Documents de recherche LEO
Documents de recherche
Le LÉO s’inscrit pleinement dans les principes de la science ouverte et les recommandations du Plan national pour la science ouverte : la plupart des articles produits par les membres du LÉO passent par le statut préliminaire de Documents de Recherche permettant une mise à disposition plus rapide de la production scientifique du laboratoire avant même le processus d’évaluation par les pairs des revues scientifiques.
Ces DR sont déposés sous Hal-SHS afin de garantir leur archivage pérenne et leur traçabilité.
Contact : Thais NUNEZ ROCHA
Total de documents : 385
Optimal Green Policy-mix
This paper highlights, in a voluntary very simple framework, why central bankers must consider environmental factors when determining monetary policy. To this aim, we propose a monetary overlapping generations (OLG) economy in which households derive satisfaction from both consumption and environmental quality. Production is viewed as a polluting activity that degrades environmental quality. Agents can improve environmental quality by engaging in environmental maintenance expenditures. In addition, the government can impose a carbon tax, though it may face constraints in doing so. The central bank determines the rate of monetary growth. We then characterize the inter-temporal equilibrium and the steady state. We show that the steady-state level of capital increases with the rate of money growth, while environmental quality exhibits an inverse U-shaped relationship with money growth. Money growth decreases the relative price of the environment. When income is low, increases in income lead to higher maintenance expenditures that more than compensate for new emissions. At higher income levels, however, the additional emissions from pollution are no longer offset by maintenance efforts. We then analyze welfare and the decentralization of the optimal steady state. We show that there is only one level of the money growth rate that is compatible with the first-best allocation. This specific level can achieve the first-best outcome only if the government sets the appropriate tax rate, which we characterize. When the government chooses a sub-optimal tax rate (e.g. due to some political acceptability constraint), a "constrained" optimal allocation can be attained if the central bank acts to compensate for the government's shortcomings. We therefore characterize the optimal money growth rate as a function of the carbon tax and other environmental parameters.
Dynamic and spillover effects of armed conflicts on renewable energy in Subsaharan Africa
This paper analyzes the impact of armed conflicts on the renewable energy consumption in 46 Sub-Saharan African countries over the period 2000-2020. It uses a dynamic spatial econometric method to capture the spatial and dynamic effects of these conflicts on renewable energy consumption. Using the dynamic and spatial method of the Durbin model, the main results show that armed conflicts have a significant negative impact on renewable energy consumption. The effect is to 30.97% for the dynamic model against 31.28% for the non-dynamic model. The spatial effects of these conflicts show us that armed conflicts, through their contagion and spillover effects, have a significant and negative impact on renewable energy consumption in the region of 32.11%. The short- and long-term results are generally negative and significant. For heterogeneity, results show that the effect of terrorism is larger than the effect of other types of conflict. Moreover, the impact of armed conflict on renewable energy consumption is greater in the Sahel than in the rest of our sample. This article shows that the effect of conflict on the consumption of renewable energy passes through three main transmission channels : economic development, the increase in military spending as a result of conflict, to the detriment of green investment, and uncertainty, which penalizes investment and the production of renewable energy.
Lien HAL
How do microfinance and economic development mutually support each other? A Panel VAR approach in developing economies
This paper explores the relationship between microfinance and economic development using a cross-country dataset of 60 developing countries from 2000-2018. We employ the Panel VAR model, estimated by the generalised method of moments (GMM). Microfinance institutions indicators are categorised into social and financial performance variables. Social performance variables include the number of clients served and the percentage of women borrowers, while financial performance indicators consist of the portfolio at risk, operational self-sufficiency, and operating expenses. Economic development is assessed using the Human Development Index, which integrates economic indicators like Gross National Income per capita with social indicators such as educational attainment and life expectancy at birth. We perform a Granger causality test confirming a Granger causal relationship between microfinance and economic development. Our findings indicate that shocks to social performance variables positively influence economic development, and shocks to financial performance variables significantly impact the human development index.
Lien HAL
Forecasting extreme trajectories using seminorm representations
For (X t ) a two-sided α-stable moving average, this paper studies the conditional distribution of future paths given a piece of observed trajectory when the process is far from its central values. Under this framework, vectors of the form X t = (X t-m , . . . , X t , X t+1 , . . . , X t+h ), m ≥ 0, h ≥ 1, are multivariate αstable and the dependence between the past and future components is encoded in their spectral measures.
A new representation of stable random vectors on unit cylinders sets {s ∈ R m+h+1 : ∥s∥ = 1} for ∥ • ∥ an adequate seminorm is proposed to describe the tail behaviour of vectors X t when only the first m + 1 components are assumed to be observed and large in norm. Not all stable vectors admit such a representation and (X t ) will have to be "anticipative enough" for X t to admit one. The conditional distribution of future paths can then be explicitly derived using the regularly varying tails property of stable vectors and has a natural interpretation in terms of pattern identification. Through Monte Carlo simulations we develop procedures to forecast crash probabilities and crash dates and demonstrate their finite sample performances. As an empirical illustration, we estimate probabilities and reversal dates of El Niño and La Niña occurrences.
Does income inequality influence health vulnerability to pollution? Evidence from France
This study investigates whether income inequality within a population influences the health effects of pollution. Specifically, we empirically estimate the causal impact of particulate matter (PM 10 ) on mortality in France, using wind direction as an instrumental variable, and explore how income inequality modifies this relationship. Our findings reveal a statistically and economically significant impact of pollution exposure on the mortality of individuals aged 50 or older, which intensifies in municipalities with higher levels of income inequality. More precisely, while the effect of PM 10 is not significant in municipalities with the lowest levels of disparities, it is significant for the others and increases with the level of inequality within the municipalities. The impact of PM 10 on the mortality of individuals aged 50 or older in the top 33% of municipalities with the highest inequality is up to twice as large as in municipalities with intermediate levels of inequality. This result is particularly striking given that it concerns a country like France, which has relatively low income inequality. To provide a comprehensive understanding of the potential underlying mechanisms, we develop a theoretical model and empirically test its predictions. We conclude that the observed variation in vulnerability to pollution across municipalities, stratified by inequality levels, could have been but is not attributable to differences in public health expenditure, pollution exposure (between and within municipalities), or poverty prevalence and intensity. Our results suggest that inequality plays a significant role in environmental health, worthy of further research.
Lien HAL
Financements intermédiés et fragilité en Afrique
Nonobstant le grand intérêt sur la question du financement des Etats fragiles, très peu d'études se sont penchées jusqu'ici sur l'impact des ressources externes sur la fragilité dans les pays. Cette étude vient compléter la littérature et se penche sur l'impact spécifique des financements intermédiés sur la fragilité des pays africains. L'étude utilise la méthode de l'appariement des scores de propension appliquée à un panel de 50 pays africains sur la période 2009-2019, pour estimer l'effet des financements intermédiés sur la fragilité suivant quatre algorithmes d'appariement. Les résultats sont significatifs à 5% et montrent que le financement intermédié réduit la fragilité des pays concernés de 8,1% à 13,1% dépendamment de l'algorithme retenu. Le test de robustesse confirme cet impact positif et significatif indépendamment de la source de financement. Ces résultats devraient intéresser les décideurs politiques, les institutions financières internationales et les banques centrales, de même que les chercheurs dans la formulation des politiques et stratégies d'inclusion financière et de renforcement de la résilience dans les Etats fragiles.
Global Value Chains in Time of Sanctions
In recent years, there has been a proliferation of economic sanctions imposed by the United States, the main proponent of such sanctions. Several authors have questioned their effectiveness, as targeted countries may try to evade or circumvent them.
Economic sanctions have complex effects, particularly on the global value chain (GVC), which reflects the interdependence of economies. Participation in global value chains can create loopholes that allow sanctioned countries to mitigate their impact. This may be even more the case if sanctions are laxly applied. On the other hand, sanctions may permanently lock countries into low-value-added activities. This study examines the complex effects of US economic sanctions on the participation of targeted countries in global value chains. Using a panel of 102 developing countries from 1990 to 2018 and applying the entropy balancing method, it finds that US economic sanctions reduce participation in global value chains by 1.06 percentage points relative to non-targeted countries. Results show that trade and financial sanctions hinder global value chain participation, with a sanctioned country losing almost 5 years of progress in the GVC. The effects are more pronounced for highly trade-dependent and resource-rich economies, while countries with strong financial systems are more resilient. This impact is supported by an alternative method involving the use of an instrumental variable estimator.
Relying on other alternative econometric methods does not change the main results.
Lower foreign direct investment (FDI), reduced innovation capacity, exclusion from international financial networks and increased macroeconomic uncertainty, as measured by inflation and real effective exchange rate volatility, are the main drivers of the impact of economic sanctions on participation in global value chains.
Institutions Matter: Press Freedom and Government Spending Efficiency
We examine the effect of media freedom on public expenditure efficiency, using a panel of 158 advanced and developing countries from 1994 to 2016. We find robust evidence that media freedom significantly improves government efficiency, and the effect is strongly complementary to per capita income, level of education, Internet access, and fiscal rules. We further empirically examine the underlying mechanisms and show that the effect of media freedom on efficiency is mainly channeled through reduced corruption, improved transparency and accountability in the public sector, and enhanced electoral competition. These findings underscore the critical role of media freedom in fostering good governance and efficient resource use.
Lien HAL
La conversion des rentes de Tirard en 1883 : une conversion « parfaite » ?
Résumé non disponible.
Lien HALUnravelling The Nexus between Exchange Rate Undervaluation and Global Value Chain Participation
The undervaluation of the real exchange rate (RER) can influence the performance of national exports and affect a country's participation in global value chains (GVCs). Thus, using the Eora dataset for 143 countries over the period 1995-2018, we assess the impact of this policy on a country's foreign value added (FVA) in exports which represents the value added in exports whose outputs are produced by foreign industries (backward participation) and the domestic value added (DVX) in exports, that refers to the value added that is embodied in the exports of other countries (forward linkages). Currency undervaluation displays a positive impact on these two ways of participating in GVCs. Consistent with what has been noted in a recent strand of literature, undervaluation acts as a compensatory factor for countries with weak institutions, and the impact of this undervaluation becomes more pronounced as the level of digitization in the economy increases. Our econometric results remain robust to a battery of sensitivity analysis tests.
Lien HAL
A Monetary Model of Growth with Limited Foresight *
Rational expectations are often questioned in light of their overly demanding assumptions. Thus, an increasing literature introduces some form of bounded rationality.
In this paper, we study real and monetary growth models with agents endowed with limited foresight. Accordingly, in each period, economic plans extend only for a limited number of periods and are reformulated in each subsequent date. We show that limited foresight may lead to capital under-investment and be thus growth-detrimental. However, by relaxing progressively myopia, the economy converges to the Perfect Foresight equilibrium. We prove the existence of a monetary Balanced Growth Path (BGP ) beside the non monetary one and compare it with the outcome obtained under perfect foresight. We also perform a stability analysis and show that the monetary BGP is globally unstable (stable) while the non monetary one is globally stable (unstable) when money is positive (negative). Finally, we identify the optimal monetary policy maximizing welfare. Limited foresight, in contrast to a widespread literature, thus restores monetary equilibria even in absence of limited participation, financial frictions and borrowing constraints.
Mobile Money: an instrument of Financial Development to reduce violent conflicts?
This article uses a conceptual framework based on the capability approach and the impact analysis method called Entropy Balancing to examine the impact of mobile money adoption on armed conflict in 103 developing countries over the period 2000-2020. The results show that mobile money significantly reduces armed conflict by about 1.79 percentage points. The results are robust to several robustness tests, including alternative specifications and methods that capture reverse causality, dynamic and spillover effects. Heterogeneity analysis shows that the effect may vary by type of mobile money, level of development, duration of conflict, financial development, and geographic area. Finally, income, unemployment, inequality and consumption volatility are the main channels through which mobile money can reduce violent conflicts.
Lien HAL
Mining booms' effects : How booms from mining sector affect firms' performances.
Mining activities currently capitalize on the energy transition that fuels the demand for ores. However, the macroeconomics literature has extensively documented the adverse effects of booming sectors on the other sectors of the economy. This study uses firm-level data to examine the effects of mine activation on firm performance in developing countries. Drawing from the Dutch disease and the resource curse literature, we examine whether mining activities affect the manufacturing sector using a multilevel mixed model. We build an original dataset that merges data from the World Bank Enterprise Surveys data and the Minex database on mining activities. The dataset leaves us with a sample of 15,642 firms disseminated in 44 developing countries from 2006 to 2020. The results show that manufacturing firms underperform when mining activities grow, thus supporting the Dutch disease hypothesis. Our main finding is robust to several checks. We examine various transmission channels provided by the Dutch disease literature: competitiveness losses induced by the exchange rate appreciation, poor institutional quality, and labor force shifts. Our results highlight the potential conflict between energy transition and firm performance.
Lien HAL
Mining and Structural Change: How Mining Affects Participation in the Global Value Chain
We examine the relationship between mining activity and participation and positioning in the global value chain in 74 developing countries from 1995-2018. Mining activity can impact countries' participation and especially their positioning in this chain through the changes it induces in the industrial and institutional structure of countries. We use the event study method, taking the activation of mines as the event to be studied, with a study time horizon of five years. Our relatively robust results show that mining activity harms positioning in the global value chain through specialization towards start-of-the-chain industries. The type of mineral extracted, the mode of extraction, and the geographical position play an essential role in this relationship. Three transmission channels explain this result: human capital, total factor productivity, and the Dutch disease.
Lien HAL
Are Global Value Chains Women Friendly in Developing Countries ? Evidence from Firm-Level Data
Despite the efforts made to increase women’s inclusion in the economy, they are still underrepresented in trade in general and in global value chains in particular. Thus, this paper aims at examining the impact of global value chains on women’s trade participation as entrepreneurs and employees. It also analyzes how this effect is moderated through external (gender provisions in trade agreements) and internal (investment climate variables) factors. The analysis uses firm-level data for 154 developing economies and emerging markets with a special focus on the Middle East and North Africa region, being one of the regions with the lowest female labor force participation. The main findings show that global value chains integration increases the likelihood of being a female owner and the share of female employees, especially production ones. A less robust negative effect is found for the impact on being a female top manager. These effects are moderated by the inclusion of gender provisions in trade agreements and by the characteristics of the investment climate (especially tax policy, access to finance, and corruption). These results remain robust after controlling for the endogeneity of global value chains using an instrumental variable approach and a propensity score estimation method where the treatment is being part of a global value chains. Thus, global value chains can be perceived as a tool that boosts women’s empowerment in emerging economies, especially in the Middle East and North Africa region.
Lien HAL
Are some developing countries caught in a hunger trap?
This paper aims to test the existence of an unconditional hunger trap and to determine whether biofuel production is among the key long-term determinants of food insecurity. Therefore, we consider the Markov transition matrix and ergodic distribution to test the hypothesis of an unconditional hunger trap and then the conditional inference regression tree to identify the key drivers of food insecurity. We find that developing countries are not caught in a hunger trap. The result of the transition matrix shows that all countries with high levels of food insecurity can move to a lower level. Furthermore, given the characteristics of the countries, the conditional inference regression tree results show that the most important variable is gross domestic product (GDP) per capita. However, in addition to this variable, we need to include the level of age dependency ratio, precipitation, socioeconomic conditions, and corruption index for countries with high levels of food insecurity. Considering the overall sample and sub-samples of low and high food insecure countries, biofuel production is not part of the long-term determinants. The results of the boosting model and panel data quantile regression reveal that the influence of biofuels seems very weak, meaning that they can be a way to fight climate change without penalizing food security.
Lien HAL
Dynamic bioethanol price pass-through:implication for food security
This paper analyzes the pass-through dynamics of world bioethanol price shocks to food prices, particularly maize prices, for a set of developing and developed countries, over the period 2000-2014. Using local projections, a method robust to the risk of misspecification that allows us to generate multi-step predictions, we estimate the dynamic responses at each period of interest. Our results show that there is a positive response of maize prices to bioethanol price shocks. On the whole sample, the impulse response function displays that a one percent increase in bioethanol prices per liter contributes to around 50 percent rise in maize price two years after the shock. Besides, on average, the asymmetry concerning the magnitude of shocks indicates that high magnitude shocks impact is more important than low magnitude shocks; however, asymmetry with respect to shocks direction reveals a nil net effect, suggesting that bioethanol is not harmful to food security. Finally, the intensity of these impacts is subject to heterogeneity related to many factors: income level, trade openness, exchange rate regime, maize production, net maize trade, or the role of public policies.
Lien HAL
Do Rival Political Parties Enforce Government Efficiency? Evidence from Canada, 1867 – 2021
DR LEO - Working paper 2022-08
Lien HAL
How Do Natural Resource - Backed Loans Affect the Public Debt Sustainability in Developing Countries ? Empirical Evidence.
DR LEO - Working paper 2022-03
Lien HAL
Does particulate matter pollution affect school attendance in South Africa?
Rising air pollution is a growing problem in South Africa. This study aims to nd out how pollution aects school attendance in South Africa. By matching survey and satellite pollution data and using an instrumental variable approach over the period 2015-2016, this paper nds evidence that the risk of absenteeism is larger for pupils exposed to ne particulate matter (PM2.5) and especially for those aged between 5 and 15 years old. This nding is consistent across provinces but varies with age of individuals and household's characteristics such as wealth level, household size and structure, and household head subgroup. The study highlights the causal relationship between air pollution and school absenteeism at least in South Africa which has up to here remain mixed in the literature
Lien HAL
Que nous apprend la littérature récente sur la « nature et les causes de la richesse des nations » ?
DR LEO - Working paper 2022-10
Lien HAL
Counter-cyclicality of the fiscal policy: a woman's touch. LEO Working Paper 2024-07
The past two decades have witnessed a consistent rise in the proportion of women in the national governments of EU member states, partly attributed to policies aimed at fostering parity. The average representation of women has increased from 23.3% to 34.2%. The question of the impact of gender in the literature, despite lacking consensus, seems to suggest that women could behave differently with regard to risk aversion or even in terms of leverage over a group. This paper aims to delve into the potential influence of gender among government members on public policy. Using quarterly data from 2003 to 2021, we examine the relationship between the share of women in EU governments and its link to the management of public spending, mainly focusing on its cyclicality. Our findings indicate a positive correlation between an augmented presence of women near the budgetary decision-making process, specifically those holding economic positions in government, and an increase in the countercyclicality of fiscal policy. Furthermore, utilising annual data, we demonstrate that an upsurge in the representation of women in economic roles within government is linked to a reduction in procyclicality. Our results, robust across various specifications and sample changes, underscore that beyond the pursuit of equal representation, fostering gender parity in political spheres could contribute to enhanced fiscal policy management.
Lien HAL
Does the EU-ETS affect the firm's capital structure? Evidence from French manufacturing firms. LEO Working Paper 2024-09
LEO Working Paper 2024-09
Lien HAL
Investment and access to external finance in Europe: Does analyst coverage matter?
DR LEO - Working paper 2022-06
Lien HAL
The RePEc Swiss Knife: description and toolkit
The RePEc Swiss Knife has been developed to make searches based on publications registered in RePEc, including information on authors (names, affiliations…). It uses a mix of scraping and text analysis, checking for the occurrence of one or several words. It has many uses: focused searches for literature reviews which are more precise than most existing tools; to organize a conference and build a list of guests or find a keynote speaker; to identify a specialist inside or outside an institution for human resources purposes…
Lien HAL
Confwatcher: a tool for economists to make the search for conferences and special issues more efficient and transparent
Hundreds of conferences, seminars and workshops in economics are organized worldwide every year. Being able to get a full information on their content and dates, in a more efficient and transparent way, is key for economists as it should enable them to submit their papers in the right places, and then publish them in better conditions, especially when the event is linked to a special issue. Conversely, for organizers, making sure that most publicity is made and that economists who have written interesting papers in the scope of the event have the information and may then envisage to submit their articles is important to match the expected standard of the event. Using datascience technics (web-scraping and text analysis), Confwatcher is a tool that proposes a simple interface to identify conferences with call for papers (and possibly special issues) among institutions (central banks, international organizations, research centers, journals, economists’ associations…) that propose most high-quality events.
Lien HAL
Inequality, Transaction Costs and Voter Turnout: evidence from Canadian Provinces and Indian States
DR LEO - Working Paper 2022-09
Lien HAL
What type of trade is promoted by environmental regulations?
DR LEO - Working paper 2022-18
Lien HAL
The impact of monetary surprises on exchange rates: insights from a textual analysis approach on a panel of countries. LEO Working Paper 2024-10
LEO Working Paper 2024-10
Lien HAL
Forest conservation policies in the kitchen: When protected areas influence household fuel choices in Tanzania
Tanzania enjoys humongous forest cover, and many of its forests are protected. Nevertheless, households are highly reliant on biomass. This study uses three-wave panel data (2008-2013) from the Tanzania National Panel Survey to estimate the effectiveness of protected areas in modifying household cooking fuel choices. We adopt a linear probability model (LPM) while controlling for region and wave-fixed effects. The findings suggest that while protected areas reduce the probability that households would use firewood, the likelihood of use of charcoal is increased, signaling a possible rebound effect given that firewood and charcoal are close substitutes. Overall, protected areas were not effective in reducing traditional biomass consumption. Our results highlight that environmental conservation policies such as the implementation of protected areas can generate negative consequences, especially given that the current charcoal production in Tanzania remains unsustainable.
Lien HAL
The winds of inequalities: How hurricanes impact inequalities at the macro level?
DR LEO - Working paper 2022-17
Lien HAL
Protected areas and fuel choice: the case of Ivorian households. LEO Working Paper 2024-08
Résumé non disponible.
Lien HALThe determinants of crude oil prices: Evidence from ARDL, and non linear ARSL approaches
DR LEO - Working paper 2022-11
Lien HAL
Inflation Targeting and Developing countries' Performance: Evidence from Firm-Level Data
DR LEO - Working paper 2022-05
Lien HAL
How does tax structure affect income inequality? Empirical evidence from Sub-Saharan Africa
DR LEO - Working paper 2022-12
Lien HAL
Does the Depth of Trade Agreements Matter for Trade in Services?
