ 80%, celui-ci correspond niveau àpartir duquel l’endettement devient un facteur négatif de la croissance. Le modèle fait apparaître deux régimes. Si le niveau de la dette est en-deça du seuil, l’endettement supplémentaire n’a pas d’effets directs sur la croissance et au-dessus des 80% du PIB, d’endettement extérieur aura un effet négatif sur l’Activité Économique des pays de l’Union Économique et Monétaire Ouest Africaine, le niveau de la dette devient alors un frein à l’expansion. L’impact de la dette sur la croissance dépend donc du poids de l’endettement par rapport au PIB. L’analyse nous a permis également d’identifier certaines variables, retenues a priori, susceptibles d’influencer la croissance au sein de l’UEMOA.

A microsimulation framework for projecting public pensions’ sustainability. Simulating labour-market transitions and contribution years in Argentina

Mardi | 2014-09-30
Sully 5, 16h00-17h20

Leonardo Eric CALCAGNO

Using a standard microsimulation framework, this paper intends to draw perspectives on Argentina’s pension system from a household-level quaterly survey data, the EPH. After describing the country’s current public Pay-As-You-Go pension system, this paper uses the country’s household survey’s labour market related data to describe and estimate transitions between labour market states for individuals of working age. Finally, together with demographic data provided by Argentina’s statistical body INDEC, we describe how we intend to use these empirical labour market transition probabilities as inputs for simulating forward, up to 2040 and backwards, labour careers of our surveyed population. We should hence be able to reconstitute the labour carreer of each individual, i.e. the total amount of contributive years each individual has validated once he reaches retirement age. This would lay the basic framework for future projections on Argentina’s pension system’s mid to long-term sustainability.

Spatial Dependence in the Persistence of Segregation and Poverty in the U.S. Urban South: the Houston case-study

Mardi | 2014-09-23
Sully 5, 16h00-17h20


Concentrated poverty in highly segregated neighborhoods within U.S. metropolitan areas is a long debated academic issue. Studied in isolation, the usual statistical indicators may fail to locate accurately the most distressed neighborhoods and assess the exact relationship between places, race and poverty. This paper investigates the persistent linkage between the poverty rate at the neighborhood level and the spatial distribution of African-American and Hispanic communities by using spatially autoregressive correlation analysis and bivariate local spatial statistics. Empirical analysis of geospatial data of 153 metropolitan areas of the U.S. South in 1970 and 2010 suggests that spatial dependence is a major explanatory factor of the linkage between segregation and poverty. By using data sets aggregated by census tracts at two periods, 1970 and 2010, this study confirms the persistent relevance of this issue, despite significant progress toward better integration of minorities in the American society.

Volatiliy During the Financial Crisis Through the Lens of High-frequency Data: A Realized GARCH Approach

Mardi | 2014-07-01
Salle des thèses

Denisa BANULESCU-RADU – Peter Reinhard HANSEN – Zhuo HUANG – Marius² MATEI

In this paper we study the financial volatility during the global financial crisis and use the largest volatility shocks to identify major events during the crisis. Our analysis makes extensive use of high-frequency (HF) financial data for the modelling of volatility and, importantly, for determining the timing within the day when the largest volatility shocks occurred. The latter helps us identify the event(s) that can be associated with each of these shocks. The higher volatility during the period 2007 to 2009 coincides, not surprisingly, with the bankruptcy of Lehman Brothers on September 15, 2008 and Congress’s failure to pass the Emergency Economic Stabilization Act on September 29, 2008. The day with the largest volatility shock was February 27, 2007 – a date where Freddie Mac announced a stricter policy for underwriting subprime loans and a date that was marked by a crash on the Chinese stock market. However, the intraday HF data shows that the main culprit for this shock was a computer glitch in the trading system. On the other hand, the days with the largest drops in volatility can in most cases be related to interventions by governments and central banks.

Evaluation des effets des politiques non conventionnelles à partir d’un modèle DSGE à deux pays

Mercredi | 2014-06-18
Salle B103, 12H00 A 14H00

Cet article vise à étudier les effets des politiques non conventionnelles dans un modèled’équilibre général dynamique stochastique (DSGE). Nous considérons le cas de deux payssoumis à la même politique monétaire mais différents dans les paramètres caractéristiquesdes économies. Cette dimension autorise des effets asymétriques de la politiques monétaire.Le modèle est composé de cinq agents : ménages, banques, entreprises, gouvernement et banque centrale. Il prend en compte la contrainte de bilan des intermédiaires financiers et la contrainte du collatéral des entreprises. La politique monétaire est caractérisée par une politique de taux, l’assouplissement des conditions de garantie et l’achat des actifs.L’assouplissement des conditions de garantie doublé de la procédure d’allocation complète rend compte de la politique d’injection de liquidité dans le modèle. Il ressort que les politiques conventionnelles et non-conventionnelles conduisent à une hausse de l’offre de crédit et une stimulation de la demande de titres du secteur privé et des gouvernements. Toutefois, les politiques d’achat d’actifs ont également entraîné une constitution de réserves excédentaires du secteur bancaire soutenant l’idée d’une fuite vers la liquidité en période de crise. Cette situation constitue un facteur limitant de la transmission des effets des politiques monétaires.