Séminaires de recherche


Who is Buying? Fuelwood Collection in Rural India

Mardi | 2015-06-16
Sully 5, 16h-17h20

Ujjayant CHAKRAVORTY – Martino PELLI – Anna RISCH

Fuelwood collection is often cited as the most important cause of deforestation in many developing countries. There is a significant literature on fuelwood markets but almost no studies on who is using the fuelwood collected. Is the fuelwood collected in rural areas used locally or by people living in nearby towns and cities? The answer to this question has implications for both environment and energy policy. We study this issue by looking at the effect of reduced forest cover on the time allocation of buyers and sellers of fuelwood in rural India. We instrument time spent in fuel wood collection by the time it takes to travel from their home to the collection site. By matching two different datasets, we can identify households that buy fuelwood for their own use and those who sell fuelwood in markets. We see a clear difference in the time allocation of these two groups in response to costlier access to forest resources. When the forest is further away, fuelwood is scarce, and sellers decrease their time invested in self-employment activities. Buyers show no such trend in their behavior. Closer to town, sellers increase their collection effort, because fuelwood is likely to fetch higher prices. Buyers do not exhibit the same pattern. By differentiating buyers from sellers, we find that the number of fuelwood sellers rises closer to town and controlling for population, fuelwood sales increase. The main contribution of the paper is in disentangling fuelwood markets into those who buy and those who sell. We can therefore estimate an excess supply function of fuelwood as a function of distance from town. The main policy implication of the study is that fuelwood collection is likely driven not only by rural household demand but by demand from towns in close proximity. Thus energy policies that address deforestation and rural energy use need to target urban energy use as well.

Deficit Rules and Monetization in a Growth Model with Multiplicity and Indeterminacy

Mardi | 2015-06-09
Sully 5, 16h-17h20

Maxime MENUET – Patrick VILLIEU

In response to the Great Recession, Central Banks around the world adopted  » unconventional » monetary policies. In particular, the Fed, and more recently the ECB, launched massive debt monetization programs. In this paper, we develop a formal analysis of the short- and long-run consequences of deficit and debt monetization, through an endogenous growth model in which economic growth interacts with productive public expenditure. This interaction can generate two positive balanced growth paths (BGP) in the long-run: a high BGP and a low BGP, and further, depending on the form of the CIA constraint, possible multiplicity and indeterminacy. Thus, monetizing deficits is found to be remarkably powerful. First, a large dose of monetization might allow avoiding, whenever present, BGP indeterminacy. Second, monetization always allows increasing growth and welfare along the (high) BGP, by weakening the debt burden in the long-run. Third, with a CIA on consumption only, monetization provides a rationale for deficits in the long-run: for high degrees of monetization, the impact of deficits and debts on economic growth and welfare becomes positive in the steady-state.

Interdépendances entre les Prix du Pétrole Brut et les Marchés Boursiers

Mardi | 2015-06-05
Sully 5, 10h30-12h

Kamel Malik BENSAFTA – Gervasio SEMEDO

Ce papier traite la question de transmission des prix et des incertitudes de prix du pétrole brut et les marchés boursiers. L’application d’une modélisation GARCH multivariée a montré que les chocs de prix du pétrole et les incertitudes sur ce marché sont transmises vers les marchés américains et européens. Il apparaît également l’effet global du marché américain. Nos résultats montrent l’importance de la part asymétrique de la transmission des chocs de volatilité.

Harvesting Terrorists

Mardi | 2015-06-02
Sully 5, 16h-18h


We develop a model of capturing terrorists in a dynamic framework when the very act of killing or capturing them induces new recruit formation to the terrorists? cause. We adopt standard economic models of fishing to show that the discount rate, the cost of catching terrorists and the technology used, can affect optimal terrorism policy. We show conditions under which the model yields a  » socially optimal » capture rate, and conditions under which no solution to the problem exists. The paper suggests that terrorism is a dynamic and long run problem and needs to be modeled using methods available in other disciplines such as resource economics.

Banks and the Transmission of the Monetary Policy in the West African Economic Union

Mercredi | 2015-05-27

Désiré KANGA

This paper aims at reviewing the role of banks in the transmission of the monetary policy in the West African Economic and Monetary Union (WAEMU). The banking sector of this region is small, well-capitalised and highly liquid. In addition, it is highly concentrated and slightly competitive. According to the literature, in that case, the credit channel seems to be the only channel of transmission of the monetary policy. However, the reliability of this channel depends on the banks and the institutions. I extend the model of Mishra et al. (2014) to take into account the role of capital and institutions in the transmission of monetary policy. Based on the model and the literature, I check the validity of the determinants of bank lending in the WAEMU conditional to the institutions measured by civil liberties.I find that bank lending is affected by the quality of institutions, the capital and the size of the banks as well as their liquidity and risk positions. In particular, the size of the bank and the constraint of capital strongly affect the lending. In case of tight monetary policy, the higher the bank is capital-constrained the stronger the reduction of lending. Poor institutions also impair the transmission of monetary policy by penalizing capital-constrained banks. In fact, an unfavorable environment involves additional costs and results in a decline in credit.