DR LEO - Working paper 2022-07
Lien HAL
Protected-areas and technological progress in agriculture in the Brazilian Legal Amazon: An analysis of the Porter hypothesis
In this article we analyze whether environmental protection policies in Brazilian municipalities of Legal Amazon drive technical progress in agriculture, thus verifying the Porter hypothesis. Specifically, we investigate whether agricultural firms in municipalities with protected areas (PAs) are technically more performant in agriculture than firms in municipalities without protected areas. We use agricultural census data from 1995/1996 and 2005/2006 and derive estimates of potential production frontier, technical efficiency and total factor productivity as proxies of agricultural performance in a stochastic frontier framework. Next, we run estimates of a panel model with fixed effects, including difference-indifference estimator, to assess the effect of protected-area policies on efficiency, potential production and total factor productivity changes. Results are consistent with significant changes in potential production and total factor productivity. Because the shift of the potential production across time is a result of technical progress, our estimates show that agricultural firms in municipalities with protected areas improved their technical progress more in year 2006 compared to year 1996.
Lien HAL
Does Climate Change Affect Firms’ Innovative Capacity in Developing Countries ?
We investigate the impact of climate change on firms’ investment in research and development (R&D) in developing countries. The paper relies on two contrasting hypotheses. In the first hypothesis, we speculate an optimistic situation where climate change could induce firms to spend on R&D to both reduce their environmental impact and curb the effects of future climate shocks. In the second hypothesis, we propose a pessimistic scenario where climate change would reduce firms’ incentives to invest in R&D. This second hypothesis would mainly be due to tighter conditions for access to finance from lenders, given the increased uncertainty about the firm’s future returns in the face of climate change. The empirical results support the second scenario, small firms being more severely affected. Furthermore, we examine the underlying mechanisms and identify financial access as the key channel through which climate change reduces R&D investment.
Lien HAL
Le pouvoir libératoire de la monnaie et la monnaie numérique de Banque centrale
L'un des points principaux de la définition de la monnaie est son pouvoir libératoire. Tel est notamment le cas à l'égard des transactions ordinaires, du remboursement d'une dette et du paiement des impôts. Dans la réalité, ce pouvoir libératoire des espèces a été considérablement réduit sous le prétexte de lutte contre différentes fraudes. Mais les espèces perdurent, contre ceux qui croient lire l'histoire et en dépit de différentes tentatives de passer outre.
Lien HAL
La monnaie numérique de banque centrale ouvre de nouvelles perspectives pour manipuler la monnaie dans des buts de politique économique ou d'ingénierie sociale, en mettant en question les fondements de la monnaie. Cela ne va pas sans susciter des craintes quant aux dérives possibles.
On peut penser que la monnaie numérique banque centrale ajoutera le caractère contingent au pouvoir libératoire limité.
On the efficiency of the mitigation hierarchy
This article focuses on the avoid, reduce, compensate (ARC) sequence that accompanies the no net loss policy. It studies the behavior of a developer in the face of this policy. Under perfect information, it appears that this policy is a policy of environmental standards, whose objectives are difficult to transpose into a microeconomic decision model. Moreover, we show that the demand for compensation does not depend on its price. We then assume that the regulator does not share the same information as the developer on the environmental damage of the project. In this case, the developer strategically uses this asymmetric information. Using the backward induction reasoning, he simultaneously defines his demand for offsets and the level of environmental damage reduction based on the offset price. In the end, the project choice is made by also taking into account the price of the offset. This article shows that the mitigation hierarchy is ineffective under asymmetric information, making the safeguarding of biodiversity inefficient.
Lien HAL
Can blockchain help improve financial inclusion? A comparative study
The financial inclusion of poor populations and/or refugees can be hindered by difficulties in proving or reluctance to disclose their identity. Bank accounts and mobile money services require that identities be provided. Financial digital services based on blockchain technology can provide anonymous authentication to poor/refugee populations and be a first step towards financial inclusion. We scrutinize several examples of such projects by comparing them with blockchain-based digital identity or financial inclusion programmes that are not necessarily restricted to poor/migrant populations. We use social network activity as a proxy for the failure or success of such projects. We find that blockchain projects targeted to migrants and poor individuals are more likely to fail than are those targeted to all. We more closely examine one particular case to check the consistency of our proxy. We present plausible explanations for our result: the discrepancy between the needs of populations of low socioeconomic status and the proposed blockchain-backed financial services and the fact that maintaining such services is energy intensive.
Lien HAL
Payment for Environmental Services and environmental tax under imperfect competition
This paper designs the second-best Payment for Environmental Services (PES) when it interacts with a Pigouvian tax under imperfect competition. We consider farmers who face a choice between producing a conventional or an organic agriculture good. The regulator sets a Pigouvian tax on conventional agriculture as it generates environmental damages, as well as a PES on uncultivated land as buffer strips favor biodiversity. The conventional agriculture sector is perfectly competitive, unlike the organic agriculture sector, which is organized under an oligopoly. We show that the second-best level of the Pigouvian tax is higher than the marginal damage whereas the PES is lower than the marginal benefit. We then introduce the social marginal cost of public funds (MCF) and show that the Pigouvian tax increases with the MCF while the PES decreases with the MCF provided that demand for the conventional agriculture good is inelastic. We thus highlight a contributory component of the environmental incentive tax. This paper also identifies specific cases where the PES is ineffective in promoting biodiversity.
Lien HAL
The art of conducting macropru
This paper empirically assesses how effective macroprudential policies are at preventing and mitigating excessive procyclicality for credit, and whether their effectiveness is driven by how such policies are conducted over the business cycle. We use a sample of 42 OECD and non-OECD countries over the period 1990Q1-2019Q4 and propose an original macroprudential policy stance index that gauges the degree of countercyclicality of a policy, and we estimate whether it is an important determinant of credit procyclicality. Our results are based on an IPVAR model and confirm that the intensity of credit procyclicality decreases significantly as the degree of countercyclicality of the macroprudential policy increases. We find that the credit cycle responds less to a business cycle shock when the macroprudential policy is conducted in a countercyclical way. Consequently, our empirical findings highlight that the key to making macroprudential policies effective is the art of moving instruments in the right direction at the right time.
Lien HAL
Fiscal institutions and the development of fiscal capacity: The case of fiscal rules
The development of fiscal capacity is widely acknowledged as an important pillar for strong state-building. However, the level of fiscal capacity remains structurally low mostly in developing countries due to a number of factors, including the lack of institutions driving governments to channel public resources to public interests or the substitution of domestic resources with external financing. Fiscal rules that limit the opportunistic use of public finances and reduce governments' appetite for debt could be a valuable tool. Therefore, in this paper, we analyze the effect of fiscal rules on fiscal capacity. Two main theoretical arguments are presented to support the possible connection between fiscal rules and the development of fiscal capacity, namely the mitigation of the extraversion theory and the development of trust between citizens and governments. Based on entropy balancing and using a sample of 71 developing countries over the period 1985-2019, we show that countries that adopt fiscal rules experience an increase in their fiscal capacity. This result, which passes a series of robustness tests, reveals some heterogeneity, notably with respect to the types of fiscal rules, the effectiveness of fiscal rules, time spent under fiscal rules, and some structural factors.
Lien HAL
Entrepreneurship in developing countries: can mobile money play a role?
This paper examines the impact of mobile money adoption on entrepreneurship in a large panel of 105 developing countries over the period 2006-2020 using entropy balancing method. Results indicate that countries with mobile money have higher entrepreneurial activities. Specifically, countries with mobile money experienced an increase of 0.35 percentage points in their entrepreneurial activity compared to nonmobile money countries. This result is robust to several robustness tests, including altering the definition of mobile money, the definition of entrepreneurship, placebo tests, adding additional control variables, changing the sample design, and alternative estimation methods such as panel fixed effects, and the GMM system. Furthermore, the heterogeneity tests performed indicate the sensitivity of our results to the intensity of mobile money use, some structural factors such as democracy, conflict, regulatory quality, corruption, financial development, internet, and education.
Lien HAL
The Effects of Climate Change on Public Investment Efficiency in Resource-rich Countries : Evidence from Stochastic Frontier Analysis
Developing countries suffer disproportionately from the negative impacts of climate change and environmental degradation on economic development in terms of financial costs and loss of potential revenues. In this paper, we examine the impact of climate change on the efficiency of public investment in 34 developing countries, with a particular focus on resource-rich countries, over the period 2000-2013. Using stochastic frontier analysis (SFA) to determine efficiency scores, we find that developing countries could increase the capital stock by 29% on average without changing their public investment spending. In particular, resource-rich countries could increase the capital stock by 26% without changing their spending. In the second step, we then use the fractional regression model (FRM) to capture the impact of climate change on the investment efficiency values obtained in the first step. Our results show that climate change has a negative impact on public investment efficiency. However, when the climate change index is disaggregated for the regressions, we find that only precipitation has a negative effect, while a 1°C temperature increase in resource-rich countries leads to a 16.32% improvement in public investment efficiency of GDP. These results are also statistically and economically robust to different controls and specifications. The main findings of this paper suggest that policies to address climate change in general and heavy rainfall shocks in particular should include strong provisions for financing more resilient public investments to adapt to climatic conditions and modernise public infrastructures to mitigate the negative environmental impacts for developing countries, especially resource-rich countries.
Lien HAL
Are tax rates still decisive in FDI investment Choice or what drives sectoral FDI nowadays?
We explore the effects of effective taxation and institutional quality on sectoral FDI. Our analysis comprises European countries and we use data from 2002 to 2020. We employ a GMM approach and show that a rise in both apparent taxation and tax differential reduces sectoral FDI flow while soaring tax differential increase FDI stock. Among the institutional variables, tertiary enrollment attract FDI and secondary attainment has opposite results depending on the sectoral FDI. Our findings indicate that government should lower taxation for more FDI flows and strengthen tertiary and secondary enrollment.
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Do Sanctions or Moral Costs Prevent the Formation of Cartel-Type Agreements?
Remplace une version précédente du même numéro / Replaces a previous version of the same DR LEO number Cette version remplace celle du / This replaces the previous version dated : XX/XX/XXXX Titre précédent / A previous version was titled : "Remplacer par l'ancien titre" A paraitre dans / Forthcoming in : Nom du journal, vol, numéro, pages Paru dans
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Can Resource-backed Loans Mitigate Climate Change ?
Resource-backed loans are used today by many resource-rich countries as an effective means of providing public goods and services. However, this type of financing can undermine environmental sustainability (e.g., forest cover loss, CO2 emissions, pollution, ecological collapse, material footprint, etc.). In this paper, we first use propensity score matching, which allows for self-selection bias in signature policies, coarsened exact matching, and the entropy balancing method to test whether resource-backed loans have a causal impact on forest cover loss in 64 developing countries from 2004 to 2018. Through a series of econometric and alternative specification tests, we find that resource-backed loans increase forest cover loss. Nevertheless, when we disaggregate resource-backed loans to run the regressions, we find that mineral, tobacco, and cocoa-backed loans increase forest cover, while oil-backed loans have no significant direct impact on forest cover. We recommend that signatory countries and those considering signing resource-backed loans put in place a very strong compensation mechanism, such as introducing taxes or reforming the current tax system in resource-backed loan agreements, to protect biodiversity and mitigate the environmental impacts of these loans. Signatory countries must ensure full transparency of resource-backed loans to make the characteristics of the loans more fluid, avoiding a situation of budgetary debauchery.
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Mining the forests: do protected areas hinder mining-driven forest loss in Sub-Saharan Africa?
African countries are natural resource-rich. The continent has natural forests, homes of endemic biodiversity and various ores. This richness brings hope for sustainable and inclusive development in a continent whose population is rapidly growing. It also raises fears of environmental degradation. This article studies mining-driven deforestation using unique finescale data from 2001 to 2019. The dataset covering all Sub-Saharan African countries entails 2,207 polygons with an average size of about 12,000 square kilometres. 926 polygons were forested in 2001, of which 198 hosted industrial mines. A spatial autoregressive model allows taking dependence between deforestation decisions at the polygon level. The econometric results show that an additional mine increases deforestation by about 155 square kilometres. Protected areas mitigate deforestation poorly. One hundred square kilometres under protected areas enable only a 9.7 square kilometres reduction in forest loss. More than doubling protected areas would be necessary to offset mining-driven forest loss. Protected areas cannot alone mitigate the adverse effects of mining on forest loss and other environmental consequences. Moreover, the effectiveness of protected areas is not uniform across space: it vanishes in highly conflicted regions.
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Greenwashing the Talents: attracting human capital through environmental pledges
In times of global ecological crisis, the responsibility of large corporations in environmental degradation is increasingly pointed out. As a result, there has been a surge in private organizations' pledges to reduce their environmental impact in recent years. In this paper, we demonstrate that companies with poor environmental responsibility have incentives to take such pledges to maintain their ability to attract high-skilled human capital. Through a case study on a French climate movement which was initiated by elite students who threatened to boycott job offers from polluting employers, we find that environmental pledges can significantly attenuate this selection effect. Using a unique and large survey database on the climate movement participants (n=2307) and machine learning classifiers, we find that individuals who initially intended to refuse a job offer from a polluting employer were, on average, three times less likely to hold such intentions after being exposed to a corporate environmental pledge. This result can be explained by the fact that intentions to refuse to work for polluting companies, and reactions to environmental pledges are driven by different factors. Furthermore, we find substantial heterogeneity in the response to environmental pledges, which is primarily explained by career perspectives, beliefs about the ecological crisis and support for radical political action in the name of ecology.
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Can Mobile Money Adoption Affect Environmental Sustainability in Energy Transition Context ?
Although mobile money has been hailed as a serious innovation in the pursuit of financial inclusion and poverty reduction ; however, its impact on the environment and energy transition is not yet fully understood. This study takes this thorny path by analysing the impact of mobile money adoption on greenhouse gas and CO2 emissions in 41 African countries over the period 2002-2020. Using the entropy balancing method, I find that the adoption of mobile money contributed to an increase in emissions of 0.41 and 0.51 percentage points of greenhouse gases and CO2, respectively in African countries. After checking the robustness of these results, I show that the main drivers of the destabilizing and amplifying effect of mobile money on the environment are fossil fuel energy consumption, agricultural value added, and financial development. In addition, the heterogeneity tests performed show the sensitivity of the result to the type of mobile money and some structural and institutional factors, including inflation, renewable energy consumption, rural population growth, remittance inflow, and rule of law. The main conclusions of the paper argue for more stringent environmental policies. This should encourage countries to invest in renewable energy to take advantage of the positive impact of mobile money on the environment and the energy transition.
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Are ESG ratings informative to forecast idiosyncratic risk?
This paper develops a backtesting procedure that evaluates how well ESG ratings help in predicting a company's idiosyncratic risk. Technically, the inference is based on extending the conditional predictive ability test of Giacomini and White (2006) to a panel data setting. We apply our methodology to the forecasting of stock returns idiosyncratic volatility and compare two ESG rating systems from Sustainalytics and Asset4 across three investment universes (Europe, North America, and the Asia-Pacific region). The results show that the null hypothesis of no informational content in ESG ratings is strongly rejected for firms located in Europe, whereas results appear mixed in the other regions. In most configurations, we find a negative relationship between ESG ratings and idiosyncratic risk, with higher ratings predicting lower levels of idiosyncratic volatility. Furthermore, the predictive accuracy gains are generally higher when assessing the environmental dimension of the ratings. Importantly, applying the test only to firms over which there is a high degree of consensus between the ESG rating agencies leads to higher predictive accuracy gains for all three universes. Beyond providing insights into the accuracy of each of the ESG rating systems, this last result suggests that information gathered from several ESG rating providers should be cross-checked before ESG is integrated into investment processes.
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Are Additional Payments for Environmental Services Efficient? *
The implementation of Payments for Environmental Services (PES) may face a financing constraint, especially when the buyer is a public regulator. An additionality-based PES can address this problem. The objective of this paper is to study the efficiency of PES based on additionality. To do so, we consider a farmer who has to choose to allocate his land between organic production, conventional production causing environmental damage, or biodiversity-generating grass strips. Using a two-period model, we introduce a PES in the final period, remunerating the additional grass strips provided by the farmer. We show that the additional PES distorts the behavior in the initial period, in order to obtain more payment in the final period. The second-best PES to limit this behavior is equal to the discounted difference of the marginal environmental benefits obtained in each period. We also establish the second-best value of environmental taxes in the presence of the additionality-based PES. They are no longer equal to the marginal damage and are amended to take into account the distortions caused by the additionality-based PES. The analysis is then extended by taking into account market power in the organic market. It turns out that market power reduces the distortion due to the additionality-based PES in the initial period but reduces the organic production quantity in the final period. The second-best PES depends on the size of these two effects and environmental taxes under market power have to be amended. Finally, this paper shows that an additionality-based PES never achieves environmental efficiency, even in a competitive market framework. Furthermore, this paper provides new insights into understanding the interactions between different environmental policies in the presence of several types of distortions.
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Does youth resentment matter in understanding the surge of extremist violence in Burkina Faso?
The paper aims to highlight the impact of youth resentment on violent conflicts in Burkina Faso. This work takes advantage of one of the latest nationwide UNICEF-sponsored surveys conducted in Burkina Faso before some parts of the country became inaccessible because of attacks. Among other information, this survey collected data on youth resentment towards the ability of their household to fulfill their needs. This resentment is closely related to perceived relative deprivation. We merge this survey into an original dataset that gathers data from the Armed Conflict Location and Event Data Project (ACLED), mining data from the MINEX project, and distances data computed using Burkina Faso’s roads information. The results of an event count model show that youth resentment explains the occurrence of conflicts. Moreover, the presence of mining companies, the remoteness from infrastructures, ethnic diversity, and polarization also significantly affect violence against civilians.
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On the Macroeconomic Effects of Fiscal Reforms: Fiscal Rules and Public Expenditure Efficiency
We ask whether fiscal rules improve public expenditure efficiency. That is, after computing efficiency scores for a panel of 159 countries of all income levels over the period 1990-2017, we apply the entropy balancing method to assess the effect of fiscal rules on the scores obtained, thus mitigating selection bias. Evidence suggests that implementing a fiscal rule significantly increases expenditure efficiency, with economically significant effects. Robustness was checked using a range of economic and econometric tests. Moreover, we show that our findings are neither driven by a spurious trend, nor by confounding factors, nor are they confounded by the effects of other reforms such as inflation targeting, IMF programs or fiscal consolidation episodes. Finally, further analysis suggests that the effect of fiscal rules on public expenditure efficiency is subject to some heterogeneity, depending on the types of rules, their design, macroeconomic factors as well as time elapsed since the reform adoption.
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Indoor air pollution and health in Côte d'Ivoire : Does the age group matter?
DR LEO - 2023-17
When Trade Agreements Are Gender-Friendly: Impact on Women Empowerment using Firm Data
This paper studies the effect of gender-related provisions in Regional Trade Agreement on underexplored aspects of gender inequality at the plant level, namely the difference in the managerial and ownership status between the two genders. This topic is timely and critical as gender equality considerations are becoming more prominent in new trade agreements, recognizing to different extents that trade policies developed with a gender perspective can help overcome gender inequalities by creating new opportunities for women’s equal representation in export jobs and entrepreneurship. We use the World Bank Enterprise Surveys that encompasses data on 195,000 firms in 155 countries in 56 manufacturing and services sectors, and the dataset on gender-related provisions in trade agreements from the World Trade Organization. Our results show that the total number of gender-related provisions in trade agreements, as well their location in articles and in annexes are positively associated with a higher probability of the firm to be owned or managed by a female. This result is robust whether the firm is an exporter, importer, or involved in the global value chain of the sector of interest. When differentiating countries by income level, we find that the positive effect of gender-related provisions in trade agreements on women empowerment holds only for developed countries, pointing out the importance of making South-South agreements more gender friendly.
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Household energy choices under perceived shocks in Uganda: Are perceived shocks limiting the energy transition process among households in Uganda?
Household energy choices under perceived shocks in Uganda: Are perceived shocks limiting the energy transition process among households in Uganda? Chantale Riziki OWEGGI
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The European renewable energy sector in calm and turmoil periods: The key role of sovereign risk
Résumé non disponible.
Lien HALDoes "Going Green" Promote Global Value Chains Integration?
Many business entities still prioritize profits over environmental protection and perceive these two goals as inherently incompatible. Thus, this study examines the impact of environmentally oriented investments on the firms’ integration into global value chains (GVCs). Using firm-level data in 41 countries from the Business Environment and Enterprise Performance Survey (BEEPS), we show that firms could raise their opportunity to participate in GVCs by adopting environment protection actions through the mediation of productivity gains, yet the impact of adopting such actions on the intensity of GVC participation tends to be negligible. Likewise, larger firms are more likely to experience a raise of their chance to participate in international trade through environmental upgrading rather than their smaller counterparts. This finding is important since firms are increasingly being held accountable for their significant contribution in the environment degradation.
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Political cycles of forest rents in developing countries
In this article, we question the presence of electoral cycles in forest rents in developing countries. The presence of rents can be an additional motivation to stay in power; they can be used to finance elections without running a deficit or increasing taxes. Forests' point resource characteristics make them more subject to political cycles. Moreover, developing countries may experience these cycles because of the quality of their institutions. That is why our study covers eighty-three (83) developing countries from 1990 to 2018, using the method of ordinary least squares corrected for the possible Nickell's bias. The results show that we see cycles in forest rents only when the elections' competitiveness is considered. This presence of cycles is robust to using different robustness tests. Moreover, the cycles appear only in the event of representation of the candidate in power at the elections and in low-corrupted and high-human-freedom countries.
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Impact du système d'échange de quotas sur l'efficience des entreprises françaises
DR LEO 2023-14
Collusion and Predation Under Cournot Competition
This paper studies how predation strategies can affect the sustainability of collusion. We demonstrate that in the presence of few competitors collusion may be sustained at equilibrium for intermediate discount factors. In such instances predation implies that punishment strategies will yield low subgame perfect payoffs, thereby making collusion easier to sustain. For low discount factors collusion is not sustainable because of the high incentives to deviate to Cournot-Nash strategies. Moreover, for high discount factors it is always optimal to predate colluding firms, thus contrasting with much of the earlier literature showing that collusion is only achievable by sufficiently patient firms.
