Séminaires de recherche


How Far Away is an Intangible ? Services FDI and Distance

Mardi | 2012-02-07

Ronald B. DAVIES – Amélie GUILLIN

Foreign direct investment (FDI) in services has grown significantly in recent years. Evidence of spatial relationships in FDI decisions have been provided for goods manufacturing by utilizing physical distance-based measures of trade costs. This paper investigates spatial interactions for services FDI using several distance measures, including physical distance, genetic distance, and transport time. Across different measures of distance, the traditional determinants of outbound FDI activity remain valid for services. We also find spatial interdependence for services FDI that is generally supportive of complex vertical motivations.

Coping with the Recent Financial Crisis, did inflation Targeting Make any Difference?

Mercredi | 2012-01-18


Countries have faced one of the greatest economic shocks recently. The effects of the financial crisis went largely among the financial markets and hit the real economy. The aim of this study is to investigate whether inflation targeting helped countries which implement this monetary policy strategy to perform better during the 2008/2009 financial crisis. Based on the literature, we first present some arguments suggesting that inflation targeters can be expected to do better when facing a global shock. Our empirical investigation is conducted on a large sample of developed and developing countries. Difference in performances between targeters and non-targeters during the crisis are assessed in two ways: central banks performances – in terms of inflation and interest rate – and more general economic performances in terms of GDP growth. We apply difference in difference in the spirit of Ball and Sheridan (2005) and find that there is no significant difference between the two groups concerning inflation and GDP growth. However, the rise in interest rates during the crisis has been significantly less pronounced for targeters.

A Theoretical and Empirical Comparison of Systemic Risk Measures: MES versus CoVar (article non disponible)

Mercredi | 2012-01-11

Sylvain BENOIT – Gilbert COLLETAZ – Christophe HURLIN – Article non disponible

In this paper, we propose a theoretical and empirical comparison of two popular systemic risk measures – Marginal Expected Shortfall (MES) and Delta Conditional Value at Risk (CoVaR) – that can be estimated using publicly available data. First, we assume that the time-varying correlation completely captures the dependence between …rm and market returns. Under this assumption, we derive three analytical results: (i)we show that the MES corresponds to the product of the conditional ES of market returns and the time-varying beta of this institution, (ii) we give an analytical expression of the CoVaR and show that the CoVaR corresponds to the product of the VaR of the firm’s returns and the time-varying linear projection coe¢ cient of the market returns on the fi…rm’s returns and (iii) we derive the ratio of the MES to the CoVaR. Second, we relax this assumption and propose an empirical comparison for a panel of 61 US financial institutions over the period from January 2000 to December 2010. For each measure, we propose a cross-sectional analysis, a time-series comparison and rankings analysis of these institutions based on the two measures.