Spatial runs tests

Mardi | 2015-05-26
Sully 5, 16h-17h20


In this paper we propose several nonparametric spatial independence tests based on runs. The tests can be applied to quantitative or categorical data and are able to detect linear and nonlinear spatial structure. With a Monte Carlo experiment we show the size and power performance of the statistic under linear and nonlinear data generating process. The results of our test is also compared to other statistics like Moran’s I and the Brett and Pinkse test for spatial dependence.

Trade and conflicts: Do preferential trade agreements matter?

Mardi | 2015-05-18
Sully 5, 15h-16h20

Arslan Tariq RANA

A long debate continues whether international trade institutions (specifically preferential trade agreements, (PTAs)) affect security relations between states. Contradicting theories and empirical claims are put forward by realists and liberals. The former posit that the institutions are epiphenomenal and possess no power to constrain state behavior whereas the latter claim that the institutions are likely to promote cooperation by supplying forums for consultation, arbitration and adjudication, thus reducing the risk of war between states. This study identifies an important channel through which the legal dimension of trade agreements (hence Dispute Settlement Mechanisms in PTAs) may have pacifying effects on the outbreaks of war. Dispute Settlement Mechanisms of PTAs do have strong implications for MIDs, although not directly, but through low-level of foreign policy disputes, such as economic sanctions. If economic sanctions are believed to escalate to violent conflict, PTA DSMs may reduce the probability of war by mitigating the escalation of economic sanctions. However, the level of legalism differs among DSMs in PTAs. The present study first confirms empirically that sanction disputes escalate to militarized disputes and further, addresses the selection issue by using bivariate probit model. I find a sizeable impact of medium level of legalism reducing the sanctions escalation into war whereas high level of legalism, in which the state sovereignty is limited, do reduce the probability of sanctions but have no impact on war probability. Further, the interstate political cooperation proves to be a strong determinant for highly legalistic PTAs but not in the case of medium level of legalism.

Return Predictability: Learning from the Cross-Section

Mardi | 2015-05-12
Sully 5, 16h-17h20


This paper develops an estimation framework in which the true parameters of international return processes share a common distribution. The model (i) makes e fficient use of the cross-sectional correlation in the residuals, (ii) incorporates cross-sectional information in the estimation process, and (iii) introduces economic constraints on equity premium forecasts. The eff ect on estimation precision is remarkably strong and manifests itself both in- and out-of-sample. Once cross-sectional information is accounted for, the international evidence of return predictability appears much less heterogeneous than previously reported. The United States stands out as the exception rather than the rule in having both an unusually large long term equity premium and an unusually strong return predictability.

Exploring the Relationship between Credit and Nominal GDP

Mardi | 2015-05-05
Sully 5, 16h-17h20

Gancho GANCHEV – Vladimir TSENKOV – Elena STAVROVA

The functions of money as medium of exchange and unit of account are closely related to the problems of relative prices formation and the value of money itself. Rejecting the classical dichotomy, we can assume some interaction between the real and the monetary sectors. Following the new trends in monetary theory we focus on the nominal macroeconomic parameters. In particular, econometric research is carried out in order to reveal the relationship between the nominal GDP growth and the total credit in the countries of Central and Eastern Europe. The objective is to measure the level of dependency and the nature of the relationship between these important macroeconomic variables.

System-wide tail comovements: a bootstrap test for cojump identification on the S&P 500, US bonds and exchange rates

Mardi | 2015-04-23
Sully 4, 16h-17h20

Jean-Yves GNABO – Lyudmyla HVOZDYKZ – J erôme LAHAYE

This paper studies bivariate tail comovements on fi nancial markets that are of crucial importance for the world economy: the S&P 500, US bonds, and currencies. We propose to study that form of dependence under the lens of cojump identi cation in a bivariate Brownian semimartingale with idiosyncratic jumps, as well as cojumps. Whereas univariate jump identi cation has been widely studied in the high-frequency data literature, the multivariate literature on cojump identi cation is more recent and scarcer. Cojump identi cation is of interest, as it may identify comovements which are not trivially visible in a univariate setting. That is, price changes can be small relative to local variation, but still abnormal relative to local covariation. This paper investigates how simple parametric bootstrapping of the product of assets’ intraday returns can help detect cojumps in a multivariate Brownian semi-martingale with both idiosyncratic jumps and cojumps. In particular, we investigate how to disentangle idiosyncratic jumps from common jumps at an intraday level for pairs of assets. The approach is flexible, trivial to implement, and yields good power properties. It allows to shed new light on extreme dependence at the world economy level.