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Women's Political Empowerment, Institution and Tax Revenue Mobilization in Developing Countries
This paper complements the literature on the determinants of tax revenue mobilization by providing an important first step on the impact of women's political empowerment on tax revenue mobilization in developing countries. A sample of 66 countries for the period 1995 to 2019 were used to estimate the results using fixed effects techniques and the generalized method of moments (GMM). The results indicate that women's political empowerment has a positive effect on tax collection in developing countries. This effect is attributed to improved governance and institutional quality, as well as the provision of essential goods and services, which enhance tax compliance and expand the tax base. This finding is robust to several robustness tests, specifically changing the definitions of women's empowerment, disaggregating tax revenues, adding additional control variables, and exploring heterogeneity. Furthermore, the analysis of transmission mechanisms provides evidence that better governance and institutional quality on the one hand and increased public spending, especially on education, on the other, are channeled through which women's political empowerment positively affects tax revenues in developing countries. To meet the 2030 Agenda for Sustainable Development, the inclusion and empowerment of women, particularly in the political arena, is a transition to investing in fiscal capacity, promoting governance and thereby improving tax collection in developing countries.
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Reproducibility of Empirical Results: Evidence from 1,000 Tests in Finance
We analyze the computational reproducibility of more than 1,000 empirical answers to six research questions in finance provided by 168 international research teams. Running the original researchers’ code on the same raw data regenerates exactly the same results only 52% of the time. Reproducibility is higher for researchers with better coding skills and for those exerting more effort. It is lower for more technical research questions, more complex code, and for results lying in the tails of the results distribution. Neither researcher seniority, nor peer-review ratings appear to be related to the level of reproducibility. Moreover, researchers exhibit strong overconfidence when assessing the reproducibility of their own research. We provide guidelines for finance researchers and discuss several implementable reproducibility policies for academic journals.
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A Data-Driven and Principled Approach to Designing the Tokenomics of a New Blockchain-Based Game
Résumé non disponible.
Lien HALHousehold Expenditure in the Wake of Terrorism: evidence from high frequency in-home-scanner data
This paper adds to the scant literature on the impact of terrorism on consumer behavior, focusing on household spending on goods that are sensitive to brain-stress neurocircuitry. These include sweet-and fat-rich foods but also home necessities and female-personal-hygiene products, the only female-targeted good in our data. We examine unique continuous in-homescanner expenditure data for a representative sample of about 15,000 French households, observed in the days before and after the terrorist attack at the Bataclan concert-hall. We find that the attack increased expenditure on sugar-rich food by over 5% but not that on salty food or soda drinks. Spending on home maintenance products went up by almost 9%. We detect an increase of 23.5% in expenditure on women's personal hygiene products. We conclude that these effects are short-lived and driven by the responses of households with children, youths, and those residing within a few-hours ride of the place of the attack.
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Lenders’ asymmetric reaction to the ECB’s monetary policy: The case of the syndicated loan market
Résumé non disponible.
Lien HALInvestment and access to external finance in Europe: Does analyst coverage matter?
We aim to determine whether analyst coverage improves European firms’ access to capital markets and investment. Based on a data set that includes firms from several European countries between 2000 and 2015, we implement a treatment effect estimate and an instrumental variables (IV) approach, in which the intensity of industry-level waves in coverage is used as an instrument for firm-level coverage. We show that analyst coverage is favorable to firms’ debt and share issuance and their investment expenses. Our paper emphasizes the key role of financial analysts in improving European firms’ financial conditions.
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Do Conservative Central Bankers Weaken the Chances of Conservative Politicians?
In this paper, we challenge the claim that an independent conservative central bank strengthens the likelihood of a conservative government. In contrast, if an election is based on the comparative advantages of the candidates, an inflation-averse central banker can deter the chances of a conservative candidate because once inflation is removed, its comparative advantage in the fight against inflation disappears. We develop a theory based on a policy-mix game with electoral competition, predicting that the chances of a conservative (i.e., inflation-averse) party is reduced in the presence of tighter monetary policy. To test this prediction, we examine monthly data of British political history between 1960 and 2015. We show that a 1 percentage point increase in the interest rate in the 10 months prior to a national election decreases the popularity of a Tory government by approximately 0.75 percentage points relative to its trend.
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The Perils of Fiscal Rules
This paper develops a limit-cycle-based theory of debt fluctuations through a simple endogenous growth model. Public debt and deficit are introduced by relaxing the balanced-budget rule hypothesis, and assuming a simple fiscal rule. Our main result is that fiscal rules can be destabilizing, leading to (i) multiple equilibria-four balanced-growth paths can emerge-, (ii) endogenous public debt cycles, which appear both in the short and the long run, and (iii) hysteresis phenomena arising from extreme sensitivity of changes in parameters. We also reveal that a balanced-budget rule does not preclude large aggregate fluctuations. Finally, our calibration exercise highlights that our model produces asymmetric cycles consistent with observed stylized facts.
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Foreign direct investment and domestic private investment in Sub-Saharan African countries: crowding-in or out?
With a fall of 42% of Foreign Direct investment (FDI) flows worldwide in 2020, the Covid-19 crisis has raised important concerns about the impact of this source of financing on economic growth in Africa, in particular through its effect on national investment. While FDI is often seen as a welcome boost to economic growth and long run development, its net effect may depend critically on whether it stimulates domestic private investment or crowds it out and over what time horizon. This paper investigates the relationship between FDI and private investment in Sub-Saharan Africa (SSA), using a sample of 40 countries over 1980-2017. To disentangle short term from long-term dynamics, our empirical analysis is based on Pooled Mean Group (PMG), Mean Group (MG) and Dynamic Full Effects (DFE).
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Matching dynamics and optima in a multi-agents labor market setting, 2015.
One of the greatest difficulties meet on the labor market is that it ensures that all the people who want to work can find a job. But it is not the only one. A second difficulty consists to find a social arrangement which approaches as much as possible the social optimum without forgetting that the optimum can be reached with the rejection of certain candidacies. It seems impossible to solve a social optimum problem of the size of the french labor market because this one is furthermore constituted of 26 million job-seekers and that no computer is capable of managing the matching problem which, surprisingly is not of an excessive complexity-it is of order n 3-, but which quickly collides with the computational capacity of machines, however powerful they may be. It's the reason why it is essential to study restricted size markets, that is markets of less than 10000 job-seekers, to observe how practical solutions which can be organized as, for example, a geographical progressive balkanization either geographic or by skill level, leads to a departure from the Pareto optimum. In this context, this paper suggests to compare the level of efficiency of a decentralized actually practicable solution with the optimum which would be if only it was possible to collect all necessary information to implement and compute it.
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Estimating discrete choice experiments : theoretical fundamentals
This working paper overviews theoretical foundations and estimators derived from econometric models used to analyze stated choices proposed in Discrete Choice Experiment (DCE)surveys. Discrete Choice Modelling is adapted to the case where the variable to be explained is a qualitative variable which cannot be ranked in relation to each other. A situation which occurs in many cases in everyday life as people often have to choose only one alternative among a proposed set of different ones in many fields (early in the morning, just think about how you pick clothes for instance). DCE is a Stated Preference method in which preferences are elicited through repeated fictional choices, proposed to a sample of respondents. Compared to Revealed Preference methods, DCEs allow for an ex ante evaluation of public policies that do not yet exists.
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Oil-US Stock Market Nexus: Some insights about the New Coronavirus Crisis
We provide a new investigation of the relationship between oil and stock prices in the context of the outbreak of the new coronavirus crisis. Specifically, we assess to what extent the uncertainty induced by COVID-19 affects the interaction between oil and the United States (US) stock markets. To this end, we use a wavelet approach and daily data from February 18, 2020 to August 15, 2020. We identify the lead-lag relationship between oil and stock prices, and the intensity of this relationship at different frequency cycles and moments in time. Our unique findings show that co-movements between oil and stock prices manifest at 3-5-day cycle and are stronger in the first part of March and the second part of April 2020, when oil prices are leading stock prices. The partial wavelet coherence analysis, controlling for the effect of COVID-19 and US economic policy-induced uncertainty, reveals that the coronavirus crisis amplifies the shock propagation between oil and stock prices.
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Machine Learning or Econometrics for Credit Scoring: Let's Get the Best of Both Worlds
In the context of credit scoring, ensemble methods based on decision trees, such as the random forest method, provide better classification performance than standard logistic regression models. However, logistic regression remains the benchmark in the credit risk industry mainly because the lack of interpretability of ensemble methods is incompatible with the requirements of financial regulators. In this paper, we pro- pose to obtain the best of both worlds by introducing a high-performance and interpretable credit scoring method called penalised logistic tree regression (PLTR), which uses information from decision trees to improve the performance of logistic regression. Formally, rules extracted from various short-depth decision trees built with pairs of predictive variables are used as predictors in a penalised logistic regression model. PLTR allows us to capture non-linear effects that can arise in credit scoring data while preserving the intrinsic interpretability of the logistic regression model. Monte Carlo simulations and empirical applications using four real credit default datasets show that PLTR predicts credit risk significantly more accurately than logistic regression and compares competitively to the random forest method. JEL Classification: G10 C25, C53
Lien HAL
Foreign direct investment and domestic private investment in Sub-Saharan African countries: crowding-in or out?
With a fall of 42% of Foreign Direct investment (FDI) flows worldwide in 2020, the Covid-19 crisis has raised important concerns about the impact of this source of financing on economic growth in Africa, in particular through its effect on national investment. While FDI is often seen as a welcome boost to economic growth and long run development, its net effect may depend critically on whether it stimulates domestic private investment or crowds it out and over what time horizon. This paper investigates the relationship between FDI and private investment in Sub-Saharan Africa (SSA), using a sample of 40 countries over 1980-2017. To disentangle short term from long-term dynamics, our empirical analysis is based on Pooled Mean Group (PMG), Mean Group (MG) and Dynamic Full Effects (DFE). We find that FDI has little effect on private investment in the short run but significant crowding-in effects in the long-run: a one percentage point increase of the share of FDI in GDP leads to a 0.29% rise in private investment, in the long run. Our results also show that FDI interacts with public domestic investment to boost these positive effects. Finally, we show that the impact of FDI on domestic private investment is stronger in non-natural resource exporting diversified countries as opposed to non-diversified commodity exporters.
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Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
Résumé non disponible.
Lien HALNon-Renewable Resource Use Sustainability and Public Debt
The sustainability of resource use and the management of public nances are both long run issues that are linked to each other through savings decisions. In order to study them conjointly, this paper introduces a public debt stabilization constraint in an overlapping generation model in which non-renewable resources constitute a necessary input in the production function and belong to agents. It shows that stabilization of public debt at high level (as share of capital) may prevent the existence of a sustainable development path, i.e. a path on which per capita consumption is not decreasing. Public debt thus appears as a threat to sustainable development. It also shows that higher public debt-to-capital ratios (and public expenditures-to-capital ones) are associated with lower growth. Two transmission channels are identi ed. As usual, public debt crowds out capital accumulation. In addition, public debt tends to increase resource use which reduces the rate of growth. We also provide a numerical analysis of the dynamics that shows that the economy is characterized by saddle path stability. Finally, we show that the public debt-to-capital ratio may be calibrated to implement the social planner optimal allocation according to which the growth rate is increasing in the degree of patience.
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Intermittent Discounting
A novel theory of time discounting is proposed in which future consumption is less valuable than present consumption because of waiting costs. Waiting is intermittent as individuals' attention is periodically distracted away from future gratifications. The more individuals expect to pay attention to the reward, the more they are impatient. The model revisits the fundamental link between short and long-term impatience and solves two behavioral anomalies: impatience over short durations and sub-additive discounting.
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Reproducibility Certification in Economics Research
Reproducibility is key for building trust in research, yet it is not widespread in economics. We show how external certification can improve reproducibility in economics research. Such certification can be conducted by a trusted third party or agency, which formally tests whether a given result is indeed generated by the code and data used by a researcher. This additional validation step significantly enriches the peer-review process, without adding an extra burden on journals or unduly lengthening the publication process. We show that external certification can accommodate research based on confidential data. Lastly, we present an actual example of external certification.
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Is the role of precious metals as precious as they are? Revisiting the role of precious metals for the G-7 stock markets: A multivariate vine copula and BiVaR approaches.
This paper revisits the international evidence on hedge, safe haven and diversification properties of precious metals, namely; gold, silver and platinum for the G-7 stock markets whereas most of the studies have focused only on gold properties. Conversely to the studies in the literature that use only bivariate copula, we use the multivariate vine copula based GARCH model. We then find that precious metals have valuable hedge and safe haven roles with different degrees. Our findings show that gold is the strongest hedge and safe haven asset, in almost all the G-7 stock markets. For silver and platinum, results show that they may act as weak hedge assets. Also, silver bear the potential of a strong safe haven role only for Germany and Italy stock markets. However, platinum provides weak safe haven role for most developed stock markets. Using the Bivariate VaR risk measure, we suggest that precious metals may offer diversification benefits in the G-7 stock markets.
Lien HAL
Portfolio choice with time horizon risk
I study the allocation problem of investors who hold their portfolio until a target wealth is attained. The strategy suppresses final wealth uncertainty but creates an investment time horizon risk. I begin with a simple mean variance model transposed in the duration domain, then study a dynamic portfolio choice problem with Generalized Expected Discounted Utility preferences. Using long-term US return data, I show in the mean variance model that a large amount of time horizon risk can be diversified away by investing a significant share of equities. In the dynamic model, more impatient investors are also more averse to timing risk and invest less in equities. The equity share is downward trending with accumulated wealth relative to its target. J.E.L. codes: D8, E21
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Efficient Scoring of Multiple-Choice Tests
This paper studies the optimal scoring of multiple choice tests by using standard estimation theory where obtained scores are efficient estimators of examinees' ability. The marks for wrong selections and omissions jointly minimize the mean square difference between obtained score and ability. Examinees are loss averse, ie. disproportionately weight the penalty for wrong selection in their utility function, which entails a preference for omission. With a limited number of items, it is efficient to incentivize the lowest able to omit as their answers essentially reflect noise. The shorter the test, the stronger the incentives to omit. Loss aversion improves estimators efficiency by inducing more omission, which reduces the need to bias the marks to foster omission. The model also sheds new lights on the statistical properties of two widely used scoring methods: number right and formula scoring. J.E.L. codes: A200, C930, D800
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Bringing present bias back to the present
A focused definition of present bias is proposed which takes preferences as primitives. A present biased individual over-weights immediate costs and benefits relative to those occurring at any point in the future. The definition allows to sort out previous confounds, such as decreasing impatience, choice reversal or short-term impatience. It intuitively connects to usual utility representations of present bias like the quasi-hyperbolic model of Laibson (1997) or the fixed cost model of Benhabib, Bisin and Schotter (2010). J.E.L. codes: D8, E21
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Machine Learning et nouvelles sources de données pour le scoring de crédit
Dans cet article, nous proposons une réflexion sur l’apport des techniques d’apprentissage automatique (Machine Learning) et des nouvelles sources de données (New Data) pour la modélisation du risque de crédit. Le scoring de crédit fut historiquement l’un des premiers champs d’application des techniques de Machine Learning. Aujourd’hui, ces techniques permettent d’exploiter de « nouvelles » données rendues disponibles par la digitalisation de la relation clientèle et les réseaux sociaux. La conjonction de l’émergence de nouvelles méthodologies et de nouvelles données a ainsi modifié de façon structurelle l’industrie du crédit et favorisé l’émergence de nouveaux acteurs. Premièrement, nous analysons l’apport des algorithmes de Machine Learning à ensemble d’information constant. Nous montrons qu’il existe des gains de productivité liés à ces nouvelles approches mais que les gains de prévision du risque de crédit restent en revanche modestes. Deuxièmement, nous évaluons l’apport de cette « datadiversité », que ces nouvelles données soient exploitées ou non par des techniques de Machine Learning. Il s’avère que certaines de ces données permettent de révéler des signaux faibles qui améliorent sensiblement la qualité de l’évaluation de la solvabilité des emprunteurs. Au niveau microéconomique, ces nouvelles approches favorisent l’inclusion financière et l’accès au crédit des emprunteurs les plus fragiles. Cependant, le Machine Learning appliqué à ces données peut aussi conduire à des biais et à des phénomènes de discrimination.
Lien HAL
Competition and price stickiness: Evidence from the French retail gasoline market
Using daily price quotes from about 8,000 French gas stations, this paper empirically analyses whether the level of competition determines the degree of price stickiness on the retail gasoline market. The degree of price rigidity is measured by the frequency of price changes, while the distance to the nearest station and the number of gas stations within a given radius are considered as proxies for local competition. The results confirm that local competition is an important determinant of the price-setting behavior of gas stations. Indeed, considering Ordinary Least Squares (OLS) and spatial regression models, we find that the degree of price rigidity is positively related to the distance to the nearest station, and negatively related to the concentration of firms in a given geographical area. This result can be notably explained by the fact that gas stations facing a high competitive pressure are more likely to adjust their prices more quickly and more frequently in response to crude oil price decreases than stations enjoying market power.
Lien HAL
A Theoretical and Empirical Comparison of Systemic Risk Measures
We derive several popular systemic risk measures in a common framework and show that they can be expressed as transformations of market risk measures (e.g. beta). We also derive conditions under which the different measures lead to similar rankings of systemically important financial institutions (SIFIs). In an empirical analysis of US financial institutions, we show that (1) different systemic risk measures identify different SIFIs and that (2) firm rankings based on systemic risk estimates mirror rankings obtained by sorting firms on market risk or liabilities. One-factor linear models explain most of the variability of the systemic risk estimates, which indicates that systemic risk measures fall short in capturing the multiple facets of systemic risk.
Lien HAL
Increasing Returns, Balanced-Budget Rules, and Aggregate Fluctuations
In a seminal contribution, Guo and Harrison (2004, JET) showed that, under a balanced-budget rule, the neoclassical growth model exhibits saddle-path stability when the adjustment is based on wasteful public spending. The present paper challenges this result in an endogenous growth framework with non-trivial dynamics of the debt-to-GDP ratio. We show that the emergence of aggregate instability dramatically depends on the strength of social labor externalities. If the labor demand is positively sloped and steeper than the labor supply, two reachable balanced-growth paths appear-a no growth trap, and a positive growth solution-that gives birth to both local and global indeterminacy, hence aggregate instability driven by self-fulfilling beliefs (sunspots). In addition, we show that a fiscal rule such that the tax rate strongly responds to public-debt increases can remove the no-growth trap, and secure positive long-run growth. JEL classification: E62; O41
Lien HAL
Budget Rules, Distortionnary Taxes, and Aggregate Instability: A reappraisal
In a seminal contribution, Schmitt-Grohé and Uribe (JPE, 1997), showed that the balanced-budget rule (BBR) produces aggregate instability in an exogenous growth model with labor tax-based adjustment. The present paper challenges this result in an endogenous growth framework with a more general budget rule, involving deficit and debt in the long-run and making the BBR a special case. We show that the emergence of aggregate instability dramatically depends on the level of public spending. In particular, low public spending ensures determinacy. However, in the case of high public spending, multiplicity arises, with four potential equilibria: two high-growth BGPs, a low-growth trap, and a "catastrophic" equilibrium where the economy asymptotically collapses. In addition, when the ratio of public spending is sufficiently large, a subcritical Hopf bifurcation appears around the low-growth trap, giving rise to a homoclinic orbit going around the neighborhood of the catastrophic equilibrium. A calibration exercise confirms that these results are obtained for realistic values of parameters.
Lien HAL
Public debt versus Environmental debt: What are the relevant Tradeoffs?
The article explores the relationship between public debt and environmental debt. The latter is defined as the difference between the "virgin state" which is the maximum stock of environmental quality that can be kept intact with natural regenerations and the current quality of the environment. A theoretical model of endogenous growth is built. We show that there is a unique well-determined balanced-growth path. The public debt and the environmental debt are substitute in the short-run but complementary in the long-run. Indeed, budget deficit provides additional resources to finance pollution abatement spending, but generate also unproductive expenditures (the debt burden). This hypothesis is tested on a sample of 22 countries for the period 1990-2011. The environmental debt is measured by the cumulative CO2 emissions per capita. We use panel time-series estimators which allow for heterogeneity in the slope coefficients between countries. It appears mainly that, in the long term, an increase of 100% in public debt ratio leads to an increase of 74% in cumulative CO2 per capita. In addition, this positive long-run relationship is still present at the country and the sub-sample level, despite some differences in the short-term dynamics.
Lien HAL
Endogenous fluctuations and the balanced-budget rule: taxes versus spending-based adjustment
The present paper develops a simple theoretical setup to examine the role of the tax-spending mix of fiscal adjustments on aggregate (in)stability in indebted economies. To this end, we build an AK endogenous growth model with public debt dynamics. If the adjustment of the government's budget constraint is based on a single instrument (taxes or public spending), the economy converges towards a high-growth path. With mixed adjustment, however, another equilibrium appears (the no-growth path) that can be locally over-determine (unstable) or under-determined (stable). A hopf bifurcation can occurs at the border between the last two cases, which leads to cyclical dynamics. We also show that global indeterminacy is likely to emerge if fiscal adjustment is mainly based on public spending. A calibration of the model shows that area of indeterminacy covers reasonable values for parameters.
Lien HAL
Under Attack: Terrorism and International Trade in France, 2014-16
Terrorist events typically vary along many dimensions, making it difficult to identify their economic effects. This paper analyzes the impact of terrorism on international trade by examining a series of three large-scale terrorist incidents in France over the period from January 2015 to July 2016. Using firm-level data at monthly frequency, we document an immediate and lasting decline in cross-border trade after a mass terrorist attack. The reduction in trade mainly takes place along the intensive margin, with particularly strong effects for countries with low border barriers, for firms with less frequent trade activities and for homogeneous products.
Lien HAL
Prévoir la volatilité d’un actif financier à l’aide d’un modèle à mélange de fréquences
Résumé non disponible.
