Séminaires de recherche

Mardi | 2014-03-11
salle des thèses

Lung-fei LEE – Xingbai XU

This paper examines a Tobit model with spatial autoregressive interactions. Weconsider the maximum likelihood estimation for this model and analyze asymptotic properties of the estimator based on the spatial near-epoch dependence of the dependent variable process generated from the model structure. We show that the maximum likelihood estimator is consistent and asymptotically normally distributed. Monte Carlo experiments are performed to verify finite sample properties of the estimator.

Mardi | 2014-03-04
salle des thèses

Oscar BERNAL – Jean-Yves GNABO – Grégory GUILMIN

This paper contributes to the Eurozone debt-crisis literature by analyzing the role of economic policy uncertainty (EPU) on risk spillovers. Our two-step estimation procedure rst applies the CoV aR approach developed in Adrian and Brunnermeier (2011) on data over 10 EMU countries between Q4/2008 and Q2/2013 to estimate the extent to which distress within one country a ects risk at the Eurozone level. Second the CoV aR – our risk spillover measure – is regressed on EPU indices proposed by Baker et al. (2013). Our empirical results reveal that EPU, especially in Germany and Spain, plays a major role in the transmission of risk.

Mercredi | 2014-02-19
B103

Hadi KHALIL

Dans le modèle financier traditionnel reposant sur l’intermédiation bancaire, le processus de création de liquidité par l’intermédiation des bilans des banques était particulièrement facile à identifier. Dans cet article, nous analysons la relation simultanée entre la variation du capital des banques et leur processus de création de liquidité ou leur exposition au risque de liquidité. Pour ce faire, le test de causalité de Granger, dans le cadre d’un modèle à deux équations simultanées, est effectué sur un panel de 3 102 banques commerciales, coopératives et caisses d’épargne situées dans 15 pays européens, sur la période 2000-2012. Les équations sont estimées par la méthode des moments généralisés (MMG). Nous observons que les activités de création de liquidité sont relativement plus importantes dans les banques commerciales et que les grandes banques sont les principaux fournisseurs de liquidité sur le marché européen. Les constats empiriques montrent que la causalité au sens de Granger, allant du niveau de capitalisation vers l’appétence des banques à créer de la liquidité est positive pour les grandes banques, alors qu’elle est négative pour les banques de petite taille. Les résultats révèlent également une causalité inverse négative, c’est-à-dire un impact négatif, au sens de Granger, de l’indicateur de création de liquidité sur le ratio de capital. Ainsi, les banques européennes, grandes et petites, n’améliorent pas leur ratio de solvabilité lorsqu’elles investissent dans des activités de plus en plus risquées.

Mardi | 2014-02-18
B103

Denisa BANULESCU-RADU – Gilbert COLLETAZ – Christophe HURLIN – Sessi TOKPAVI

This paper proposes an intraday high-frequency risk (HFR) measure speci…fically designed for HFR management and high-frequency trading (HFT). The HFR measure is a conditional joint measure of market risk and liquidity risk for irregularly spaced high-frequency data. It combines two well-known risk measures, i.e., value at risk (VaR) and time at risk (TaR). We propose a forecasting procedure for both measures, which complies with HFR managementrequirements, particularly in terms of the information set. We also differentiate between three concepts of intraday VaR: total, marginal (or per time unit) and instantaneous VaR. Finally, we propose a backtesting procedure specifi…cally designed to assess the validity of the VaR and TaR forecasts for each trade or other market microstructure event. The performance of theHFR measure is illustrated in an empirical application to two stocks (Bank of America and Microsoft) and an exchange-traded fund (ETF) based on Standard and Poor’s (the S&P) 500 index. We show that the intraday VaR and TaR forecasts accurately capture the volatility and duration dynamics for these three assets.

Mercredi | 2014-02-12
B103

Denisa BANULESCU-RADU – Zhuo HUANG – Marius² MATEI – Peter REINHARD HANSEN

We study the financial volatility during the global fi nancial crisis and use the largest volatility shocks to identify the major events during the crisis. First, we propose an improved version of the Realized GARCH which accounts for the asymmetry and the impact of outliers on volatility. This model takes advantage of the realized measures of volatility, in the modeling of daily returns. The time series of daily realized volatility measures that are computed from high frequency data spaning the period from 1997 to 2009 that includes several international crises and major events such as 9/11. This adds perspective to the magnitude of the global financial crisis. We use this timeseries to zoom in on the events during the 2007-2009 period, and the model produce a daily series of volatility shocks. Interestingly the largest volatility shock is found to coincide with a computer glitch in the trading system.

Mardi | 2014-02-11
salle des thèses

Stergios ATHANASSOGLOU

Social well-being is intrinsically multidimensional. Welfare indices attempting to reduce this complexity to a unique measure abound in many areas of economics and public policy. Ranking alternatives based on such measures depends, sometimes critically, on how the di erent dimensions of welfare are weighted. In this paper, a theoretical framework is presented that yields a set of consensus rankings in the presence of such weight imprecision. The main idea is to consider a vector of weights as an imaginary voter submitting preferences over alternatives in the form of an ordered list. With this voting construct in mind, a rule for aggregating the preferences of many plausible choices of weights, suitably weighted by the importance attached to them, is proposed. An axiomatic characterization of the rule is provided, and its computational implementation is developed. An analytic solution is derived for an interesting special case of the model corresponding to generalized weighted means and the e-contamination framework of Bayesian statistics. The model is applied to the Academic Ranking of World Universities index of Shanghai University, a popular composite index measuring academic excellence.

Mardi | 2014-02-04
salle des thèses

M Victoria CABALLERO – Mariano MATILLA GARCIA – Manuel RUIZ-MARIN

In this paper we introduce the symbolic correlation integral SC(m), which avoids the noisy parameter ε of the classical correlation integral defined by Grassberger-Procaccia. Moreover we provide the asymptotic distribution of SC(m) under the null of i.i.d.. With a MonteCarlo simulation we show the size and the power performance of the new test under linear and nonlinear processes.

Mercredi | 2014-01-29
B103

Fadi KHALIL

Cet article s’intéresse au concept de causalité en panel. Les approches de Konya (2006) et de Dumitrescu et Hurlin (2011) ont été retenues pour tester la (non) causalité au sens de Granger (1969) entre le taux de change réel et la croissance économique dans les pays en développement. Nous avons choisi un panel de trois groupes de pays (BRICS 1, l’organisation de coopération de Shanghai (OCS) 2, et les Tigres asiatiques 3) et utilisé le flux d’investissements directs comme variable de contrôle. Les résultats indiquent que le test de Konya (2006) rejette moins l’hypothèse de non causalité que celui de Dumitrescu et Hurlin (2011). L’analyse montre que la sous-évaluation des monnaies des pays du panel (notamment les pays de l’organisation de coopération de Shanghai (OCS)) a causé une baisse de la croissance économique sur la période 1990-2012. Le flux d’investissements directs joue un rôle crucial pour stimuler la causalité entre la croissance économique et le taux de change réel.

Mardi | 2014-01-28
salle des thèses

Laurent BARRAS – Patrick GAGLIARDINI – Olivier SCAILLET

Slide

Mercredi | 2014-01-22
B103

Sylvain BENOIT – Christophe HURLIN – Christophe PERIGNON