Séminaires de recherche


The Role of Hormones in Financial Markets

Mardi | 2016-09-20
16h00-17h20-Salle des thèses

Xin LI – Daniel LADLEY – Subir BOSE

Steroid hormones, such as testosterone, have been shown to affect risk preferences in humans with high levels leading to excessive risk-taking. Hormone levels, in turn, are affected by trading outcomes as well as by gender-males are more sensitive to stimuli than females. We investigate the effects of hormones on market behavior and trader performance. An increase in the proportion of female traders does not necessarily make markets less volatile; however, it reduces the occurrence of market crashes. Male traders on average under-perform females, although the best performing individuals are more likely to be male.

Are international environmental agreements effective? The case of trade in hazardous chemicals and persistent organic pollutants

Mardi | 2016-09-13
16h00-17h00 en sully 05


Recent research has questioned the effectiveness of International Environmental Agreements; some are seen as an attempt by countries to project an image on the international stage, rather than legitimate environmental concerns. This paper focuses on the Rotterdam Convention (RC) on hazardous chemicals (HCs) and the Stockholm Convention (SC) on persistent organic pollutants (POPs). It explicitly evaluates the effects of ratification and adoption of these agreements on imports of those products controlling for the endogeneity of the decision to ratify. Our results are twofold. Firstly, ratification of the SC is associated with lower imports of POPs sent from developed to developing countries if the importer ratifies. Secondly, in the case of the RC, a significant decrease on imports of HCs is observed if both trading partners ratify and also when imports of POPs are from developed to developing countries. Both results point toward the partial effectiveness of the conventions.

Irregular N2SLS and LASSO estimation of the matrix exponential spatial specification model

Mardi | 2016-07-05
16h00-17h00 en sully05

FEI JIN – Lung-fei LEE

In this paper, we consider estimation of the matrix exponential spatial specification model with the Durbin and endogenous regressors. We find that the nonlinear two-stage least squares (N2SLS) estimator is in general consistent and asymptotically normal. However, when the Durbin and endogenous regressors are irrelevant, the gradient vector of the N2SLS criterion function has a singular covariance matrix with probability approaching one (w.p.a.1.). Some components of the N2SLS estimator have slower rates of convergence and their asymptotic distributions are nonstandard. The distance difference and gradient test statistics are derived to test for the irrelevance of the Durbin and endogenous regressors. As an alternative estimation and model selection approach, we propose the adaptive group LASSO, which penalizes the coefficients of the Durbin and endogenous explanatory variables. We show that the estimator has the oracle properties, so the true model can be selected w.p.a.1. and the estimator always has the sqrt(n)-rate of convergence and asymptotic normal distribution. We propose to select the tuning parameter in the adaptive group LASSO estimation by minimizing an information criterion.

Debt Sustainability Issues in the CEECs

Mardi | 2016-06-30
16h00-17h00 en Sully05

Andrea STOIAN – Bettina BöKEMEIER

The aim of this study is to investigate debt sustainability in ten Central and Eastern European countries over 1997-2013. Following Burger (2012), we calculate the stabilized debt using the estimates of a fiscal reaction function for a balanced panel with fixed effects. Comparing the stabilized, the effective debt ratios and the historical averages, we can assess debt sustainability in short and in long run

Do Investors Listen to Fiscal Policy? Study Case – Bucharest Stock Exchange

Mardi | 2016-06-30
16h00-17h00 en sully05


The aim of this paper is to examine whether information on fiscal policy includes in the stock prices in a way which is consistent with the Efficiency Market Hypothesis. We conduct our investigation for the Bucharest Stock Exchange which is one emerging stock market from Central and Eastern Europe. For the purpose of our study, we employ the methodology suggested by Darrat (1988). We analyse the influence of past fiscal policy on current stock market return using two distinct datasets comprising of quarterly and monthly data. The results indicate that when we do not control for the anticipated and unanticipated effects of fiscal policy, past lags of changes in the overall budget balance and in public debt-to-GDP ratio have a significant impact on stock market return and, thus, we fail in accepting the semi-strong form of the efficiency market hypothesis.