Lien HALThreshold Regressions for the Resource Curse
This paper analyzes the behavior of cross-country growth rates with respect to resource abundance and dependence. We reject the linear model that is commonly-used in growth regressions in favor of a multiple-regime alternative. Using a formal sample-splitting method, we find that countries exhibit different behaviors with respect to natural resources depending on their initial level of development. In high-income countries, natural resources play only a minor role in explaining the differences in national growth rates. On the contrary, in low-income countries abundance seems to be a blessing but dependence restricts growth.
Lien HAL
A Generic Method for Density Forecasts Recalibration
We address the calibration constraint of probability forecasting. We propose a generic method for recalibration, which allows us to enforce this constraint. It remains to be known the impact on forecast quality, measured by predictive distributions sharpness, or specific scores. We show that the impact on the Continuous Ranked Probability Score (CRPS) is weak under some hypotheses and that it is positive under more restrictive ones. We used this method on temperature ensemble forecasts and compared the quality of the recalibrated forecasts with that of the raw ensemble and of a more specific method, that is Ensemble Model Output Statistics (EMOS). Better results are shown with our recalibration rather than with EMOS in this case study.
Lien HAL
Dynamics of governmentality: accounting based competition in the French healthcare system
Résumé non disponible.
Lien HALThe role of political patronage on risk-taking behavior of banks in Middle East and North Africa region
In the view of the growing interest in the role of political patronage in banking, several issues are highlighted with regards to performance and behavior of politically connected banks that may differ from their non-connected peers. In this article, the effect of political patronage on bank risk taking is examined by considering the ratio of loan loss reserves as measure of credit risk for a sample of 32 banks in some Middle Eastern and North African MENA countries. In general, we find that the presence of political patronage impact significantly bank risk, both directly and indirectly, consistent with our hypothesis that politically backed banks tend to exploit the moral hazard which, will cause them behave less prudently.
Lien HAL
Quelle réforme pour la réversion en France ?
Après avoir examiné les raisons d’être de dispositifs de réversion (versement d’une fraction de la pension d’un conjoint décédé à son conjoint survivant), nous mettons en évidence les très grandes disparités, de philosophie et de modalités de calcul, des mécanismes de réversion dans les différents régimes de retraite français. Nous suggérons des pistes d’évolution qui vont d’ajustements paramétriques visant à unifier les modalités de calcul de la réversion entre les régimes, à des propositions de partage des droits au sein des couples s’articulant à des réformes plus systémiques de l’ensemble du système de retraite, en points ou en comptes notionnels.
Lien HAL
Loss functions for LGD model comparison
We propose a new approach for comparing Loss Given Default (LGD) models which is based on loss functions defined in terms of regulatory capital charge. Our comparison method improves the banks' ability to absorb their unexpected credit losses, by penalizing more heavily LGD forecast errors made on credits associated with high exposure and long maturity. We also introduce asymmetric loss functions that only penalize the LGD forecast errors that lead to underestimate the regulatory capital. We show theoretically that our approach ranks models differently compared to the traditional approach which only focuses on LGD forecast errors. We apply our methodology to six competing LGD models using a sample of almost 10,000 defaulted credit and leasing contracts provided by an international bank. Our empirical findings clearly show that models' rankings based on capital charge losses differ from those based on the LGD loss functions currently used by regulators, banks, and academics.
Lien HAL
Why Natural Disasters Might Not Lead to a Fall in Exports in Developing Countries?
This paper tries to identify the different channels through which natural disasters affect exports of agricultural products in developing countries. It begins by presenting a simple theory set-up that highlights the different mechanisms at work. It then takes some predictions of this theory to the test. Matching different sets of disaster variables (occurrence and intensity) from EM-DAT and GeoMet datasets with trade data at the 6 digit-HS level, our first estimate point to a negative but statistically non-robust relation between disasters and agricultural exports. Following our theory set-up, we attribute this result to mixing three confounding effects with different magnitudes and opposite signs on trade. Using other sources of data, we could then identify two of the effects: a negative and statistically significant effect of disasters on exports when they occur in rural areas and at growing seasons times; and a positive and (very) robust relation with exports towards culturally close partners and where an important diaspora is settled. This points to show that disasters are redistributing exports across partners. However, the ’solidarity’- consistent effect does not seem to last over time. All in all, notably due to the limited physical impact of most of the disasters over time and space and thanks to the pain relief provided by culturally close importers, natural disasters do not appear to make small developing countries suffer that much economically.
Lien HAL
The gold digger and the machine. Evidence on the distributive effect of the artisanal and industrial gold rushes in Burkina Faso
We use a quasi-natural experiment, the recent gold boom in Burkina Faso, to document the local wealth impact of private versus common property management. The net impact of privatizing the management of a natural resource on wealth is subject to theoretical debate. We measure household wealth through consumption and consider two modes of property management: artisanal and industrial mines. Artisanal mines are labor intensive and managed as a common property. Industrial mines are capital intensive and privatize the resource by enclosing their production area. We identify the impact of each mode of gold extraction by exploiting two sources of variation: changes in the gold price and the geological setting of Burkina Faso. We show that a 1% increase in the gold price increases consumption by 0.2% for households neighboring artisanal mines, while we do not find any effect for households neighboring industrial mines. Thus, while the privatization and industrialization of production increases efficiency, in accordance with much of the literature on the commons, the distributive consequences of each mode of property management are such that artisanal mines benefit more to the local communities.
Lien HAL
L'impact de la réforme des retraites de 1993 sur l'équivalent patrimonial des droits à la retraite en France
A l'aide des données de l'Echantillon Interrégimes des Retraités de 2008, nous quantifions les effets de la réforme des retraites de 1993 sur l'équivalent patrimonial des droits à retraite (EPDR) des retraités du régime général. Cet indicateur qui représente la pension probable cumulée à percevoir pendant la retraite permet d'estimer les effets liés au report de l'âge de liquidation et à la décote sur la pension induits par l'allongement de la durée d'assurance requise pour une retraite à taux plein. Nous montrons que cette mesure a globalement réduit l'EPDR des retraités, de manière plus importante pour les retraités ayant liquidé leurs droits après 2004 ou ayant reporté leur départ après 60 ans. Elle a également affecté la distribution de l'EPDR parmi les retraités.
Lien HAL
The regional pricing of risk: An empirical investigation of the MENA equity determinants
Using a sample of five-MENA emerging countries (Egypt, Tunisia, Morocco, Jordan, and Turkey) during the period 1996-2013, this study highlights the main factors that might influence regional integration of stock markets. We propose an advantageous econometric approach based on a conditional version of the International Capital Asset Pricing Model (ICAPM) to explore major sources of time-varying risks. We specifically apply the multivariate BEKK-GARCH process to simultaneously estimate the ICAPM for each country. The study puts in evidence that inflation, volatility of exchange rates, yield spread, current account deficit, dividend yield and economic growth are among the key determinants of regional integration in the MENA context whatever is the measure of exchange rate risk.
Lien HAL
Globalization and financial performances in French cosmetic industry
The paper analyses the impact of globalization on financial performances of the French cosmetic companies, based on a sample with 704 cosmetic business entities, for the period 2003-2015. The main finding shows that the openness has a positive linear impact on their financial performances, both for producers and distributors. Moreover, the producers are more sensitive to the regulation adjustments, while the investments and debt management are very important for distribution companies. Contrary to other sectors, the economic crisis does not generate notable disturbances on the cosmetic market, as this market exhibits a sort of rigidity in respect to the purchasing power.
Lien HAL
Pitfalls in Systemic-Risk Scoring
We identify several shortcomings in the systemic-risk scoring methodology currently used to identify and regulate Systemically Important Financial Institutions (SIFIs). Using newly-disclosed regulatory data for 119 US and international banks, we show that the current scoring methodology severely distorts the allocation of regulatory capital among banks. We then propose and implement a methodology that corrects for these short-comings and increases incentives for banks to reduce their risk contributions. Unlike the current scores, our adjusted scores are mainly driven by risk indicators directly under the control of the regulated bank and not by factors that are exogenous to the bank, such as exchange rates or other banks' actions.
Lien HAL
The long-run impact of monetary policy uncertainty and banking stability on inward FDI in EU countries
In the present paper, we assess the long-run relationship between FDI inflows and the financial environment in 16 EU countries. For this purpose, we use a cointegration technique for heterogeneous panels and the FMOLS and DOLS estimators, over the period 2001 to 2015. We show that financial conditions are important for FDI inflows. More precisely, the monetary uncertainty, calculated as the difference between the recorded and the forecasted interest rate values, negatively affects the FDI inflows. In addition, the banking stability, measured through different Z-score specifications, positively influences the foreign investment. However, this result is influenced by the way the Z-score is calculated. We further report a positive relationship between the business cycle and the FDI entrance. The robustness analyses based on alternative specifications of monetary uncertainty and banking stability confirm our findings. These results are also supported by a PMG estimation. Therefore, authorities must pay special attention to monetary policy predictability and to banking stability in order to facilitate the investors' access to finance and their investment decision.
Lien HAL
Optimism bias in financial analysts' earnings forecasts: Do commissions sharing agreements reduce conflicts of interest?
Implemented in May 2007, the French rules governing commission-sharing agreements (CSAs) consist of unbundling brokerage and investment research fees. The goal of this paper is to analyze the effect of these rules on analysts' forecasts. Based on a sample of one-year-ahead earnings per share forecasts for 58 French firms during the period from 1999 to 2011, we conduct panel data regressions. We show that the analysts' optimistic bias declined significantly after CSA rules, which suggests that these rules are effective at curbing the conflicts of interest between brokerage activities and financial research. Our results are robust tothe impact of the Global Settlement and the Market Abuse Directive.
Lien HAL
Does the introduction of non-contributory social benefits discourage registered labour? Testing the impact of pension moratoriums on unregistered employment in Argentina (2003-2015).
Résumé non disponible.
Lien HALLes écarts de pension entre les femmes et les hommes : un état des lieux en Europe
Malgré une participation accrue des femmes au marché du travail, et une réduction des écarts de salaires entre femmes et hommes, les pensions féminines restent sensiblement inférieures aux pensions masculines en Europe. Une sélection de huit pays européens permet de suivre plus précisément les situations respectives des femmes et des hommes en termes de taux d'emploi, de salaire et durée d'activité, de pension et niveau de vie à la retraite. En 2011, pour l'ensemble des pays de l'Union européenne, le montant moyen des pensions perçues par l'ensemble des femmes de 65 ans ou plus, pensionnées ou non, est inférieur de 47 % à celui perçu par leurs homologues masculins. Cet écart est plus ou moins important selon les pays, selon que les femmes et les hommes bénéficient ou non du même taux de couverture du risque vieillesse (public mais aussi privé). Ainsi, pour les bénéficiaires effectifs d'une pension de vieillesse, l'écart de pension se réduit à 39 % en moyenne. Dans la grande majorité des pays européens, les systèmes de retraite incluent des dispositifs correcteurs des écarts de ressources entre les femmes et les hommes aux âges élevés. Ces dispositifs, qui complètent les pensions de droit direct par des droits familiaux (liés au nombre d'enfants) ou par des droits conjugaux (pensions de réversion liées au statut marital), contribuent à réduire les écarts de pension entre les femmes et les hommes. Enfin, comparé à l'écart relatif entre les femmes et les hommes en matière de pension, celui du niveau de vie est moins marqué. En effet, le niveau de vie prend en compte la mutualisation des ressources au sein du couple, de sorte que les écarts de niveau de vie entre les femmes et les hommes retraités proviennent essentiellement des retraités vivant sans conjoint, en particulier des veuves. Au total, le niveau de vie moyen des femmes de 65 ans ou plus représente 87,6 % du niveau de vie moyen des hommes dans l'Union européenne et les différences entre pays sont moins marquées que pour les écarts de pension. * Secrétariat général du Conseil d'orientation des retraites. Respectivement, responsable de la veille et de la communication et responsable des études.
Lien HAL
Migration and Institutions: Exit and Voice (from Abroad)?
A rapidly growing body of research examines the relationship between migration and institutions. Three strands of studies can be distinguished. Some studies focused on the role of domestic and foreign institutions in the decision to migrate. Others were interested by the impact of migration on institutional reforms in migrants' countries of origin. While the effect of migration on destination countries is largely documented, recent studies focus on how migrants affect social and informal institutions in the destination countries. This survey puts together these three strands of literature with three purposes. First, we offer a short definition and synthetic typology of institutions, which provide a guide to understand several studies summarized and their results. Second, our analysis is presented following the analytic framework exit,voice and loyalty of Hirschman in order to highlight the brain grain phenomenon for developing countries, from an institutional point of view. Third, we review the limited existing work on the very timely topic, whether migrants are harmful or not to institutions in the host countries.
Lien HAL
Interactions in Complex Systems
This manuscript is composed of 18 contributions studying interactions in complex systems. These contributions were presented at the international conference on Interactions in Complex Systems, organized at University of Orléans in June 2013. This multidisciplinary manuscript aims at presenting how different disciplines may see their research topic from the complex system perspective and how interactions are accounted for in these complex systems. In this manuscript, we find contributions in mathematics, physics, computer sciences, robotics, life sciences, economics, linguistic, humanities or science of education The book is split into 4 parts, each one approaching interactions in complex systems from a particular perspective. We have gathered contributions by approach rather than by studied topic, the latter way being, to our viewpoint, less relevant to this type of book. The first part of the book contains papers dealing with interactions at the system level. The included contributions address territory planning, the traveling of population in the Neolithic era or interactions in neuron populations.The second part collects articles studying \textbf{networks} and proposing different methods for their analysis. This part contains contributions on link prediction, on interaction analysis in communities learning, on the influence of the type of strategies updates (parallel or sequential) on the evolution of cooperation among humans, opinion dynamics or the social function of gossip. Articles included in the third part focus on the analysis of interactions in social communications. As such, this part gathers papers studying teacher-student relations, the modeling of the teacher's evaluative speech to study students' interactions and the effects on learning or the modeling of human communications. Finally, the last part of this book is devoted to the analysis of interactions between economic agents in different fields. Thereby, a contribution develops a methodology to forecast employability of students in Earth Sciences; another article studies the importance of language and interactions between individuals as determinants of market equilibria; a mathematical model is derived to model money asset exchanges in the framework of a complex socioeconomic model in the third article and the last contribution of this part examines the study choice in an evolutionary game and show under which conditions the population of students splits into two classes of strategies in equilibrium.
Lien HAL
Liquidity Trap and Stability of Taylor Rules
We study a productive economy with fractional cash-in-advance constraint on consumption expenditures. Government issues safe bonds and levies taxes to finance public expenditures, while the Central Bank follows a feedback Taylor rules by pegging the nominal interest rate. We show that when the nominal interest rate is bound to be non-negative, under active policy rules a Liquidity Trap steady state does emerge besides the Leeper (1991) equilibrium. The stability of the two steady states depends, in turn, upon the amplitude of the liquidity constraint. When the share of consumption to be paid cash is set lower than one half, the Liquidity Trap equilibrium is indeterminate. The stability of the Leeper equilibrium too depends dramatically upon the amplitude of the liquidity constraint: for low amplitudes of the latter, the Leeper equilibrium, can be indeed stable. Policy and Taylor rules are thus theoretically rehabilitated since their targets, by contrast with a vast literature, may be reached for infinitely many agents’ beliefs. We also show that a relaxation of the liquidity constraint is Pareto-improving and that the Liquidity Trap equilibrium Pareto-dominates the Leeper one, in view of the zero cost of money.
Lien HAL
Equilibrium Dynamics in a Two-Sector OLG Model with Liquidity Constraint
We study a two-sector OLG economy in which a share of old age consumption expenditures must be paid out of money balances and we appraise its dynamic features. We first show that competitive equilibrium is dynamically efficient if and only if the share of capital on total income is large enough while a steady state capital per capita above its Golden Rule level is not consistent with a binding liquidity constraint. We thus focus on the gross substitutability in consumption and on dynamic efficiency assumptions and show that, gathered together, they ensure the local determinacy of equilibrium and, as a consequence, rule out sunspot fluctuations. In addition, we prove that the unique steady state may change its stability from a saddle configuration to a source one (undergoing a flip bifurcation) for a capital intensive investment good as well as for a capital intensive consumption good, when the elasticity of the interest rate is set low enough. However, when the investment good is not too capital intensive, the flip bifurcation turns out to be compatible with high elasticities of the interest rate too. Analogous results within dynamic efficiency are found in the non-monetary model, the existence of a flip bifurcation requiring now a capital intensive investment good. Eventually, under dynamic inefficiency, in the non-monetary economy local indeterminacy may instead appear, either through a Hopf bifurcation or through a flip one, and its scope improves as soon as the consumption good becomes more and more capital intensive.
Lien HAL
Decreasing Transaction Costs and Endogenous Fluctuations in a Monetary Model
We study an infinite horizon economy with a representative agent whose utility function includes consumption, real balances and leisure. Real balances enter the utility function pre-multiplied by a parameter reflecting the inverse of the degree of financial market imperfection, i.e. the inverse of the transaction costs justifying a positively valued fiat money. Indeterminacy arises both through a transcritical and a flip bifurcation: somewhat paradoxically, the amplitude of the indeterminacy region improves as soon as the degree of market imperfection is set lower and lower. Such results are robust with respect to the choice for the elasticity of the labor supply, both when the latter is set close to zero and to infinite. We also provide conditions for the existence, uniqueness and multiplicity of the steady states and, finally, we asses the impact of the degree of market imperfection on the occurrence of such phenomena.
Lien HAL
Quelle réforme pour la réversion en France ?
Après avoir examiné les raisons d'être de dispositifs de réversion (versement d'une fraction de la pension d'un conjoint décédé à son conjoint survivant), nous mettons en évidence les très grandes disparités, de philosophie et de modalités de calcul, des mécanismes de réversion dans les différents régimes de retraite français. Nous plaidons pour une réforme systémique, passant d'une technique de réversion à un partage de droits entre les conjoints, non nécessairement mariés, qui s'articulerait à un passage de calcul des droits à pension directs sous la forme de comptes notionnels.
Lien HAL
L’équivalent patrimonial des droits à la retraite en France : une approche par caisse de retraite sur données de l’EIR 2012
En nous appuyant sur l'enquête Echantillons Inter-régimes des retraités (EIR) de 2012, nous calculons l'équivalent patrimonial des droits à la retraite (EPDR) au niveau macroéconomique, en présentant le détail par régime et par caisse. Nous raisonnons pour ce faire sur les pensions de droit direct déjà consommées ou à verser dans un système fermé, autrement dit qui ne tient pas compte des futurs retraités. Il apparaît que si l'EPDR global est peu sensible au taux d'actualisation, tel n'est pas le cas lorsqu'on se concentre sur l'EPDR à verser. Or, de ce point de vue, certaines caisses se caractérisent par un EPDR à verser proportionnellement important. Par ailleurs, les mesures de dispersion font apparaître de plus grandes inégalités dans le secteur privé, particulièrement dans le cadre des régimes complémentaires.
Lien HAL
Document de Recherche du Laboratoire d'Économie d'Orléans "Immigration and economic growth in the OECD countries 1986- 2006
This paper offers a reappraisal of the impact of migration on economic growth for 22 OECD countries between 1986--2006 and relies on a unique data set we compiled that allows us to distinguish net migration of the native- and foreign-born populations by skill level. Specifically, after introducing migration in an augmented Solow-Swan model, we estimate a dynamic panel model using a system of generalized method of moments (SYS-GMM) to address the risk of endogeneity bias in the migration variables. Two important findings emerge from our analysis. First, there exists a positive impact of migrants' human capital on GDP per capita, and second, a permanent increase in migration flows has a positive effect on productivity growth. However, the growth impact of immigration is small even in countries that have highly selective migration policies.
Lien HAL
Immigration and Economic Growth in the OECD Countries 1986-2006
This paper offers a reappraisal of the impact of migration on economic growth for 22 OECD countries between 1986-2006 and relies on a unique data set we compiled that allows us to distinguish net migration of the native - and foreign - born populations by skill level. Specifically, after introducing migration in an augmented Solow-Swan model, we estimate a dynamic panel model using a system of generalized method of moments (SYS-GMM) to address the risk of endogeneity bias in the migration variables. Two important findings emerge from our analysis. First, there exists a positive impact of migrants' human capital on GDP per capita, and second, a permanent increase in migration flows has a positive effect on GDP per worker. Moreover, the growth impact of immigration is high even in countries that have non-selective migration policies.
Lien HAL
Deficit Rules and Monetization in a Growth Model with Multiplicity and Indeterminacy
In response to the Great Recession, Central Banks around the world adopted " unconven-tional " 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 endoge-nous 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.
Lien HAL
« Can a Platform Make Profit with Consumers' Mobility? A Two-Sided Monopoly Model with Random Endogenous Side-Switching »
We model a specific two-sided monopoly market in which agents can switch from a side to the other. We define two periods of time. In the first period, agents buy the platform services on each side and in the second period of time, they can possibly enhance their satisfaction by going to the other face of the platform. We analyze the link between mobility, consumer’s utility, prices and profit. We show that mobility is a valuable feature which can be compared with an increase of product quality. Finally, the firm is able to capture the mobility in its monopoly’s profit. The relative size of each group then appears as a strategical variable for the firm.
Lien HAL
The Circular Relationship between Inequality, Leverage, and Financial Crises
In this paper, we put into perspective the recent literature which points to inequality as a possible cause of credit bubbles, by reintegrating it into a more general analysis on the two-way relationship between inequality and finance. We focus more specifically on situations where high inequalities and widespread access to credit coexist, and argue that, even when institutions maintain more or less equal access to finance, there may be a dynamic, positive circular relationship between inequality and financial development. However, if we find robust evidence in the literature of a positive causal impact of inequality on credit, the conclusions concerning the distributional impact of financial development, financial deregulation, and financial crises become less clear. A survey of the empirical literature highlights several issues that must be tackled. First, endogeneity: reverse causality and coincidental factors are major concerns. Second, the choice of consistent measurements for the key variables (both credit and inequality) has strong empirical implications, and must be grounded on relevant theoretical channels. Third, those circular dynamics have substantial policy implications for emerging countries, since an increasing number face a joint increase in inequality and credit.
