Séminaires de recherche


 » A Sustainable Capital Asset Pricing Model (S-CAPM): Evidence from Green Investing and Sin Stock Exclusion »

Mardi | 2020-02-18
Salle des thèses 16h-17h20

Olivier David ZERBIB

I show how sustainable investing affects asset returns through exclusionary screening and environmental, social, and governance (ESG) integration. I develop an asset pricing model with partial segmentation and disagreement. A taste premium clarifies the relationship between ESG and financial performance. Two exclusion premia, generalizing Merton’s (1987) premium on neglected stocks, drive the exclusion effect. By using green fund holdings to proxy sustainable investors’ tastes, I estimate the model applied to green investing and sin stock exclusion using U.S. data for 2000-2018. The annual taste effect ranges from -1.09% to +0.11% for the different industries and the average exclusion effect is 3%.

Skill and Value Creation in the Mutual Fund Industry

Mardi | 2020-01-28
B103 16h 17h20


We develop a simple, nonparametric approach for estimating the entire distributions of mutual fund skill and its economic value. Our approach avoids the challenge of specifying these distributions and accommodates the need to study jointly multiple skill measures. Our results show that the vast majority of the funds are skilled, which allows them to earn large economic profits. We also show that investment and trading skills vary substantially across funds and are strongly negatively correlated—two features that are partly driven by the strategies followed by funds. Finally, we find that the fund industry (i) is not heavily concentrated, (ii) earn profits that are close to the optimal level, and (iii) is in a strong bargaining position vis-a-vis investors.

MISSAR: a dynamic microsimulation model for Argentina’s social security system

Mardi | 2020-01-21
Salle B103 16h – 17h20

Leonardo Eric CALCAGNO

Argentina’s National Social Security Administration (ANSES), the country’s main social security scheme, lacks official projections of its future expenses or income. This hinders the study of the system’s sustainability, and makes it impossible to evaluate ex ante the impact of social security reforms either on social security accounts or on its beneficiaries. This paper presents the dynamic Microsimulation model for Social Security in Argentina (MISSAR): its general architecture, input datasets, most relevant methodological choices and a token of its projection results. MISSAR simulates social security contributions as well as ANSES most important social security benefits: retirement benefits, survivors’ pensions and family benefits. To do so, MISSAR not only models individual labour-market income and transitions; it also simulates socio-demographic behaviour (including birth, death, unions, divorce or household composition) and education. MISSAR first takes one wave of Argentina’s Permanent Household Survey (EPH) and simulates past individual careers that are consistent with the respondents’ characteristics, estimating individual retirement rights. Then, MISSAR projects the starting population’s evolution up to 2040, following economic, demographic and pension reform scenarios. Thus, MISSAR can gauge the impact of pension reforms on ANSES future economic and political (its benefits adequacy, coverage and redistributive impact) sustainability. Using MISSAR, we showed in Calcagno (2018) that Argentina’s 2016 and 2017 pension reforms will not only increase ANSES deficit between 2.5% and 4% of GDP by 2022, but that they also reduced the system’s adequacy and redistributive impact.

A quoi renvoit la stabilité monétaire à la BEAC? Estimation de la fonction de réaction de la BEAC

Mercredi | 2020-01-16
Salle B103 – 12h00


Ce travail s’est intéressé à la définition opérationnelle du concept de stabilité monétaire à la Banque des Etats de l’Afrique Centrale (BEAC). Trois approches complémentaires d’analyse de la réaction du taux directeur de la BEAC ont été mobilisées à cet effet : (i) une analyse descriptive des corrélations linéaires entre le taux directeur de la BEAC et des indicateurs représentatifs de l’ensemble d’informations décisionnelles de politique monétaire, (ii) une modélisation distincte du sens et de l’amplitude des variations du TIAO à l’aide d’un modèle probit ordonné et d’un modèle à correction d’erreurs, et (iii) une modélisation conjointe de la probabilité de révision à la baisse et de l’amplitude des variations du taux directeur à l’aide d’un modèle TOBIT généralisé. Les évidences empiriques obtenues indiquent que les modifications du TIAO sont principalement associées : (i) aux fluctuation du taux REFI de la BCE, (ii) aux indicateurs de mesure de l’adéquation des réserves de change, et (iii) à la dynamique des cours du pétrole. Par conséquent, la stabilité monétaire à la BEAC sur la période 1999-2018 s’assimilerait principalement à la stabilité externe.

Female Labor, Status and Decision Power

Mardi | 2020-01-14
Salle des thèses 16h – 17h20

Catherine BROS-BOBIN – Véronique GILLE – François MANIQUET

Policy debates have shown a tendency to take the empowering effect of female labour supply for granted. This assumption in grounded in theoretical models of intra-household bargaining, where a woman’s autonomy is correlated with her bargaining power that in turn depends on either her outside option or threat point. However, using Indian panel data we show that an increase in the number of hours worked by women is associated with a decrease in how much say they have in household decisions. We argue that this comes from the fact that in rural India, men loose status when their wife work. Including status concerns into a collective household model, we show that our findings are consistent with a model where decision power and labour market participation are both outcomes of the bargaining process. Our empirical findings also show that women that face a decrease in their decision power when they increase their labor supply are from households in the middle of the income distribution.

Macroprudential and monetary policies: The need to dance the tango in harmony

Mardi | 2020-01-07
Salle des thèses 16h-17h20


Considering a sample of 37 emerging and advanced economies from 2000Q1 to 2014Q4, we empirically assess how effective macroprudential policies are in curbing domestic credit growth, and whether their effectiveness is affected by monetary policy conditions. We obtain three important results. First our findings suggest in line with previous research that an overall tightening in macroprudential policies is associated with a reduction in credit growth. Second, we show that a restrictive monetary policy enhances the impact of macroprudential tightening on credit growth. Third, our results seem to suggest that monetary policy helps to reduce the transmission delay of macroprudential policy actions. Consequently our results confirm the need for coordination between the two policies.