Séminaires de recherche

Mercredi | 2016-03-30
B103– 12h

Jérémy LEYMARIE – Christophe HURLIN – Denisa BANULESCU-RADU – Olivier SCAILLET

A venir

Mardi | 2016-03-29
Sully05 de 16h à 17h20

Anna SIMONI – Siddhartha CHIB – Minchul SHIN

In this paper we consider the problem of inference in statistical models characterized via moment restrictions and develop a semiparametric Bayes procedure for selecting valid and relevant moments. We cast the moment estimation problem in the Exponentially Tilted Empirical Likelihood (ETEL) framework introduced by Schennach (2007). Because the ETEL has a well-defined probabilistic interpretation and plays the role of a likelihood, a fully Bayesian framework can be developed. We show how the moment selection problem can be tackled on the basis of marginal likelihoods. These are computed exactly (up to simulation error) by Chib (1995)’s method. We show that our proposed marginal likelihood-based moment selection procedure is consistent in the sense that it discards misspecified as well as irrelevant moment restrictions. As a byproduct, we prove that a posterior distribution obtained from the ETEL satisfies the Bernstein-von Mises theorem in misspecified moment models. The finite sample properties of our procedure are illustrated in simulation exercises in the settings of linear instrumental regression and quantile instrumental regression.

Mardi | 2016-03-22
Sully05 de 16h à 17h20

Florian FIZAINE – Victore COURT

In the present paper we relate the recent estimations of the historical (1800-2011) global EROI of fossil fuels production performed by Court and Fizaine (2015) to the tremendous increase in Gross World Production that the global economy has encountered during the same period. We first show that on this entire period of study, there is a power inverse relationship that exists between the average price of aggregated fossil energy and its EROI. More precisely, we find that this long-term relationship is constituted of short-term relations that shift over time. We interpret these shifts as short-term cycles of EROI decrease/price increase/innovation to higher EROI. Furthermore, on the more restricted 1950-2011 time period on which we have continuous year-to-year data, we find a clear correlation between the EROI level of aggregated fossil energy and the growth rate of the Gross World Production (GWP). With the same data, we are also able to show that in order to have a positive growth rate, the global economy cannot afford to allocate more than 15% of its GWP to energy expenditures. In other words, this also means that considering the current energy intensity of the global economy, our primary energy system needs to have at least a minimal EROImin of approximately 6.5:1 (that conversely corresponds to a maximum tolerable average price of energy three times higher than current level) in order for the global economy to present a positive growth rate. From these different results, we then propose a business cycle model based on the EROI dynamics. Our study supports the idea that a coherent economic policy should first of all be based on an energy policy consisting in improving the net energy efficiency of the economy. Doing so would lead to a “triple dividend”: an increase of the global economy EROI (through a decrease of the energy intensity of capital investment), a decrease of the sensitiveness of the economy to energy price volatility, and a decrease of GHG emissions associated with fossil energy consumption.

Mardi | 2016-03-15
16h-17h20 en sully5

Alberto BAGNAI – Christian Alexander MONGEAU OSPINA

Building on the well-established “rockets and feathers” literature, and on the recently developed nonlinear autoregressive distributed lag (NARDL) modelling, we investigate the asymmetries in gasoline pricing on a comprehensive sample of monthly data from twelve Eurozone countries running from 1999:1 to 2015:12. The empirical results feature two robust patterns. Firstly, while the effects of exchange rate variations display a positive asymmetry (i.e., depreciations have a greater effect with respect to appreciations), crude price variations induce negative asymmetry (i.e., reductions in the price of crude oil have a greater effect than price rises). Secondly, the positive asymmetry to exchange rate changes is stronger in core Eurozone countries. The negative asymmetry with respect to crude oil prices confirms the results of recent empirical research and theoretical models. The different behavior between Eurozone core and periphery provides further insights in the nature of pricing asymmetries.

Mercredi | 2016-03-09
B103 – 12h

Nada MSELMI – Taher HAMZA – Amine LAHIANI

A venir

Mardi | 2016-03-08
16-17h20 sully 05

Juan PAEZ-FARRELL

The objective of this paper is to infer the policy preferences of three inflation targeting central banks, Australia, Canada and New Zealand, using an estimated New Keynesian small open economy model. While I assume that the monetary authorities optimise, I depart from previous research by assuming that monetary policy is implemented via simple Taylor-type rules, as suggested by most of the empirical literature. I then derive the weights in the objective function that make the resulting optimal interest rate rule coincide with its estimated counterpart. Therefore, from the central bank’s point of view, actual policy is optimal.

Mercredi | 2016-03-02
B103 – 12h

Asma BEN SAAD-LAKHAL – Muhammad KHAN

A venir

Mardi | 2016-03-01
16h-17h20 Sully05

Jean-Bernard CHATELAIN – Kirsten RALF

Assuming inflation is a forward variable in Taylor (1999) model, this paper finds opposite policy rule recommendations with countercyclical policy rule parameters (Taylor principle: inflation rule larger than one and bounded upwards) in the case of optimal policy under commitment versus pro-cyclical policy rule parameters (inflation rule parameter below zero) in the case of discretionary policy. For the observed high inertia of the Fed with tiny variations of the nominal policy rate within the range [0%,4%] during the great moderation, the cost of time-inconsistency is negligible for optimal policy without commitment. In this case, time-inconsistency cannot be the ultimate argument to reject countercyclical Taylor principle.

Mercredi | 2016-02-24
B212 -12h

Nicolas CLOOTENS

A venir

Mardi | 2016-02-23
16-17h20 Sully-05

Malik KERKOUR – Jean-Yves GNABO – Christelle LECOURT – Helene REYMOND

Sovereign wealth funds (SWFs) have been increasingly active over the past decade, raising concern from governments regarding their actual motives and potential cross-border stakes in national strategic sectors. The aim of this paper is to contribute to the existing literature to understand better the decisions taken by this new class of investors. The whole process of investment decision strategy is complex in the sense where it combines several dimensions that may potentially interact. For that, we investigate the economic determinants of SWF’s cross-border stakes while considering the whole sequence of choices involved in this decision: (i) the decision to invest abroad or not, (ii) the decision to invest in a listed versus unlisted firm, and (iii) the decision to make large versus small investment in target company. Using a nested logit approach on one of the biggest SWF, the Singaporean fund Temasek over the 1990 to 2010 period, we provide clear evidence of dependence in the three considered levels of decision. In addition, we show that Temasek’s cross-border investment probability increases with the excess of FX reserves, tends to target unlisted firms when asymmetry of information is low between the target and the home countries and involves in large stakes depending on firm financial characteristics.