Lien HAL
Why are Reforms incomplete? Reputation versus the " need for enemies
Why do Politicians not solve social problems? One reason may be that such problems are very difficult to solve. Another one may be that Politicians have not the ability to solve difficult problems, i.e. they are “incompetent”. But there is another reason: Politicians sometimes lack the incentive to solve problems because of inefficiencies generated by electoral process in representative democracies. It is the case when Politicians have the incentive “to keep their enemies alive”, precisely because they are competent in solving the problem: once the problem removed, competent Politicians lose their electoral advantage. In this paper, we show that reputational strengths can, to some extent, circumvent Politicians’ incentives not to address the problems. If the reputation of an incumbent Politician depends on the amount of reforms he implements, and positively affects his probability of being reelected, the trade-off between reputation and the “need for enemies” leads to an incomplete set of reforms, which can handle only a part of the problems. This mechanism might contribute to the explanation of the high degree of persistence of some social or economic diseases such as, specifically, public indebtedness.
Lien HAL
Financial Openess Aggregate Consumption and Threshold Effects
We analyze the influence of financial openness on the level of aggregate consumption. We construct a complete and balanced panel dataset of 88 countries for the period 1980-2010, and then differentiate between four groups of countries. Models for non stationary heterogeneous panels, as well as panel threshold regression models, are used to estimate the determinants of aggregate consumption. The core finding of the paper is that the financial openness effect on consumption changes in the course of economic development, with the level or per capita income acting as a threshold which is consistently estimated within the model. The openness effect is non homogeneous across groups, stronger for low levels of per capita income, and diminishes as income rises, providing novel insights about the welfare effect of financial liberalization.
Lien HAL
La réforme des retraites de 1993 en France : quel impact sur l’équivalent patrimonial des droits à la retraite ?
Depuis 1993, la France a enregistré plusieurs réformes de son système de retraites, visant avant tout à en assurer la soutenabilité. Cette contribution a pour objectif d’évaluer l’impact de la réforme de 1993 sur l’équivalent patrimonial des droits individuels à la retraite (EPDR), c'est-à-dire la somme actuarielle probable des pensions à recevoir, de la date de liquidation des droits jusqu’au décès. Plus précisément, nous mesurons l’impact de cette réforme sur l’EPDR des mono-pensionnés du régime général, à l’aide des données de l’Echantillon Interrégimes de Retraités 2008. Parmi les mesures phares de la réforme de 1993 figure l’augmentation progressive de la durée de cotisation nécessaire pour obtenir une retraite à taux plein au régime général. Cette augmentation est susceptible d’engendrer deux effets opposés : un effet de report de l’âge de liquidation pour conserver un EPDR adéquat pour ses vieux jours (voire l’augmenter) ou un effet de décote, si l’assuré-e ne souhaite, ou ne peut, pas prolonger son activité et subit donc une décote sur sa pension, et partant sur son EPDR. Pour tester les effets nets de la réforme de 1993 sur l’EPDR, nous procédons à des estimations économétriques en différences premières et en doubles différences, ainsi qu’à des estimations par quantiles pour mesurer les impacts le long de la distribution de l’EPDR. Nos estimations montrent des résultats différents selon que les individus partent avant ou après 2004, date d’entrée en vigueur de la réforme. Ainsi, toutes choses égales par ailleurs, un départ en retraite avant 2004 plutôt que postérieurement, augmente l’EPDR des retraités concernés. Toutefois, l’interaction avec les autres variables nuance cette conclusion. D’une part, reporter son départ en retraite réduit l’EPDR moyen d’environ 20% : le report permet d’accumuler des droits supplémentaires, mais sur une période réduite. D’autre part, l’effet de la décote est négatif, mais son intensité est réduite quand les retraités reportent leur départ. En outre, comme les générations 1934-1943 ont subi conjointement les réformes de 1993 et 2003, nos estimations en double différence permettent d’isoler l’effet « pur » de la réforme de 1993 : lorsque les affiliés ont subi une décote, sans avoir reporté leur départ en retraite pour l’atténuer, la liquidation des droits aux conditions de 2003 par rapport aux conditions de 1993 est la plus défavorable. Enfin, les estimations par quantiles montrent que ces effets s’intensifient dans la première moitié de la distribution, et s’atténuent au-delà.
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Archival data of financial analysts' earnings forecasts in the Euro zone: problems with euro conversions
In multi-country studies, researchers frequently extract data in a single currency rather than in native currencies. This approach can be misleading for financial analysts’ forecasts in the euro zone when researchers are using the IBES database. We suspect that forecasts of earnings before the birth of the euro on January 1, 1999 are kept in national currencies, although they are supposed to be displayed in euros, which can severely distort results concerning earnings forecast accuracy. We propose a simple procedure for checking for the existence of this error, as well as a quick solution to overcome it.
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Euro PP : comment situer le Placement Privé parmi les modes de financement des PME-ETI ?
Ouvert fin 2012 en France, le marché de l’Euro PP promeut le Placement Privé comme une solution complémentaire au financement bancaire pour les Petites et Moyennes Entreprises et Entreprises de Tailles Intermédiaires (PME-ETI). Il consiste en un partenariat entre une banque organisatrice et différent partenaires –principalement des assureurs. Cet article montre que, si sa mise en oeuvre constitue effectivement un chaînon manquant entre le crédit bancaire et le financement de marché, son succès futur n’est pas garanti et dépend des financements alternatifs : cote boursière dédiée aux PME, « business angels » et titrisation de crédit PME. De plus, les différentes politiques de soutien au crédit aux PME initiées par le gouvernement français ou l’Union Européenne, ainsi que la relative faiblesse actuelle de la demande de financement de la part des PME-ETI nous amènent à relativiser les perspectives d’essor rapide de ce marché.
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CoMargin
We present CoMargin, a new methodology to estimate collateral requirements in derivatives central counterparties (CCPs). CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants. Our approach internalizes trading externalities and enhances the stability of CCPs, thus, reducing systemic risk concerns. We assess our methodology using proprietary data from the Canadian Derivatives Clearing Corporation that include daily observations of the actual trading positions of all of its members from 2003 to 2011. We show that CoMargin outperforms existing margining systems by stabilizing the probability and minimizing the shortfall of simultaneous margin-exceeding losses.
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Where the Risks Lie: A Survey on Systemic Risk
We review the extensive literature on systemic risk and connect it to the current regulatory debate. While we take stock of the achievements of this rapidly growing field, we identify a gap between two main approaches. The first one studies different sources of systemic risk in isolation, uses confidential data, and inspires targeted but complex regulatory tools. The second approach uses market data to produce global measures which are not directly connected to any particular theory, but could support a more efficient regulation. Bridging this gap will require encompassing theoretical models and improved data disclosure.
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DEVALUATION INTERNE, POLITIQUES STRUCTURELLES ET REDUCTIONS DES DEFICITS PUBLICS : LES REPONSES APPORTEES PAR LA « TROIKA » SONT-ELLES UN REMEDE AUX DESEQUILIBRES EXTERNES DES PAYS PERIPHERIQUES DE LA ZONE EURO ?
L’objectif de cette note était de faire un bilan des travaux récents des effets des politiques économiques préconisées par la Troïka dans la résorption de la crise de la dette européenne. Pour l’instant, la seule réponse apportée par la Troïka est la politique d’austérité et de dévaluation interne à court terme et la mise en place de politiques structurelles de libéralisation des marchés à long terme. Nous montrons que la mise en place de ces plans d’ajustement structurel dans les pays périphériques de la zone euro provient d’une interprétation erronée des origines de la crise de la dette souveraine. Ces plans ont toutefois conduit à un processus d’ajustement dans les pays périphériques. La dévaluation interne a bien permis une baisse de leur coût unitaire salarial et donc une amélioration de leur compétitivité prix. Cependant, nous montrons que cette baisse résulte essentiellement de facteurs cycliques. Nous suggérons, par conséquent, que l'ajustement des déséquilibres intra-européens ne peut se réaliser que si les politiques économiques sont profondément remaniées aussi bien dans le Nord que dans la périphérie de la zone.
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WHY ARE REFORMS INCOMPLETE? REPUTATION VERSUS THE " NEED FOR ENEMIES
Why do Politicians not solve social problems? One reason may be that such problems are difficult to solve, or that Politicians are incompetent. But there is another reason: in representative democracies, competent Politicians sometimes lack the incentive to solve problems to keep their enemies alive, in order to conserve an electoral advantage. This paper shows that reputational strengths can, to some extent, circumvent Politicians incentives not to address the problems. If the reputation of an incumbent Politician depends on the amount of reforms he implements, and positively affects his probability of being reelected, the trade-off between reputation and the need for enemies leads to an incomplete set of reforms, which can handle only a part of the problems. This mechanism might contribute to the explanation of the high degree of persistence of some social or economic diseases such as, specifically, public indebtedness.
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Is Government Debt a Vamp? Public Finance in a Transylvanian Growth Model
The vampire metaphor has been used in numerous papers describing biological interactions between two populations. Such a metaphor translates well to a standard endogenous growth model with public debt. Public debt can be assimilated to a Vamp, whose blood-sucking behavior corresponds to the harmful effect of the debt burden on productive public expenditures. However, the complete destruction of public debt in the long-run is shown to be socially undesirable, because this would imply too much distortionary taxation, with damaging effects on the balanced growth path. By identifying ecological or biological processes with usual national account relationships, this analysis is one step further in the integration of macroeconomics and environmental economics.
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Deficit Rules and Monetization in a Growth Model with Multiplicity and Indeterminacy
In response to the Great Recession, Central Banks around the world adopted " unconven-tional " 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 endoge-nous 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.
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Thou shalt not work alone
This paper focuses on the properties of the matching process which leads to scientific collaboration. In a first step, it proposes a simple theoretical model to describe the intertemporal choice of researchers facing successive opportunities of co-authoring papers. In a second part, the paper empirically assesses the properties of the model. The main empirical result is that the number and the productivity of a researcher's co-authors reflect the productivity of this researcher. This result is consistent with the assumption that co-authorship is motivated by a willingness to increase both the quality and the quantity of research output. As researchers with a lot of influent publications papers may create links with a large number of influential co-authors, co-authoring with highly productive academics appears as a signaling device of researchers' quality.
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Retirees' Pension Wealth in France: An Assessment on Sample Administrative Data
This contribution proposes a measure of retirees' pension wealth in the French public Pay-As-You-Go schemes (first and second pillar schemes) and of its distribution among the population of retirees in 2012 using the Echantillon Inter régimes de Retraités (EIR) panel data. We show that aggregate pension wealth amounts to around €5 800 billion assuming a 2 percent discount rate which represents 25 years of benefits and 2.8 years of 2012 GDP. There are significant differences in the amount of individual's pension wealth between the pension schemes of the private and public sectors, and between men and women. Moreover, there is more inequality in the distribution of pension wealth among private sector retirees than public sector ones. Codes JEL : G23, H31, J32. We thank the Direction de la recherche, des études, de l'évaluation et des statistiques of the French Government for providing us with the EIR 2012. This research has benefited for the financial support of the Observatoire de l'Epargne Européenne.
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Deforestation and Seigniorage in Developing Countries: A Tradeoff?
Most of countries covered by natural forests are developing countries, with limited ability to levy taxes and restrained access to international credit markets; consequently, they are amenable to draw heavily on two sources of government financing, namely seigniorage and deforestation revenues. First, we develop a theoretical model emphasizing a substitution effect between seigniorage and deforestation revenues. Second, a panel-data econometric analysis over the 1990-2010 period confirms our findings. Consequently, a tighter monetary policy hastens deforestation. Third, we extend the theoretical model and show that international transfers dedicated to forest protection can upturn the positive link between tighter monetary policies and deforestation, and then discuss the relevance of this finding with respect to recent institutional arrangements.
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Immigration and economic growth in the OECD countries 1986-2006
This paper offers a reappraisal of the impact of migration on economic growth for 22 OECD countries between 1986-2006 and relies on a unique data set we compiled that allows us to distinguish net migration of the native-born and foreign-born by skill level. Specifically, after introducing migration in an augmented Solow-Swan model, we estimate a dynamic panel model using a system of generalized method of moments (SYS-GMM) to deal with the risk of an endogeneity bias of the migration variables. Two important findings emerge from our analysis. First, there exists a positive impact of migrants' human capital on economic growth. And second, the contribution of immigrants to human capital accumulation tends to dominate the mechanical dilution effect while the net effect is fairly small. This conclusion holds even in countries with highly selective migration policies.
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Where the Risks Lie: A Survey on Systemic Risk
We review the extensive literature on systemic risk and connect it to the current regulatory debate. While we take stock of the achievements of this rapidly growing field, we identify a gap between two main approaches. The first one studies different sources of systemic risk in isolation, uses confidential data, and inspires targeted but complex regulatory tools. The second approach uses market data to produce global measures which are not directly connected to any particular theory, but could support a more efficient regulation. Bridging this gap will require encompassing theoretical models and improved data disclosure.
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Risk Measure Inference
We propose a bootstrap-based test of the null hypothesis of equality of two firms' conditional Risk Measures (RMs) at a single point in time. The test can be applied to a wide class of conditional risk measures issued from parametric or semi-parametric models. Our iterative testing procedure produces a grouped ranking of the RMs which has direct application for systemic risk analysis. A Monte Carlo simulation demonstrates that our test has good size and power properties. We propose an application to a sample of U.S. financial institutions using CoVaR, MES, and SRISK, and conclude that only SRISK can be estimated with enough precision to allow for meaningful ranking.
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A bootstrap panel Granger causality analysis of government revenues and expenditures in the PIIGS countries
The paper investigates the government revenues-expenditures nexus in the case of Portugal, Ireland, Italy, Greece and Spain (PIIGS). The analysis covers the period 1988-2014 and follows the bootstrap panel Granger causality proposed by Kónya (2006). The findings show that there is a one-way causality in case of Greece and Italy, from government revenues to spending. The same unidirectional causality is also registered for Portugal, but it runs from public expenditure to revenues. There is no Granger causality for Ireland and Spain.
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Government revenues and expenditures in the EU ex-communist countries: a bootstrap panel Granger causality approach
The aim of this paper is to investigate the causality between government revenues and government spending in the case of 10 EU ex-communist countries, for the period 1995-2012, by following the bootstrap panel Granger causality approach proposed by Kónya (2006). The main results show that unidirectional causality from public expenditure to revenues is registered only in the case of Bulgaria, while for Czech Republic, Hungary and Slovenia the government revenues Granger cause expenditures. A two-way causality is observed only for Slovak Republic. No Granger causality is found for the rest of the sample (i.e. Estonia, Latvia, Lithuania, Poland and Romania).
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Tax Revenues and Intelligence: A Cross-Sectional Evidence
The paper investigates and tests the hypothesis that the intelligent and educated people are honest taxpayer citizens. In order to validate this hypothesis, the empirical part follows a cross-sectional approach, with OLS and robust estimations, across 55 countries. Considering the IQ as main proxy for human intelligence, the obtained results do not allow us to validate this hypothesis.
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State fragility and fiscal decentralization in EU ex-communist countries in a public choice approach
While in J. Buchanan clubs theory, the decentralized governments should supply only public goods suited to their spatial dimension, for G. Tullock the decentralization should prevail over spatial dimension of the public goods to broaden individuals" control on government. For A. Peacock too, devolution responds to the demand of participation against the irrelevance of the individuals in centralization, but an extended "dispersive revolution" might increase rather than decrease the "government failures". Under Coase theory of the firm, applied to the government as firm, contracting out is limited by the cost of the deterioration of the power control. We here, therefore, investigates the impact of the quantitative dimension of fiscal decentralization on the political robustness of the considered states in term of fragility, for 10 European Union (EU) ex-communist countries, over the period 1995-2012, by a panel-model approach. The main results show that between state fragility and fiscal decentralization there is a relationship with inverted-U and U shapes, analogous to the BARS (Barro, Armey, Rahn, and Scully) curve relating the government size to GDP growth. Fragility is low under reduced revenues inequality and inflation rate, and rises when the urbanization and democratization decrease, under given level of political rights. The relation between the fragility curve and the BARS curve may need further research. The relation between the fragility curve and the BARS curve may need further research.
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Fiscal Shocks in a Two-Sector Open Economy with Endogenous Markups
We use a two-sector neoclassical open economy model with traded and non-traded goods and endogenous markups to investigate the effects of temporary fiscal shocks. One central finding is that theory can be reconciled with evidence once we allow for endogenous markups and assume that the traded sector is more capital intensive than the non-traded sector. More precisely, while both ingredients are essential to produce the real exchange rate depreciation, only the second ingredient is necessary to account for the simultaneous decline in investment and the current account, in line with the evidence.
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Les structures économiques des pays du Maghreb : convergence ou divergence vis-à-vis de l'Europe ?
Dans ce papier, nous étudions le niveau de rapprochement des économies du Maghreb vers les économies de l’Europe de l’Ouest. Nous faisons également une comparaison avec le niveau de convergence des Pays d’Europe Centrale et Orientale PECO-5 vers les pays de la zone euro. Pour ce faire, nous utilisons une modélisation VAR Structurelle pour l’identification des chocs d’offre et des chocs de demande. Nous faisons également appel à l’Analyse en composante Principale ACP dans l’étude de la dynamique de convergence. Nos résultats montrent un niveau différencié de rapprochement des économies des pays du Maghreb vers l’Europe : la Tunisie et le Maroc dans une moindre mesure, sont sur le sentier de la convergence et à un niveau qui se rapproche de celui des PECO-5 ; l’Algérie et la Libye restent très éloignés de la convergence en dépit de leur capacités. Ce résultat confirme le rôle important joué par le commerce bilatéral et plus particulièrement celui des produits manufacturés. La convergence de la Tunisie et du Maroc est également le fruit d’une dé spécialisation de production des secteurs agroalimentaire et textile vers des secteurs moyennement et hautement technologiques.
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L'équivalent patrimonial des droits à la retraite en France : Méthodologie et mesure à partir de l'Echantillon Inter-Régime de Retraités
L'équivalent patrimonial des droits à retraite (directs ou dérivés) permet d'évaluer la soutenabilité et la générosité des régimes de retraite. A l'aide des données de l'Echantillon Inter-régimes des Retraités de 2008, nous proposons une mesure de cet indicateur pour les assurés à la retraite du système de retraite français. L'objectif de cet article est de discuter des choix méthodologiques retenus à chaque étape de calcul de l'équivalent patrimonial et de souligner les contraintes et les limites spécifiques à un tel exercice. Les résultats obtenus révèlent que les différences entre les régimes de retraite peuvent générer des engagements d'une ampleur variable envers les assurés à la retraite. L'analyse de la concentration montre que la distribution de l'équivalent patrimonial des droits directs est plus inégale entre les assurés aux régimes complémentaires qu'entre les assurés des régimes de base ou intégrés (régime général, SRE-civile par exemple). Les inégalités au sein des régimes et entre les générations dans la distribution de l'équivalent patrimonial tendent globalement à diminuer au fil des générations étudiées.
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Financial Openness, Aggregate Consumtion and Threshold Effects
We analyse the influence of financial openness on the level aggregate consumption. We construct a complete and balanced panel dataset of 88 countries for the period 1980-2010, and then differentiate between four groups of countries. Models for non stationary heterogeneous panels, as well as panel threshold regression models, are used to estimate the determinants of aggregate consumption. The core finding of the paper is that the financial openness effect on consumption changes in the course of economic development, with the level or per capita income acting as a threshold which is consistently estimated within the model. The openness effect is non homogeneous across groups, stronger for low levels of per capita income, and diminishes as income rises, providing novel insights about the welfare effect of financial liberalization.
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Determinants of Co-Authorship in Economics: The French Case
This paper aims at estimating the determinants of co-authorship in economics. More specifically, we test the existence of a potential relationship between the research efficiency of an individual and that of his co-authors using a novem database of French academics. The main empirical result is that the number and the quality of a researcher's co-authors reflect the productivity of this researcher.
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Optimal Growth and Debt Dynamics under GDP-Based Collaterals
This paper analyzes the consequences of external debt collaterals on the optimal growth path of a country. To this end we develop a small open economy model of endogenous growth where public spending can be financed by borrowing on imperfect international financial markets, where the country's borrowing capacity is limited. In contrast to the existing literature, which assumes that debt is constrained by the stock of capital, we investigate the consequences and policy implications of GDP-based collaterals. First, we show that the economy may converge in a finite time to the regime with binding collateral constraint. Second, in such regime the steady state public expenditures-to-GDP ratio is greater than that of the existing literature's models. Finally, if the economy is not sufficiently developed, in financial and economic terms, the country will stay in autarky forever.
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Imperfect Mobility of Labor Across Sectors A Reappraisal of the Balassa-Samuelson Effect
This paper investigates the relative price and relative wage effects of a higher productivity in the traded sector compared with the non traded sector in a two-sector open economy model with imperfect substitutability in hours worked across sectors. The Balassa- Samuelson [1964] model predicts that a rise in the sectoral productivity ratio by 1% raises the relative price of non tradables by 1% while leaving the non traded wage-traded wage ratio unchanged. Applying cointegration methods to a panel of fourteen OECD countries over the period 1970-2007, our estimates show that the relative price rises by only 0.78% and the relative wage falls by 0.27%. While our first set of empirical findings cast doubt on the quantitative predictions of the Balassa-Samuelson model, our second set of evidence highlights the role of imperfect labor mobility: the relative price responds more to a productivity differential between tradables and non tradables while the reaction of the relative wage is more muted in countries with higher intersectoral reallocation of labor. We show that the ability of the two-sector model to account for our evidence quantitatively relies upon two ingredients: i) imperfect mobility of labor across sectors, and ii) physical capital accumulation. Finally, our numerical results reveal that the model predicts the relative price response fairly well, and to a lesser extent the relative wage response.