Dynamique des prix céréaliers et efficacité des mesures de stabilisation au Bénin

Mercredi | 2016-06-22
12h B103

Les fluctuations de prix ont toujours créé un environnement défavorable aux anticipations correctes des agents économiques. Elles rendent par leur effet, vulnérables lesproducteurs et consommateurs qui dépendent des produits concernés. Or l’un des moyens de réduire la vulnérabilité et la pauvreté en milieu rural est de garantir des prix stables.Les politiques de stabilisation ont pour rôle d’asseoir la stabilité des prix agricoles et des principales denrées. Le présent article teste, à l’aide d’un modèle ARCH, la volatilité des prix et analyse l’effet des instruments mis en œuvre ces dernières années pour juguler la crise alimentaire au Bénin. Les résultats montrent que les interventions publiques ont eudes effets limités sur la volatilité des prix. L’article recommande que pour bénéficier d’une stabilisation effective et durable, ces politiques doivent reposer sur la dynamique des forces du marché.

Long memory and power law in coherency between realized volatility and trading volume

Mardi | 2016-06-21
16h00-17h20 en sully 05


The nature of the relationship between trading volume and volatility series has been widely studied but overall, the literature provides mixed results. In this paper, we investigate this issue for the thirty components of the Dow Jones stock market index in light of a recent concept named anti-cointegration. For almost all firms, we show that the most persistent component of both trading volume and volatility series is idiosyncratic and dwarfs a less persistent common factor that is undetectable by traditional long run or short-run econometric techniques. We also study the phase angle of the cross-spectrum and find clear evidence that in presence of anti-cointegration, trading volume and volatility are contemporaneously linked, thereby supporting the mixture of distributions hypothesis rather than the sequential arrival of information hypothesis.

A Focused Information Criterion for Locally Misspecified Autoregressive Models

Mardi | 2016-06-14
Sully05 16h00-17h20

Jean-Pierre URBAIN – Jan LOHMEYER – Franz PALM – Hanno REUVERS

This paper investigates the Focused Information Criterion (Claeskens and Hjort (2003)) in autoregressive models with local misspecification. A main advantage of the FIC is that model selection and/or model averaging is focused on the quantity of interest instead of aiming at some measure of global model fit. The quantity of interest is allowed to be any (su fficiently regular) function of the parameters. We derive the asymptotic properties and inspired by the work of Hansen (2005) we apply our estimation method to impulse responses both for the univariate and multivariate cases. Monte Carlo simulations show that our Focused Information Criterion performs comparably to both AIC and BIC selection procedures as well as model averaging procedures based on their smoothed counterparts.Impulse responses, Model selection, Model uncertainty.

What Explains Indirect Exports of Goods and Services in Eastern Europe and Central Asia?

Mardi | 2016-06-07


This paper investigates the determinants of indirect exporting using firm-level data for 27 countries in Eastern Europe and Central Asia. Indirect exporting depends on a combination of fixed and variable trade cost factors. We hypothesize that firms that perceive transportation, crime, legal systems and corruption as severe obstacles face higher fixed costs and are more likely to export indirectly and that indirect exporting tends to be a temporary strategy. Econometric models are used to test the first hypothesis and transition matrices to test the second hypothesis. In particular, probit and fractional response models are estimated to analyse the determinants of the export mode and theshare of indirect exports. The results indicate that the above-mentioned factors that account for the fixed cost of exporting, not only affect the decision of whether to export indirectly, but also to a lower extent the amount exported indirectly, whereas factors such as the size of the firm and the ownership structure affect both, and country-factors such as trade agreement membership and exchange rate volatility mainly determine the share of indirect exports of goods the former and of services the latter. The results also indicate that the status of indirect exporter is more likely to be abandoned than the status of being a direct exporter or a non-exporter, confirming the second hypothesis.