Séminaires de recherche

Mercredi | 2013-01-30
B103

Thierry EONA ABESSOLO

Mardi | 2013-01-29
B103

Lorenzo CAMPONOVO – Olivier SCAILLET – Fabio TROJANI

Testing procedures for predictive regressions with lagged autoregressive variables imply a suboptimal inference in presence of small violations of ideal assumptions. We propose a novel testing framework resistant to such violations, which is consistent with nearly integrated regressors and applicable to multi-predictor settings, when the data may only approximately follow a predictive regression model. The Monte Carlo evidence demonstrates large improvements of our approach, while the empirical analysis produces a strong robust evidence of market return predictability, using predictive variables such as the dividend yield, the volatility risk premium or, labor income.

Mardi | 2013-01-22
B103

Kim OOSTERLINCK – L. URECHE-RANGAU – Jacques-Marie VASLIN – libre

Following Waterloo managing French public finances represented a daunting task. Defeated France had lost a substantial part of its population and of its territory. Part of the country was occupied and France was to pay huge amounts as reparations to the victors. Furthermore France’s reputation had been tarnished by the partial default on its debts in 1797. Despite all these elements, in the ten years between 1815 and 1825 not only did France manage to place a huge amount of debt on the market (resulting in a threefold increase) but it did so with a spread, compared to the British consol, falling from more than 400 basis points to a meagre 100 basis point. Based on an econometric analysis of the yields of the French rentes, we show that the improvement in French institutions explains the dramatic decrease in yields.

Mercredi | 2013-01-16
B103

Aurélien LEROY

Mardi | 2013-01-16
B103

Cem ERTUR – Antonio MUSOLESI

This paper provides an econometric examination of geographic R&D spillovers among countries by focusing on the issue of cross-sectional dependence. By applying several unit root tests, we show that when the number of lags of the autoregressive component of augmented DickeyFuller test-type speciffications or the number of common factors is estimated in a model selection framework, the variables (total factor productivity and the R&D capital stocks) appear to be stationary. Then, we estimate the model using two complementary approaches, focusing on generalised spatial autoregression and unobserved common correlated factors. These approaches account for different types of cross-sectional dependence and are related to the notions of weak and strong cross-sectional dependence recently developed in the literature.

Mercredi | 2013-01-09
A105

Asma BEN SAAD-LAKHAL

La politique macroprudentielle a suscité l’intérêt des économistes et des responsables depuis la dernière crise. Assurer une politique microprudentielle n’est pas suffisant pour garantir la stabilité financière. Il est nécessaire d’agir via des outils autres que ceux de la politique monétaire pour garder la stabilité économique et limiter le risque systémique.Après la crise des ‘suprimes’, nombreux travaux ont étudié le secteur immobilier américain en tentant d’expliquer les raisons de son effondrement et ses impacts sur l’économie. Etant donnée l’importance de ce secteur, il serait intéressant d’interpréter son rôle et d’évaluer son importance dans l’économie française. L’intérêt de ce travail est de répondre à la problématique suivante : une bulle immobilière précède-t-elle une bulle du crédit ? Est-il possible de freiner les bulles immobilières en agissant sur les indicateurs de risque ?Dans notre travail, nous nous intéresserons aux conditions du crédit qui peuvent fragiliser le secteur et former une bulle immobilière.