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CO-AUTHORSHIP AND INDIVIDUAL RESEARCH PRODUCTIVITY IN ECONOMICS: ASSESSING THE ASSORTATIVE MATCHING HYPOTHESIS
This paper aims at estimating the determinants of co-authorship in economics. More specifically, we test the existence of a potential relationship between the research efficiency of an individual and that of his co-authors (the so called assortative matching hypothesis) using a novel database of French academic scholars. However, individual research productivity should be an endogenous regressor as the quality of an academic's publication will depend somehow on the quality of his co-authors. We have applied the Two Stage Residual Inclusion (2SRI) approach in order to take into account this endogeneity bias. The main empirical result is that the number and the quality of a researcher's co-authors reflect the productivity of that researcher.There is also a significant gender effect: being a woman has no impact on the probability of never collaborating with other economists but it decreases both the quality and the quantity of co-authors. Finally, lifetime cycles are also an important determinant of the co-authorship trend as the social imprinting hypothesis would suggest. So institutional changes occurred in French academia in mid-eighties have had a large impact on individual research productivity.
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LES STRUCTURES ECONOMIQUES DES PAYS DU MAGHREB : CONVERGENCE OU DIVERGENCE VIS-A-VIS DE L’EUROPE ?
Dans ce papier, nous étudions le niveau de rapprochement des économies du Maghreb vers les économies de l’Europe de l’Ouest. Nous faisons également une comparaison avec le niveau de convergence des Pays d’Europe Centrale et Orientale PECO-5 vers les pays de la zone euro. Pour ce faire, nous utilisons une modélisation VAR Structurelle pour l’identification des chocs d’offre et des chocs de demande. Nous faisons également appel à l’Analyse en composante Principale ACP dans l’étude de la dynamique de convergence. Nos résultats montrent un niveau différencié de rapprochement des économies des pays du Maghreb vers l’Europe : la Tunisie et le Maroc dans une moindre mesure, sont sur le sentier de la convergence et à un niveau qui se rapproche de celui des PECO-5 ; l’Algérie et la Libye restent très éloignés de la convergence en dépit de leur capacités. Ce résultat confirme le rôle important joué par le commerce bilatéral et plus particulièrement celui des produits manufacturés. La convergence de la Tunisie et du Maroc est également le fruit d’une dé-spécialisation de production des secteurs agroalimentaire et textile vers des secteurs moyennement et hautement technologiques.
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DEVALUATION INTERNE, POLITIQUES STRUCTURELLES ET REDUCTIONS DES DEFICITS PUBLICS : LES REPONSES APPORTEES PAR LA « TROIKA » SONT-ELLES UN REMEDE AUX DESEQUILIBRES EXTERNES DES PAYS PERIPHERIQUES DE LA ZONE EURO ? ASSESSING THE EFFECTS OF THE STRUCTURAL ADJUSTMENT PROGRAM ADVOCATED BY THE TROIKA ON THE PERIPHERAL EURO AREA COUNTRIES: A REVIEW
L'objectif de cette note était de faire un bilan des travaux récents des effets des politiques économiques préconisées par la Troïka dans la résorption de la crise de la dette européenne. Pour l'instant, la seule réponse apportée par la Troïka est la politique d'austérité et de dévaluation interne à court terme et la mise en place de politiques structurelles de libéralisation des marchés à long terme. Nous montrons que la mise en place de ces plans d'ajustement structurel dans les pays périphériques de la zone euro provient d'une interprétation erronée
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Does FDI Crowd out Domestic Investment in Transition Countries?
The aim of this paper is to empirically test the hypothesis of FDI led capital accumulation in Central and Eastern European countries. More precisely, we investigate the relationship between FDI and local investment, using a sample of 10 CEEC over the period 1990-2010. We find FDI to crowd out domestic investment, while the effect decreases with time. Our results also indicate that greenfield FDI may develop long run complementarities with domestic investment, while mergers and acquisitions do not prove any significant effect on domestic investment. Finally, financial development seems to foster a certain crowding-in effect in the case of mergers&acquisitions.
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Le système monétaire international face aux critères du développement durable
Les Accords de Bretton Woods en 1944 ont mis en place un système monétaire international qui n’en était pas un puisqu’il était un système monétaire sans monnaie. C’est le dollar qui peu à peu a rempli cette fonction. Soixante-dix ans après, quelques réformes ont été adoptées mais rien de fondamental n’a été changé à cet égard. Quelques autres monnaies sont utilisées entre les pays, mais le dollar reste la principale monnaie internationale. Avec le bilan des OMD, l’actualité accorde une large place aux objectifs du développement durable. Le système monétaire international n’a guère d’impact à cet égard, mais il peut être intéressant d’analyser les mécanismes qui sous-tendent ce système du dollar à la lumière des critères du développement durable. Après un rapide retour sur le système de Bretton Woods, nous verrons que la création du dollar comme monnaie internationale se fait chaque jour en méconnaissance de l’intérêt des parties prenantes, puis que l’accumulation des avoirs et des engagements en dollars dans le monde se fait au fil des années en méconnaissance de l’intérêt des générations futures.
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Migration Outflows and Optimal Migration Policy: Rules versus Discretion
We study the effects of more open borders on return migration and show that migrants are more likely to return to the origin country when migration rules are softer, because this implies that they could more easily re-migrate if return migration is unsuccessful. As a result, softening migration rules leads to lower net in ows than generally acknowledged. We show that if government follows rules to shape the optimal migration policy, it will chose more open borders than in the case its behavior is discretionary. However, this requires an appropriate commitment technology. We show that electoral accountability may be a solution of the commitment problem. As a matter of fact, observed softer immigration rules in western countries suggest the effectiveness of such a mechanism.
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Migration Outflows and Optimal Migration Policy: Rules versus Discretion
We study the effects of more open borders on return migration and show that migrants are more likely to return to the origin country when migration rules are softer, because this implies that they could more easily re-migrate if return migration is unsuccessful. As a result, softening migration rules leads to lower net inflows than generally acknowledged. We show that if government follows rules to shape the optimal migration policy, it will chose more open borders than in the case its behavior is discretionary. However, this requires an appropriate commitment technology. We show that electoral accountability may be a solution of the commitment problem. As a matter of fact, observed softer immigration rules in western countries suggest the effectiveness of such a mechanism.
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The Quantity Theory of Money Revisited: The Improved Short-Term Predictive Power of of Household Money Holdings with Regard to prices. LEO Working Paper
This article analyses the predictive power of household money holdings with regard to prices or current aggregates (consumption and disposable incomes) over the short term (i.e. over one quarter), as compared with that of other explanatory variables, namely unemployment and total monetary aggregates. Regardless of the approach used, in the short term, household holdings exhibit a comparative advantage over unemployment and total monetary aggregates. The gain in terms of RMSE compared to a simple autoregressive equation is often at least 10%. This is consistent with the quantity theory of money, which holds that there should be a fairly direct link between money and consumption with a limited lag. In the longer run (12 quarters), unemployment exhibits better forecasting properties than household money holdings, which is consistent with the findings of Stock & Watson (1999).
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Fondements et enseignements de la crise de la zone euro
Les conséquences de la crise financière de 2008 ont révélé les fragilités de la zone euro qui demeure en crise. Cet article a pour objectif de montrer, dans un premier temps, qu'au-delà des explications conjoncturelles, cette crise est consubstantielle à la création de cette zone et donc de nature structurelle. A l'aide du concept de zone monétaire optimale, de l'analyse du policy mix européen, et de la notion de convergence économique, il cherche à démontrer comment la zone euro fonctionne comme une machine à créer entre ses membres de l'hétérogénéité économique qui nourrit et amplifie les déséquilibres extérieurs et budgétaires de certains d'entre eux, et comment les élargissements successifs de cet espace monétaire intégré ont contribué à aggraver ces phénomènes et la difficulté de leur gestion. Dans un second temps, l'article recense un certain nombre d'enseignements à tirer de cette crise de la zone euro en s'interrogeant notamment sur les ajustements techniques, institutionnels et poli-tiques qui seraient de nature, sinon à résoudre, du moins à en atténuer l'acuité.
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Can a Platform Make Profit with Consumer' Mobility? A Two-Sided Monopoly Model with Random Endogenous Side-Swiching
We model a specific two-sided monopoly market in which agents can switch from a side to the other. We define two periods of time. In the first period, agents buy the platform services on each side and in the second period of time, they can possibly enhance their satisfaction by going to the other face of the platform. We analyze the link between mobility, consumer’s utility, prices and profit. We show that mobility is a valuable feature which can be compared with an increase of product quality. Finally, the firm is able to capture the mobility in its monopoly’s profit. The relative size of each group then appears as a strategical variable for the firm.
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Do Prizes in Economics Affect Productivity? A Mix of Motivation and Disappointment
Economists’ productivity may evolve after an important award such as the John Bates Clark Medal or the “Nobel Prize”. Yet, when establishing this stylized fact through a diff-in-diff methodology by comparing the treatment group performance of award winners with the one of the control group made of other contenders, one should take into account the fact that these may also alter their productivity due to disappointment. To challenge this hypothesis, using the John Bates Clark Medal as the event likely to impact economists’ productivity, two different methods are used. The first one uses a standard diff-in-diff approach, with a treatment group made of American economists of high enough standard, using as a criterion the belonging to the American Econometrics Association, and a control group made of non-American economists of comparable standard, not fulfilling the criteria (being American, or at least established in the US) to be in a position to hope for this reward. This first approach gives mixed results. The second approach sets an innovative method to build a new treatment and control group. This latest method may be called iterative diff-in-diff: it consists in selecting, into the initial sample for the treatment group, the members of the sample who fit most the expected result, in the case of the present article, the decrease of their productivity. When comparing this sub-sample with the rest of the initial treatment sample, one tries to find a criterion, in line with the initial question raised (in the present case, the fact of attributing a high value to honors, proxied by the position of the honors section in their CV), which differentiates the two sub-samples. With this second method of iterative diff-in-diff, we find that economist who pay most attention to awards increase their productivity before the 40 year threshold of the John Bates Clark Medals and use this increased investment to keep a high productivity for a few years after the age of 40, before registering a sizeable decrease.
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Document de Recherche du Laboratoire d'Économie d'Orléans "HISTORIOGRAPHIE DE L’ENDETTEMENT DES PAYS EN DEVELOPPEMENT : SPECIFICITE DES PAYS DE L’UEMOA
Au milieu des années 80, les difficultés de trésorerie face aux besoins de financements grandissants ont astreint les Etats de l’UEMOA à recourir massivement aux sources de financements extérieurs, entraînant ainsi une augmentation du rapport de la dette publique au PIB. Cet article présente les différents aspects de l’évolution de l’endettement extérieur des pays en développement dans leur globalité, en mettant l’accent sur le cas spécifique des pays de l’UEMOA. Il détaille l’évolution et la composition de la dette de ces pays, ainsi que les causes de l’endettement massif au sein de ladite Union.
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Recent Estimates of Exchange Rate Pass-Through to Import Prices in the Euro Area
Dans ce papier, nous étudions le niveau de rapprochement des économies du Maghreb vers les économies de l’Europe de l’Ouest. Nous faisons également une comparaison avec le niveau de convergence des Pays d’Europe Centrale et Orientale PECO-5 vers les pays de la zone euro. Pour ce faire, nous utilisons une modélisation VAR Structurelle pour l’identification des chocs d’offre et des chocs de demande. Nous faisons également appel à l’Analyse en composante Principale ACP dans l’étude de la dynamique de convergence. Nos résultats montrent un niveau différencié de rapprochement des économies des pays du Maghreb vers l’Europe : la Tunisie et le Maroc dans une moindre mesure, sont sur le sentier de la convergence et à un niveau qui se rapproche de celui des PECO-5 ; l’Algérie et la Libye restent très éloignés de la convergence en dépit de leur capacités. Ce résultat confirme le rôle important joué par le commerce bilatéral et plus particulièrement celui des produits manufacturés. La convergence de la Tunisie et du Maroc est également le fruit d’une dé-spécialisation de production des secteurs agroalimentaire et textile vers des secteurs moyennement et hautement technologiques.
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Technical Change Biased Toward the Traded Sector and Labor Market Frictions
This paper investigates the relative wage and the relative price effects of higher productivity growth in tradables relative to non tradables in a two-sector open economy model with search unemployment. Applying cointegration methods to a panel of eighteen OECD countries over the period 1970-2007, our estimates reveal that a 1 percentage point increase in the productivity differential between tradables and non tradables lowers the non traded wage relative to the traded wage (relative wage) by 0.22% and appreciates the relative price of non tradables by 0.64%. While the decline in the relative wage reveals the presence of mobility costs preventing from the wage equalization across sectors, the relative wage responses to a productivity differential display a large dispersion across countries, thus suggesting that labor market frictions vary substantially across OECD economies. Using a set of indicators capturing the heterogeneity of labor market frictions across economies, we find that the relative wage significantly declines more in countries where labor market regulation is more pronounced. These empirical findings can be rationalized in a two-sector open economy model with search in the labor market and an endogenous labor force participation. In line with our estimates, our quantitative analysis reveals that the relative wage falls more in countries where unemployment benefits are more generous, firing cost is high, the worker bargaining power is large, and/or the labor force is less responsive at the extensive margin. When calibrating the model to each OECD economy, our numerical results reveal that the model predicts the relative wage response fairly well, and to a lesser extent the relative price response.
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Do We Need Ultra-High Frequency Data to Forecast Variances?
In this paper we study various MIDAS models in which the future daily variance is directly related to past observations of intraday predictors. Our goal is to determine if there exists an optimal sampling frequency in terms of volatility prediction. Via Monte Carlo simulations we show that in a world without microstructure noise, the best model is the one using the highest available frequency for the predictors. However, in the presence of microstructure noise, the use of ultra high-frequency predictors may be problematic, leading to poor volatility forecasts. In the application, we consider two highly liquid assets (i.e., Microsoft and S&P 500). We show that, when using raw intraday squared log-returns for the explanatory variable, there is a "high-frequency wall" or frequency limit above which MIDAS-RV forecasts deteriorate. We also show that an improvement can be obtained when using intraday squared log-returns sampled at a higher frequency, provided they are pre-filtered to account for the presence of jumps, intraday periodicity and/or microstructure noise. Finally, we compare the MIDAS model to other competing variance models including GARCH, GAS, HAR-RV and HAR-RV-J models. We find that the MIDAS model provides equivalent or even better variance forecasts than these models, when it is applied on filtered data.
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Effects of urbanization on economic growth and human capital formation in Africa
The objective of this paper is to investigate the impacts of urbanization on human capital andeconomic growth in Africa. It seeks to contribute to the urbanization-growth debate byinvestigating how urbanization is linked to human capital accumulation and economic growth.More precisely, compared to previous studies on the urbanization-growth nexus, we (i) focusexclusively on African countries; (ii) consider both direct and indirect channels through whichurbanization may influence economic activity and (iii) examine a long period including theevolutions observed in the recent years.
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Does Urbanization Help Poverty Reduction in Rural Areas? Evidence from Vietnam
Urbanization and poverty have a two-way relationship. Using fixed-effects regression andpanel data from household surveys, we estimate the effect of urbanization on welfare andpoverty of rural households in Vietnam. We find that urbanization tends to increaselandlessness of rural households and to reduce their farm income. However, urbanizationhelps rural households increase their wages and non-farm incomes. As a result, totalincome and consumption expenditure of rural households tend to be increased withurbanization. Then we find that urbanization also helps rural households decrease theexpenditure poverty rate, albeit at a small magnitude.
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Large sample properties of the matrix exponential spatial specification with an application to FDI
This paper studies large sample properties of the matrix exponential spatial specification (MESS). We find that the quasi-maximum likelihood estimator (QMLE) for the MESS is consistent under heteroskedasticity, a property not shared by the QMLE of the SAR model. For the general model that has MESS in both the dependent variable and disturbances, labeled MESS(1,1), the QMLE can be consistent under unknown heteroskedasticity when the spatial weights matrices in the two MESS processes are commutative. We also consider the generalized method of moments estimator (GMME). In the homoskedastic case, we derive a best GMME that is as efficient as the maximum likelihood estimator under normality and can be asymptotically more efficient than the QMLE under non-normality. In the heteroskedastic case, an optimal GMME can be more efficient than the QMLE asymptotically. The QML approach for the MESS model has the computational advantage over that of a SAR model. The computational simplicity carries over to MESS models with any finite order of spatial matrices. No parameter range needs to be imposed in order for the model to be stable. Results of Monte Carlo experiments for finite sample properties of the estimators are reported. Finally, the MESS(1,1) is applied to Belgium's outward FDI data and we observe that the dominant motivation of Belgium's outward FDI lies in finding cheaper factor inputs.
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Implied Risk Exposures
We show how to reverse-engineer banks' risk disclosures, such as Value-at-Risk, to obtain an implied measure of their exposures to equity, interest rate, foreign exchange, and commodity risks. Factor Implied Risk Exposures (FIRE) are obtained by breaking down a change in risk disclosure into a market volatility component and a bank-specific risk exposure component. In a study of large US and international banks, we show that (1) changes in risk exposures are negatively correlated with market volatility and (2) changes in risk exposures are positively correlated across banks, which is consistent with banks exhibiting commonality in trading.
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The Counterparty Risk Exposure of ETF Investors
As most Exchange-Traded Funds (ETFs) engage in securities lending or are based on total return swaps, they expose their investors to counterparty risk. In this paper, we estimate empirically such risk exposures for a sample of physical and swap-based funds. We find that counterparty risk exposure is higher for swap-based ETFs, but that investors are compensated for bearing this risk. Using a difference-in-differences specification, we uncover that ETF flows respond significantly to changes in counter-party risk. Finally, we show that switching to an optimal collateral portfolio leads to substantial reduction in counterparty risk exposure.
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Recommendation Value on an Emerging Market: the Impact of Analyst' Recommendations on Stock Prices and Trading Volumes in Tunisia
Financial analysts issue "buy", "sell" or "hold" recommendation about stocks. Recommendations have value if investors trade upon them, which should affect prices and trading volumes. We use the methodology of event study to analyze price and volume reaction to the recommendation release. With a database of 6646 recommendations about 55 companies on the Tunisian Stock Exchange (BVMT) from 2005 to 2009, we show that prices and volumes react significantly to recommendations level. However, we only provide a weak evidence of reaction to changes in recommendations. We explain this result by a special feature of this market place: the systematic release of monthly recommendations, in contrast to developed markets where new recommendations are issued only if new information is available. This can focus investors on the confirmation of the recommendation, rather than on their revisions. We also find a special feature of emerging stock markets, which is that volumes are abnormally low for most of the event period following a "sell" or "hold" recommendation, whereas in that case they are abnormally high in more liquid markets.
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De la finance éthique à l'éthique dans la finance
En matière de finance, la référence à l'éthique devient plus populaire que jamais. Cela tient naturellement aux crises financières qui se suivent en s'amplifiant. La finance est en effet de moins en moins éthique, mais certaines pratiques financières le sont restées davantage. C'est le cas de la finance qui se veut éthique et de la finance islamique. C'est aussi, mais à un moindre degré, de la finance solidaire et de la microfinance. Ce papier est aussi l'occasion de montrer ce que ces différentes variétés de pratiques financières ont de particulier et de les comparer.
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A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies
Constant proportion portfolio insurance" (CPPI) is nowadays one of the most popular techniques for portfolio insurance strategies. It simply consists of reallocating the risky part of a portfolio with respect to market conditions, via a leverage parameter - called the multiple - guaranteeing a predetermined floor. We propose to introduce a conditional time-varying multiple as an alternative to the standard unconditional CPPI method, directly linked to actual risk management problematics. This "ex ante" approach for the conditional multiple aims to diversify the risk model associated, for example, with the expected shortfall (ES) or extreme risk measure estimations. First, we recall the portfolio insurance principles, and main properties of the CPPI strategy, including the time-invariant portfolio protection (TIPP) strategy, as introduced by Estep and Kritzman (1988). We emphasize the existence of an upper bound on the multiple, for example to hedge against sudden drops in the market. Then, we provide the main properties of the conditional multiples for well-known financial models including the discrete-time portfolio rebalancing case and Lévy processes to describe the risky asset dynamics. For this purpose, we precisely define and evaluate different gap risks, in both conditional and unconditional frameworks. As a by-product, the introduction of discrete or random time portfolio rebalancing allows us to determine and/or estimate the density of durations between rebalancements. Finally, from a more practical and statistical point of view due to trading restrictions, we present the class of Dynamic AutoRegressive Expectile (DARE) models for estimating the conditional multiple. This latter approach provides useful complementary information about the risk and performance associated with probabilistic approaches to the conditional multiple.
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Dépendance individuelle forte et faible : une analyse en données de panel de la diffusion internationale de la technologie
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 first show that when the number of lags of the autoregressive component of augmented Dickey Fuller test-type specifications or the number of common factors is estimated in a model selection framework, the variables (total factor productivity and R&D capital stocks) appear to be stationary. Then, we estimate the model using to complementary approaches, focusing on spatial autoregressive errors and unobserved common correlated factors. These approaches account for different types of cross-sectional dependence and are related to the concepts of weak and strong cross-sectional dependence recently developed in the literature.
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A Regional Analysis of Markets Uncertainty Spillovers
This study aims to describe the transmission of uncertainty between the stock markets of four aggregate regions: North America, Europe non Euro-zone, Asia and the euro area. We use a non-linear VAR model with innovations following a Multivariate GARCH with variance regime change. The interest of the model with regime change is to correct the estimation bias caused by the overestimation of the shocks persistence. We apply the non-linear VAR model with regime change in daily MSCI data aggregated from four regions over the period from June 2005 to October 2013. This period included the crisis episodes in 2007 and 2011. Our results indicate the importance of taking into account changes in variance in measuring the persistence of volatility shocks. They also show the high exposure of European and Asian markets to the uncertainties of North American markets. The transmission in time of crisis is higher compared to the quiet period. This result confirms the contagious nature of the crises of 2007 and 2011 and supports the thesis of the contingency theory to crisis.
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Quantifying and Explaining Implicit Public Guarantees for European Banks
This study provides estimations of public implicit guarantees over the period 1997 to 2012 using a rating-based model. The investigation focuses on a sample of 45 large, listed European banks. It appears that the main element for determining the value of the public subsidy is the intrinsic strength of the bank. In addition, we provide evidence on the importance of guarantor strength on the value of the implicit guarantee: a higher sovereign rating of a bank‟s home country leads to larger implicit subsidies for bank' debt. Our findings also suggest that the recently observed decrease in the value of implicit subsidies goes beyond the decline in European sovereigns' strength. Rather, it is consistent with the implementation of resolution regimes and practices moving from a "bail-out" resolution policy to "bail-in" recapitalizations. Bank insolvencies would be handled in a more explicit context. Therefore, expectations on implicit public support are reduced.
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Les exportations des produits manufacturés et convergence du niveau de vie : cas d'un pays exportateur de pétrole
Dans ce papier, nous explorons la relation entre les exportations des produits manufacturés et la croissance du niveau de vie. Nous nous intéressons particulièrement à l'Algérie du fait de son appartenance au groupe de pays mono-exportateurs. Il s'agit de voir dans quelle mesure les exportations hors hydrocarbures peuvent améliorer le niveau de vie en Algérie. Nos résultats montrent la présence d'un effet de seuil. Les effets positifs de l'exportation des produits manufacturés se font sentir à partir d'un seuil de 40% de la part des exportations totale. L'impact sur le niveau de vie en Algérie est négatif.
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Inflation Targeters Do Not Care (Enough) about Financial Stability: A Myth?
The 2008/2009 financial crisis raised issues related to the monetary policy doctrine of the last two decades. Inflation targeting has been criticized as its main objective of inflation stabilisation might have diverted central banks from other concerns such as financial stability. As a first attempt in the literature on emerging countries, this study aims at investigating (i) whether inflation targeting is associated to higher financial instability, and (ii) whether inflation targeting central banks are less responsive to financial imbalances relative to non-targeters. To this end, we build a composite index in order to get a more complete and comprehensive view of the financial conditions in emerging countries. The paper concludes that, in spite of a stronger central banks' response to financial imbalances, inflation targeters are facing more financial instability than others. These findings suggest that, even if inflation targeting might be associated to higher financial fragility, this can hardly be attributed to the central banks 'carelessness' about developments in the financial sector. For emerging market economies, especially those implementing inflation targeting, this highlights the need for a broader and more integrated framework such as macro-prudential policies to tackle the issue of financial stability.
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La méthode en histoire et l'histoire comme méthode
Nous abordons ici les deux types de problèmes auxquels sont confrontés les chercheurs qui s'intéressent à l'épaisseur temporelle des problèmes de management : d'une part l'étude de l'histoire d'un problème managérial peut être considérée comme une méthode pour l'approcher1, mais d'autre part ce recours suppose que les chercheurs en gestion qui s'aventurent sur ce terrain maîtrisent au moins les rudiments des méthodes de travail des historiens.
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Can Aristotle Help Us Specify the Very Nature of Management Problem?
The question we address here is: "What is the very nature of managerial problems?". We first argue that real management problems, as opposed to technical problems, are those which do not have "a priori" solutions and for which the arguments for and against any important decision are more or less of equal weight. We then define managerial problems as recurrent dilemmas. Drawing on Aristotle's distinction between theoretical and practical sciences, we then try to analyze the consequences of the previous definition on an epistemological and a pedagogical point of view.
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Les structures économiques des pays du Maghreb : convergence ou divergence vis-à-vis de l'Europe ?
Dans ce papier, nous étudions le niveau de rapprochement des économies du Maghreb vers les économies de l'Europe de l'Ouest. Nous faisons également une comparaison avec le niveau de convergence des Pays d'Europe Centrale et Orientale PECO-5 vers les pays de la zone euro. Pour ce faire, nous utilisons une modélisation VAR Structurelle pour l'identification des chocs d'offre et des chocs de demande. Nous faisons également appel à l'Analyse en composante Principale ACP dans l'étude de la dynamique de convergence. Nos résultats montrent un niveau différencié de rapprochement des économies des pays du Maghreb vers l'Europe : la Tunisie et le Maroc dans une moindre mesure, sont sur le sentier de la convergence et à un niveau qui se rapproche de celui des PECO-5 ; l'Algérie et la Libye restent très éloignés de la convergence en dépit de leur capacités. Ce résultat confirme le rôle important joué par le commerce bilatéral et plus particulièrement celui des produits manufacturés. La convergence de la Tunisie et du Maroc est également le fruit d'une déspécialisation de production des secteurs agroalimentaire et textile vers des secteurs moyennement et hautement technologique
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Transmission de la volatilité et Central-Banking
Dans ce papier, nous nous intéressons à l'impact du Central-Banking sur la stabilité financière. Nous nous sommes préoccupés plus particulièrement de l'impact des communications des banques centrales et de l'impact des décisions es de politique monétaire sur les prix et sur la stabilité des places boursières de New York, de la City, de Paris et de Frankfurt. L'instabilité financière est approximée par la volatilité des rendements d'indices MSCI sur la période de Mai 2002 à Juin 2012. Cette volatilité est modélisée par un processus de type GARCH multivarié avec la présence de ruptures structurelles en variance. Nos résultats confirment le rang global de la place de New York. L'analyse de la transmission en période de crise révèle le caractère contagieux de la crise des subprimes de 2007. Concernant l'impact du Central- Banking sur la stabilité financière, il semble que la communication des banques centrales déstabilise les marchés, aussi bien en période calme qu'en période de crise. Pour ce qui est de l'impact des décisions de politique monétaire, il est clair que les décisions de politique accommodante ne sont de nature à rassurer la sphère financière. En période de crise, le Central-Banking exerce une pression supplémentaire sur les marchés puisque les réponses des marchés aux décisions de politique monétaire se sont intensifiées durant la crise des subprimes. Enfin, il apparaît que la FED reste la Mecque des marchés.
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Growth Effect of FDI in Developing Economies: the Role of Institutional Quality
This paper investigates the effect of FDI on economic growth conditional on the institutional quality of host countries. We consider institutional heterogeneity to be an explanation for the mixed results of previous empirical studies and we develop several arguments to show that institutional quality modulates the intensity of FDI impact on growth. Using a comprehensive data set for institutional quality, we test this hypothesis on a sample of 94 developing countries over the period 1984-2009. The use of Panel Smooth Transition Regression (PSTR) allows us to identify both the heterogeneity and the threshold of institutional quality that influence the FDI growth effect. These results have significant implications for policy sequencing in developing countries. In order to benefit from FDI-led growth, the improvement of the institutional framework should precede FDI attraction policies. While some features of institutional quality have an immediate effect on fostering FDI-led growth, others need a consistent accumulation of efforts, therefore challenging the effectiveness of institutional reforms in developing countries.
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Le système informel de transferts de fonds et le mécanisme automatique du Currency Board : Complémentarité ou antagonisme ?
Nous proposons une étude empirique analysant le lien entre un régime monétaire et les pratiques monétaires informelles, tous deux se situant dans le cadre du système monétaire d'un pays, celui du "Currency Board" à Djibouti. Les résultats économétriques, de différents tests de cointégration entre la balance des paiements, la base monétaire et le système informel des transferts de fonds ("hawala") pour la période 2002 - 2011, montrent que ces pratiques informelles se développent en harmonie avec le régime monétaire, extrêmement rigide. L'interaction du secteur formel et informel permet d'obtenir un équilibre macro-monétaire et fait perdurer le régime de "Curency Board".
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When more does not necessarily mean better: Health-related illfare comparisons with non-monotone welbeing relationship
Most welfare studies are based on the assumption that wellbeing is monotonically related to the variables used for the analysis. While this assumption can be regarded as reasonable for many dimensions of wellbeing like income, education, or empowerment, there are some cases where it is definitively not relevant, in particular with respect to health. For instance, health status is often proxied using the Body Mass Index (BMI). Low BMI values can capture undernutrition or the incidence of severe illness, yet a high BMI is neither desirable as it indicates obesity. Usual illfare indices derived from poverty measurement are then not appropriate. This paper proposes illfare indices that are consistent with some situations of non-monotonic wellbeing relationships and examines the partial orderings of different distributions derived from various classes of illfare indices. An illustration is provided for health-related illfare as proxied by the BMI and weight-for-age indicators using DHS data for Bangladesh during the period 1997-2007. It is shown inter alia that the gains from the decline of undernutrition for Bangladeshi mothers are undermined by the rapid increase of obesity.
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Avant l'euro, l'écu privé, que retirer de cette expérience ? La zone euro et la crise financière internationale
Alors qu'il n'est plus inconvenant d'imaginer une sortie de la Grèce, voire d'autres pays, de la Zone euro, on ne peut s'empêcher de réexaminer les différentes étapes qui nous ont conduits à la monnaie unique. Avant le choix décisif fait à la fin des années 80, une monnaie avait commencé à être utilisée modestement par les pays participant au système monétaire européen... et par quelques autres. Cet écu privé comme on l'a appelé aurait pu devenir une monnaie communautaire qui n'aurait pas remplacé les monnaies nationales, mais qui aurait pu être disponible pour les transactions entre deux pays, comme Keynes l'avait imaginé, au niveau international, au lendemain de la guerre. Cet article rappelle ce qu'a été cet écu privé et comment a fonctionné ce système. Et il analyse le rôle qu'il a joué dans l'évolution vers la monnaie unique et quel rôle aurait pu être le sien.
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Coordination au sein d'une économie simplifiée : l'économie évolutionnaire des cacahuètes tabou
Le problème de la coordination décentralisée des comportements individuels et de l'ajustement de l'économie vers un équilibre spécifique continue d'entretenir la scission classico-keynésienne : fonctionnant hors de l'équilibre ou possédant des capacités naturelles de sélection, l'économie est-elle apte à endogénéïser des externalités échappant totalement aux agents ? Le présent article étudie les capacités de coordination d'une économie stylisée au travers d'une dynamique évolutionnaire d'ajustement. En particulier, la prise en compte de coûts d'ajustement au sein de ce processus remet en cause l'efficience des optima de Pareto
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Peut-on réguler un jeu évolutionnaire : Une analyse des conflits récurrents dans le secteur des transports routiers
Le blocus routier que doivent subir régulièrement les usagers des routes françaises est considéré comme une nuisance insupportable par tous les particuliers et toutes les entreprises européennes. Cependant, dans un contexte de concurrence forte sur les prix, il semble extrèmement difficile que l'État français intervienne sans déroger aux règlements de la Communauté Européenne. Cet article étudie la possibilité d'intervenir de la manière la plus légère possible de telle sorte que ces conflits récurrents cessent dans le cadre d'un jeu évolutionnaire dans lequel les entreprises de transport peuvent choisir d'afficher des salaires bas et donc des prix faibles ou des salaires élevés et donc des prix forts. Nous montrons qu'une simple prime versée aux entreprises à salaire élevé en cas de non attribution des contrats potentiels parce qu'elles ont été appariée avec une -- ou plusieurs -- entreprises à salaire faible, peut leur permettre de se maintenir sur le marché. Cependant si les entreprises adoptent leurs stratégies avec un délai de réaction, il est possible que la population des entreprises soit sujette à de très fortes fluctuations.
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Pourquoi conduit-on à droite ? Une investigation historique dans la genése d'un conflit de normes
It may seem strange to a continental european that british island drive left. Nevertheless, it has been historically demonstrated that the initial norm was to drive left, which convey many physiological advantages. Some people defends the idea that the transition to a right norm is a history hazard linked to the will of the french 1792 revolutionary who want break with the ways and customs of the old system. In this paper, one defends an other conjecture which seems more likely : a cascade of important technical progress in the road and transportation system linked as much as to peoples than merchandises, may have as a consequence to carry the main part of the countries of the planet in a locked-in situation, that is to say a technology which, without any reason to subsist to day, has diffused and conquer
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In defense of a non-newtonian economic analysis
The double-entry bookkeeping promoted by Luca Pacioli in the fifteenth century could be considered a strong argument in behalf of the multiplicative calculus which can be developed from the Grossman and Katz non-newtonian calculus concept. In order to emphasize this statement we present a brief history of the accountancy in its early time and we make the point of Ellerman's research concerning the double-entry bookkeeping.
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The Political Economy of FDI flows into Developing Countries: Does the depth of International Trade Agreements Matter?
There is considerable debate whether the domestic political institutions (specifically, the country's level of democracy) of the host developing country toward foreign investors are effective in establishing the credibility of commitments are still underway, researchers have also analyzed the effect of international institutions such as (GATT-WTO) membership and Bilateral Investment treaties (BIT) in their role of establishing the credibility of commitment to attract foreign investments. In addition, most recent studies have examined the effect of International Trade Agreements (TAs) on FDI flows as they contain separate investment chapters and dispute settlement mechanism, thus providing confidence to investor regarding the security of their investments. We argue that there are qualitative differences among various types of trade agreements and full-fledged trade agreements (FTA-CU) provide credibility to foreign investors and democracy level in the host country conditions this effect whereas the partial scope agreements (PSA) are not sufficient in providing credibility of commitments and not moderated by democracy. This paper analyses the impact of heterogeneous TAs, and their interaction with domestic institutions, on FDI inflows. Statistical analyses for 122 developing countries from 1970 to 2005 support this argument. The method adopted relies on fixed effects estimator which is robust to control endogeneity on a large panel dataset. The strict erogeneity of results by using a method suggested by Baier and Bergstrand (2007) and no feedback effect found in sample. The results state that (1) More the FTA-CU concluded, larger the amount of FDI inflows are attracted into the developing countries and PSA are insignificant in determining the FDI inflow; (2) FTA CU are complementary to democratic regime whereas the conditional effect of PSA with democracy on levels of FDI inflows is insignificant.
Lien HAL
Gains à l'échange de services pour les pays africains : mythe ou réalité ?
D’importants gains d’augmentation des exportations et de croissance sont attendus de la libéralisation des échanges de services dans les pays africains. La taille et la croissance du secteur tertiaire et l’ampleur des barrières existantes semblent justifier cette attente. Nous analysons les modèles d’équilibre général calculable développés pour mesurer les effets de l’ouverture des marchés de services en Afrique. Nous montrons que les résultats de ces modèles doivent être considérés avec prudence. Plutôt que de préconiser l’harmonisation des réglementations, il peut s’avérer préférable de rechercher des pistes pour accroître la productivité et réduire les coûts dans les services. La réalisation de réformes domestiques s’avère un préalable nécessaire pour éviter que les rentes des monopoles domestiques ne soient transférées à des oligopoles étrangers.
Lien HAL
Le jeu de langage de la science économique et sa performativité : A propos du débat sur l'involontarité du chômage
Le papier revient sur le débat autour du concept de chômage involontaire, et de son acceptabilité au sein de la science économique. Il montre que ce débat, tel qu'il a été recensé par De Vroey, et qui oppose fondamentalement Keynes et Lucas, renvoie à une série de questions épistémologiques sur le fonctionnement du langage de la science économique, et sa capacité à véhiculer de la connaissance. Ces questions relèvent, en amont de l'ancrage du langage dans le « réel » (de la manière dont le « réel » se révèle au scientifique), puis des limites éventuelles que le langage formel impose à notre intelligence du monde. Nous montrons alors que le discours canonique se fait orthodoxie lorsque, au nom de la primauté du langage, il revendique de ne pas faire place à des éléments dont l'intuition suggère qu'ils sont des éléments importants de la réalité des économies contemporaines, et qui apparaissent évidents dans le langage de l'homme ordinaire. Il semble finalement que les deux postures épistémologiques auxquelles ce débat renvoie, peuvent être arbitrées en prenant en compte la question centrale, en aval du langage, de la performativité du discours de la science économique et de l'efficacité pratique des politiques publiques que ses énoncés inspirent.
Lien HAL
The Performance of Portfolios Based on Analysts' Recommendations: the Tunisian Case
This article aims at measuring recommendation value on the Tunisian market and uses a database of 6646 recommendations (2005-2009). We apply the methodology of calendar-time portfolio analysis. This consists in simulating a portfolio that would include stocks depending on the recommendations issued. In order to measure abnormal (or “excess”) returns, the raw return of the portfolio is then compared to the evolution of the stock index and to the prediction of the Capital Asset Pricing Model. Portfolios following buy recommendations have raw monthly returns around 2% to 3%, but their excess return is not statistically different from zero. The portfolios following sell recommendations have a positive raw return but a significant negative excess return, which is explained mainly by the strong uprising trend of the Tunisian market on the sample period. Furthermore, although portfolios that follow upgraded recommendation have a positive raw return, the abnormal returns of upgrade or downgrade portfolios are not significantly different from zero. We build long-short portfolios, some of which earn a positive significant excess risk-adjusted return of 1.19% per month. Finally, the fact that “sell” signals are largely more informative than “buy” signals suggests that the market trend on a five years scale probably influences the ability of analysts to pick stocks that evolves reversely from the trend.
Lien HAL
Employment vulnerability in Europe: Is there a migration effect?
One of the most salient evolutions of labour markets in Europe is the increasing number of atypical job contracts (fixed-term contracts, temporary work) and an augmentation of job turnover. These phenomena weaken the relationship between employers and employees. The concept of employment vulnerability may be accurate to describe current evolutions. Our paper provides a set of new indicators of employment vulnerability for European countries. In the context of an important mobility of workers between European countries, emigration could be seen as a way of escaping from employment vulnerability in the country of origin. In this paper, we would like to test this hypothesis by comparing individual levels of employment vulnerability between migrants and native workers. We implement propensity score matching methods on the European Social Survey (2008). Overall, we show that migrants face the same level of employment vulnerability as natives, all other things being equal. But there are strong differences by skill-level. Low-skilled migrants have a lower level of vulnerability mainly because of a lower level of employer vulnerability. On contrary, high-skilled migrants face a higher level of vulnerability mainly explained by a higher job vulnerability.
Lien HAL
Etre Keynésien au XXI siècle : Patriotisme économique ou mondialisation keynésienne ?
Dans un texte de 1933 publié par The Yale Review, John Maynard Keynes présente ses arguments en faveur de l'autosuffisance nationale. Il y plaide pour le refus d'un internationalisme sans contrôle, et propose aux pays démocratiques adeptes du libéralisme politique de mettre en oeuvre le niveau de patriotisme économique adapté au maintien de leurs équilibres sociaux et à la promotion d'une « république sociale idéale ». Alors que la crise déclenchée en 2008, qui par bien des aspects montre les limites d'une globalisation financière et réelle sans contrôle, a remis au goût du jour l'enseignement du maître de Cambridge, cet article produit un écho tout à fait surprenant. Le pari de cette communication est alors qu'il peut être précisément éclairant d'analyser les enjeux de la période en cours à la lumière de cet écrit et des positions qu'y développe Keynes, pour voir, si sur ce thème aussi, sa pensée reste actuelle et riche d'enseignements. L'objet de la communication est donc de repérer les différents arguments avancés par Keynes dans son texte et d'en analyser l'actualité ou l'obsolescence. Il est aussi de rapprocher l'argumentaire, essentiellement intuitif, de celui, analytique, développé trois ans plus tard dans la Théorie Générale. Il est enfin de l'inscrire dans la philosophie globale qui est celle de Keynes des questions économiques, politiques et morales.
Lien HAL
The Political Economy of FDI Flow into Developing Countries: Does the Depth of International Trade Agreements Matter?
There is considerable debate whether the domestic political institutions (specifically, the country’s level of democracy) of the host developing country toward foreign investors are effective in establishing the credibility of commitments are still underway, researchers have also analyzed the effect of international institutions such as (GATT-WTO) membership and Bilateral Investment treaties (BIT) in their role of establishing the credibility of commitment to attract foreign investments. In addition, most recent studies have examined the effect of International Trade Agreements (TAs) on FDI flows as they contain separate investment chapters and dispute settlement mechanism, thus providing confidence to investor regarding the security of their investments. We argue that there are qualitative differences among various types of trade agreements. Full-fledged trade agreements (FTAs-CUs) provide credibility of commitments to foreign investors whereas the partial scope agreements (PSA) are not sufficient in providing credibility. Moreover, the level of democracy in the host country conditions the effect of FTAs-CUs and not in the case of PSAs. This paper analyses the impact of heterogeneous TAs, and their interaction with domestic institutions, on FDI inflows. Statistical analyses for 122 developing countries from 1970 to 2005 support this argument. The method adopted relies on fixed effects estimator which is robust to control endogeneity on a large panel dataset. The strict exogeneity of results by using a method suggested by Baier and Bergstrand (2007) and no feedback effect found in sample. The results state that (1) The conclusion of FTAs-CUs attract FDI inflows into the developing countries significantly whereas PSAs are insignificant (2) FTAs-CUs are complementary to democratic regime whereas the conditional effect of PSA with democracy on levels of FDI inflows is insignificant.
Lien HAL
Comment Friedman a-t-il persuadé ? Du "taux d'intérêt naturel" au "taux de chômage naturel" : Portée, limites et usages d'une analogie revendiquée
L’article s'intéresse à l'analyse des éléments de rhétorique convoqués par Friedman (1968) comme outils de persuasion dans sa critique de la courbe de Phillips et de l'usage accommodant des politiques monétaires. La référence à la « naturalité » du taux de chômage d'équilibre en est un premier, qui joue le rôle de preuve intrinsèque (entechnai) et établit la dimension pathétique de l'argumentaire. La définition de ce concept de taux de chômage « naturel » sur la base d'une analogie avec la définition du taux d'intérêt naturel chez Wicksell (1898), en est un second, qui joue le rôle de preuve extrinsèque (atechnai), et s'appuie à la fois sur le recours à l'autorité d'un Ancien (qui établit la portée éthique de la démonstration), et sur le procédé analogique en lui-même (qui construit la dimension logique du discours). L'article s'intéresse alors à décrypter le fonctionnement démonstratif de ces éléments, et à évaluer précisément la portée de ladémonstration logique de Friedman. Nous soulignons à cet égard les limites de l'analogie revendiquée par Friedman et les divergences dans la représentation qu’ont Friedman et Wicksell de l’économie monétaire, de la monnaie et des politiques monétaires. C'est aussi l’occasion, à la lumière de ces développements, de souligner les glissements que Friedman introduit, en usant de ces éléments de rhétorique, dans le contenu du débat macroéconomique. Au final, la rhétorique de Friedman apparaît comme une véritable « sophistique réactionnaire » au sens de Hirschmann (1991).
Lien HAL
La vision du travail chez les premiers jansénistes : Entre spiritualité et politique au coeur du grand siècle
L'influence, en France, du Jansénisme, sur les premiers développements de l'économie politique, notamment autour du Cercle de Gournay, est aujourd'hui quelque chose de bien renseigné. A leur tour, ces développements de l' économie politique pré-classique vont nourrir la volonté d’émancipation de la Bourgeoisie de Robe au XVIIIe siècle. Notre hypothèse de départ est que le Jansénisme a pu ainsi jouer, dans le grand pays Catholique qu'est alors la France, le rôle, identifié depuis Max Weber, qu'a jouée,dans les pays où elle domine, la diffusion de « l'éthique protestante » sur le développement d'un « esprit du capitalisme ». Nous revendiquons alors la nécessité de revenir au sources théologiques du « premier jansénisme », dans sa volonté de mener une Contre-Réforme qui puise à la double source de l'église tridentine et de l'augustinisme, pour comprendre comment « l'éthique » janséniste a pu justifier des conduites de vie relevant d'une forme « d'esprit du capitalisme ». Pour identifier cette singularité de la théologie janséniste, et l'influence qu'elle a pu avoir sur les conduites de vie et les postures politiques de la bourgeoisie libérale au XVIIIe siècle, nous centrons cet article sur la vision qui peut en découler du travail comme acte libre et hédoniste.
Lien HAL
The behaviour of US and UK public debt: further evidence based on time varying parameters
The paper investigates whether US and UK have followed sustainable debt policies during the period 1970-2012, by exploring the reaction of the primary surplus as percentage of GDP to variations in the debt to GDP ratio, as a powerful test. The main results reveal that the coefficient for UK is negative and significant, while for the US, we are unable to find a clear-cut evidence of the sustainability of public debt as the coefficient is also negative, but insignificant. In the case of the UK, the outputs reveal that government did not raise the primary surplus as the government debt increased rather reduced it and this reduction has been significant. On the other hand, the significance of the reaction coefficient demonstrates that the reaction of the primary surplus to increases in public debt varies over time. All these evidences allow us to appreciate that the fiscal policy in the UK is not sustainable in the sense of satisfying of intertemporal budgetary constrain.
Lien HAL
The Circulare Relationship between inequality, Leverage and Financial Crisis
In this paper, we put into perspective the recent literature which points to inequality as a possible cause of credit bubbles, by reintegrating it into a more general analysis on the two-way relationship between inequality and finance. We focus more specifically on situations where high inequalities and widespread access to credit coexist, and argue that, even when institutions maintain more or less equal access to finance, there may be a dynamic, positive circular relationship between inequality and financial development. However, if we find robust evidence in the literature of a positive causal impact of inequality on credit, the conclusions concerning the distributional impact of financial development, financial deregulation, and financial crises become less clear. A survey of the empirical literature highlights several issues that must be tackled. First, endogeneity: reverse causality and coincidental factors are major concerns. Second, the choice of consistent measurements for the key variables (both credit and inequality) has strong empirical implications, and must be grounded on relevant theoretical channels. Third, those circular dynamics have substantial policy implications for emerging countries, since an increasing number face a joint increase in inequality and credit.
Lien HAL
The Performance of Portfolios Based on Analysts' Recommendations: the Tunisian Case
This article aims at measuring recommendation value on the Tunisian market and uses a hand-collected database of 6646 recommendations (2005–2009). We apply the methodology of calendar–time portfolio analysis. This consists of simulating a portfolio that would include stocks depending on the recommendations issued by financial analysts. In order to measure abnormal (or ‘excess’) returns, the raw return of the portfolio is then compared to the evolution of the stock index and to the prediction of the Capital Asset- Pricing Model. Some of the portfolios we build earn a positive significant excess risk-adjusted return of 1.19% per month. Beyond the results that are in line with the literature, we provide two original results. First, ‘sell’ signals are informative, whereas ‘buy’ signals are not. We suggest that it is related to large (small) firms having more ‘buy’ (‘sell’) recommendations and to the direction of the market trend over the period. Second, the fact that recommendation levels have more impact than recommendation changes is explained by the specific informational context on that market, which is that recommendations are systematically disclosed each month, whereas on other markets, recommendations are produced only when the analyst has some new information to disclose.
Lien HAL
A Regional Analysis of Markets Uncertainty Spillover
This study aims to describe the transmission of uncertainty between the stock markets of four aggregate regions: North America, Europe non Euro-zone, Asia and the euro area. We use a non-linear VAR model with innovations following a Multivariate GARCH with variance regime change. The interest of the model with regime change is to correct the estimation bias caused by the overestimation of the shocks persistence. We apply the non-linear VAR model with regime change in daily MSCI data aggregated from four regions over the period from June 2005 to October 2013. This period included the crisis episodes in 2007 and 2011. Our results indicate the importance of taking into account changes in variance in measuring the persistence of volatility shocks. They also show the high exposure of European and Asian markets to the uncertainties of North American markets. The transmission in time of crisis is higher compared to the quiet period. This result confirms the contagious nature of the crises of 2007 and 2011 and supports the thesis of the contingency theory to crisis.
Lien HAL
Systemic Risk Score: A Suggestion
In this paper, we identify several shortcomings in the systemic-risk scoring methodology currently used to identify and regulate Systemically Important Financial Institutions (SIFIs). Using newly-disclosed regulatory data for 119 US and international banks, we show that the current scoring methodology severely distorts the allocation of regulatory capital among banks. We then propose and implement a methodology that corrects for these shortcomings and increases incentives for banks to reduce their risk contributions.
Lien HAL
Systemic Risk Score: A Suggestion
We identify a potential bias in the methodology disclosed in July 2013 by the Basel Committee on Banking Supervision (BCBS) for identifying systemically important financial banks. Contrary to the original objective, the relative importance of the five categories of risk importance (size, cross-jurisdictional activity, interconnectedness, substitutability/financial institution infrastructure, and complexity) may not be equal and the resulting systemic risk scores are mechanically dominated by the most volatile categories. In practice, this bias proved to be serious enough that the substitutability category had to be capped by the BCBS. We show that the bias can be removed by simply standardizing each input prior to computing the systemic risk scores.
Lien HAL
High-Frequency Risk Measures
This paper proposes intraday High Frequency Risk (HFR) measures for market risk in the case of irregularly spaced high-frequency data. In this context, we distinguish three concepts of value-at-risk (VaR): the total VaR, the marginal (or per-time-unit) VaR, and the instantaneous VaR. Since the market risk is obviously related to the duration between two consecutive trades, these measures are completed with a duration risk measure, i.e., the time-at-risk (TaR). We propose a forecasting procedure for VaR and TaR for each trade or other market microstructure event. We perform a backtesting procedure specifically designed to assess the validity of the VaR and TaR forecasts on irregularly spaced data. The performance of the HFR measure is illustrated in an empirical application for 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 HFR forecasts accurately capture the volatility and duration dynamics for these three assets.
Lien HAL
Does the firm-analyst relationship matter in explaining analysts' earnings forecast errors?
We study whether financial analysts' concern for preserving good relationships with firms' managers motivates them to issue pessimistic or optimistic forecasts. Based on a dataset of one-yearahead EPS forecasts issued by 4 648 analysts concerning 241 French firms (1997-2007), we regress the analysts' forecast accuracy on its unintentional determinants. We then decompose the fixed effect of the regression and we use the firm-analyst pair effect as a measure of the intensity of the firm-analyst relationship. We find that a low (high) firm-analyst pair effect is associated with a low (high) forecast error. This observation suggests that pessimism and optimism result from the analysts' concern for cultivating their relationship with the firm's management.
Lien HAL
A Theoretical and Empirical Comparison of Systemic Risk Measures
We derive several popular systemic risk measures in a common framework and show that they can be expressed as transformations of market risk measures (e.g., beta). We also derive conditions under which the different measures lead to similar rankings of systemically important financial institutions (SIFIs). In an empirical analysis of US financial institutions, we show that (1) different systemic risk measures identify different SIFIs and that (2) firm rankings based on systemic risk estimates mirror rankings obtained by sorting firms on market risk or liabilities. One-factor linear models explain most of the variability of the systemic risk estimates, which indicates that systemic risk measures fall short in capturing the multiple facets of systemic risk.
Lien HAL
Labour Market Institutions and Unemployment: does Finance Matter?
We explore whether finance influences the impact of labour market institutions on unemployment. Using a data set of 18 OECD countries over 1980-2004, we estimate a panel Vector AutoRegressive model. We check whether causalities from labour market variables (labour market regulation, union density, coordination in wage bargaining) to unemployment are a ffected by the introduction of financial factors (stock market capitalisation, intermediated credit and banking concentration) in the estimation. In Australia, Belgium, Italy, Japan and Spain, accounting for financial indicators mitigates the bene fits of labour market flexibilization or makes it harmful to employment. In Austria, Canada, Finland and Portugal, it reduces its detrimental impact or makes it bene ficial. In Ireland and Netherlands, both e ffects prevail, depending on the labour market indicator used.
Lien HAL
Comment le dollar devient-il une monnaie internationale ?
Le dollar n'est pas une monnaie comme une autre, il est aussi une monnaie internationale. Ou plutôt il devient une monnaie internationale, chaque fois qu'il est transféré par les Etats-Unis au reste du monde. Cet article analyse toutes ces opérations qui sont regroupées dans la balance des paiements américaine et considère celle-ci comme le bilan d'une banque créatrice de monnaie. Il oppose ces mécanismes de création à ceux d'intermédiation qui sont habituellement privilégiés. Il poursuit ensuite l'analyse au niveau des stocks à travers la position financière internationale des Etats-Unis. Enfin il commente l'évolution de cette création de monnaie internationale par les Etats-Unis, en flux et en stocks, notamment l'impact de la crise dans les années 2008-2009.
Lien HAL
Le dérapage des dettes publiques en questions : un essai d'inventaire
Au seuil d'une possible sortie de crise les pays développés sont confrontés à un problème difficile : trouver des moyens de s'opposer au dérapage des finances publiques tout en évitant de l'aggraver en tentant trop brutalement à y faire face. Ce texte se propose de mettre en perspective les différentes questions auxquelles renvoie ce dilemme. On traite d'abord des évolutions prévues ou projetées des dettes publiques et de l'ampleur des corrections budgétaires qu'elles impliquent. On s'interroge ensuite sur le niveau et le rythme souhaitable des ajustements. Puis on revient sur les déséquilibres qui ont engendré la crise et dont la résolution est peut être un préalable à la maitrise de l'endettement public. Enfin, on évoque les dispositions institutionnelles qui pourraient faciliter la prise d'engagements politiques crédibles en ce domaine.
Lien HAL
Immigration, unemployment and GDP in the host country: Bootstrap panel Granger causality analysis on OECD countries
This paper examines the causality relationship between immigration, unemployment and economic growth of the host country. We employ the panel Granger causality testing approach of Konya (2006) that is based on SUR systems and Wald tests with country specific bootstrap critical values. This approach allows to test for Granger-causality on each individual panel member separately by taking into account the contemporaneous correlation across countries. Using annual data over the 1980-2005 period for 22 OECD countries, we find that, only in Portugal, unemployment negatively causes immigration, while in any country, immigration does not cause unemployment. On the other hand, our results show that, in four countries (France, Iceland, Norway and the United Kingdom), growth positively causes immigration, whereas in any country, immigration does not cause growth.
Lien HAL
Immigration, growth and unemployment: Panel VAR evidence from OECD countries
This paper examines empirically the interaction between immigration and host country economic conditions. We employ a panel VAR techniques to use a large annual dataset on 22 OECD countries over the period 1987-2009. The VAR approach allows to addresses the endogeneity problem by allowing the endogenous interaction between the variables in the system. Our results provide evidence of migration contribution to host economic prosperity (positive impact on GDP per capita and negative impact on aggregate unemployment, native- and foreign-born unemployment rates). We also find that migration is influenced by host economic conditions (migration responds positively to host GDP per capita and negatively to host total unemployment rate).
Lien HAL
Environmental Responsibility and FDI: Do Firms Relocate Their Irresponsibilities Abroad?
The goal of this paper is to study the influence of corporate environmental responsibility (CER) and national environmental standards on the location choices of the 600 biggest European firms. By using the environmental score provided by Vigeo , we are able to test the influence of the environmental performances of firms. We find a negative interaction effect between these environmental performances and national environmental regulations. Thus, we argue that national standards can be a substitute for CER. All things being equal, firms with better environmental performances tend to be located in dirtier countries. CER can therefore be seen as an answer to the location choices of firms which invest in countries with poor environmental policies. This result is only valid when considering de facto environmental standards, not de jure environmental standards. It suggests a possible strategic behavior of firms which exploit these differences between formal environmental regulations and their effective enforcement.
Lien HAL
Inflation Uncertainty, Output Growth Uncertainty and Macroeconomic Performance: Comparing Alternative Exchange Rate Regimes in Eastern Europe
In the late 90's, after severe financial and economic crisis, accompanied by inflation and exchange rate instability, Eastern Europe emerged into two groups of countries with radically contrasting monetary regimes (Currency Boards and Inflation targeting). The task of our study is to compare econometrically the performance of these two regimes in terms of the relationship between inflation, output growth, nominal and real uncertainties from 2000 till now. In other words, we test the hypothesis of non-neutrality of monetary and exchange rate regimes with respect to these connections. In a whole, the empirical results do not allow us to judge which monetary regime is more appropriate and reasonable to assume. EU enlargement is one of the possible explanations for the numbing of the differences and the lack of coherence between the two regimes in terms of inflation, growth and their uncertainties
Lien HAL
US Corporate Bond Yield Spread: A default risk debate
According to theoretical models of valuing risky corporate securities, risk of default is primary component in overall yield spread. However, sizable empirical literature considers it otherwise by giving more importance to non-default risk factors. Current study empirically attempts to provide relative solution to this conundrum by presuming that problem lies in the subjective empirical treatment of default risk. By using post-hoc estimator approach of Lubotsky & Wittenberg (2006), we construct an efficient indicator for risk of default, by using sample of 252 US non-financial corporate data (2000-2010). On average, our results validate that almost 48% of change in yield spread is explained by default risk especially in recent financial crisis period (2007-2009). Hence, our results relatively suggest that potential problem lies in the ad-hoc measurement methods used in existing empirical literature
Lien HAL
World gold prices and stock returns in China: insights for hedging and diversification strategies
In this paper we make use of several multivariate GARCH models (CCC-, DCC-, BEKK-, diagonal BEKK-, and VAR-GARCH) to investigate both return and volatility spillovers between world gold prices and stock market in China over the period from March 22, 2004 through March 31, 2011. We also analyze the optimal weights and hedge ratios for gold-stock portfolio holdings and show how empirical results can be used to build effective diversification and hedging strategy. Our results show evidence of significant return and volatility cross effects between gold prices and stock prices in China. In particular, past gold returns play a crucial role in explaining the dynamics of conditional return and volatility of Chinese stock market and should thus be accounted for when forecasting future stock returns. Our portfolio analysis suggests that adding gold to a portfolio of Chinese stocks improves its risk-adjusted return and that gold risk exposures can be effectively hedged in portfolios of stocks over time. Finally, we show that the VAR-GARCH model performs better than the other multivariate GARCH models.
Lien HAL
Market Structure and the Cost of Capital
We contribute to the finance literature in two main ways. First, we present a theoretical capital asset pricing model (CAPM) to price assets in different market structures. Second, we use our model to analyze whether when markets are partially segmented using the local or the global CAPM yields significant errors in the estimation of the cost of capital for a sample of firms from developed and emerging countries.
Lien HAL
On the short- and long-run efficiency of energy and precious metal markets
This article contributes to the related literature by empirically investigating the efficiency of nine energy and precious metal markets over the last decades, employing several pronounced models. We test for both the short- and the long-run efficiency using, in addition to linear cointegration models, nonlinear cointegration and error-correction models (ECM) which allow the efficiency intensity to change per regime. Our findings can be summarized as follows: i) futures prices are found to be cointegrated with spot prices, but they do not constitute unbiased predictors of future spot prices; ii) the hypothesis of risk neutrality is rejected and there is some evidence of time-varying risk premia; iii) the short-run efficiency hypothesis is rejected, suggesting that using past futures price returns improves the modeling and forecasting of future spot prices; and iv) the nonlinear modeling suggests the presence of two distinct regimes where in the first regime the efficiency hypothesis is supported, whereas in the second it is rejected. The empirical findings have important implications for producers, hedgers, speculators and policymakers.
Lien HAL
Long memory and structural breaks in modeling the return and volatility dynamics of precious metals
We investigate the potential of structural changes and long memory (LM) properties in returns and volatility of the four major precious metal commodities traded on the COMEX markets (gold, silver, platinum and palladium). Broadly speaking, a random variable is said to exhibit long memory behavior if its autocorrelation function is not integrable, while structural changes can induce sudden and significant shifts in the time-series behavior of that variable. The results from implementing several parametric and semiparametric methods indicate strong evidence of long range dependence in the daily conditional return and volatility processes for the precious metals. Moreover, for most of the precious metals considered, this dual long memory is found to be adequately captured by an ARFIMA-FIGARCH model, which also provides better out-of-sample forecast accuracy than several popular volatility models. Finally, evidence shows that conditional volatility of precious metals is better explained by long memory than by structural breaks.
Lien HAL
Equity Risk Premium and Regional Integration
This article contributes to the literature on stock market integration by developing and estimating a capital asset pricing model with segmentation effects in order to assess stock market segmentation and its effects on risk premia at the regional level. We show that the estimated degrees of segmentation vary from one region to anther and over time. Moreover, we establish that compared to developed market regions, emerging market regions have four main dissimilarities: the total risk premiums are significantly higher, more volatile, dominated by regional residual risk factors and reflect mostly regional events. However, in the recent period emerging market regions have become less segmented as a result of liberalization and reforms and the relative magnitude of the premium associated with global factors has increased.
Lien HAL
The effect of debt on corporate profitability Evidence from French service sector
L'étude actuelle a pour but de fournir une nouvelle évidence empirique sur l'impact de dette sur la profitabilité d'entreprise. Cet impact peut être expliqué par trois théories essentielles: la théorie du signal, l'influence de la fiscalité et la théorie de l'agence. En utilisant un échantillon d'un panel de 2240 entreprises Françaises non cotées du secteur des services au cours de la période 1999-2006. En utilisant la méthode des moments généralisée (GMM) sur trois mesures de ratio de rentabilité (PROF1, PROF2 et ROA), nous montrons que le ratio de la dette n'a aucun effet sur la profitabilité des entreprises, quelle que soit la taille de l'entreprise (TPE, PME ou ETI).
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Les choix de portefeuille des épargnants sur le cycle boursier et le cycle de vie
Les épargnants détenant des titres financiers risqués ont-ils tendance à investir à contretemps sur les marchés boursiers, achetant au sommet et vendant dans les creux ? Réduisent-ils leur exposition au risque avec l'âge et en particulier à l'approche de la retraite ? Nous répondons à ces deux questions à l'aide des données d'un grand assureur français répertoriant les souscriptions de contrats Madelin entre 2002 et 2009. Les souscripteurs peuvent placer leur épargne dans deux types de support : un fonds en euros composé essentiellement de titres monétaires quasi sans risque, et des fonds en unités de compte représentant des parts d'OPCVM investies en titres dont le rendement est risqué. Nous montrons que la part du capital investie en unités de compte est sensible à la conjoncture boursière, mais essentiellement à la date de souscription du contrat. Une fois la part initiale sélectionnée, une forte inertie des choix de portefeuille est observée puisque les épargnants ne reviennent que très rarement sur la décision prise à l'ouverture. Nous constatons une forte procyclicité des choix d'investissement qui s'explique par une extrapolation de la performance boursière récente. Les nouveaux souscripteurs achètent des actifs risqués lorsque la Bourse monte et cessent d'en acheter quand elle descend. Cela les conduit à détenir une part d'actifs risqués minimum en 2004, au début d'une phase de hausse de quatre ans et une part maximum en 2008 au début de la chute boursière liée à la crise financière. Nous trouvons également que la part risquée décline de façon régulière avec l'âge une fois tenus compte des effets temps et en excluant les effets génération. Le profil par âge décline également dans la configuration inverse (prise en compte des effets génération et exclusion des effets temps) mais la baisse est moins accentuée. Elle est en effet le produit de deux phénomènes. D'une part le nombre d'épargnants investissant dans des actifs risqués tend à s'accroître avec l'âge. D'autre part, conditionnellement à investir, la part risquée diminue avec l'âge. Après une discussion de la plausibilité des différents effets, nous estimons une probabilité de détention d'unités de compte qui croît avec l'âge d'environ 12 points de pourcentage entre 40 et 60 ans, et une part investie en unités de compte conditionnellement à détenir une part positive qui décroît avec l'âge d'environ 6 points de pourcentage entre 40 et 60 ans. La décroissance est trop faible pour amener la part investie à zéro à l'approche de la retraite.
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An Economic Evaluation of Model Risk in Long-term Asset Allocations
Following the recent crisis and the revealed weakness of risk management practices, regulators of developed markets have recommended that financial institutions assess model risk. Standard risk measures, such as the Value-at-Risk (VaR), emerged over recent decades as the industry standard for risk management and have today become a key tool for asset allocation. We illustrate and estimate model risk, and focus on the evaluation of its impact on optimal portfolios at various time horizons. Based on a long sample of U.S. data, we find a non-linear relation between VaR model errors and the horizon that impacts optimal asset allocations.
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Does debt affect profitability? An empirical study of French trade sector
This article aims to expand existing empirical knowledge on the impact of debt level on profitability of companies. We analyze a sample of an unbalanced panel of 2325 unlisted French companies of trade sector spanning over a period of 1999 to 2006. By using the generalized method of moments (GMM), we show that the debt affects negatively the profitability, not only linearly, but also, in a non-linear (concave) way. However, while analyzing according to different size classes (VSEs, SMEs and LEs); we find that the linear negative effect becomes larger and the non-linear effect is significant only in small and medium-sized enterprises (SME).
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La méthode en histoire et l'histoire en méthode
Nous abordons ici les deux types de problèmes auxquels sont confrontés les chercheurs qui s’intéressent à l’épaisseur temporelle des problèmes de management : d’une part l’étude de l’histoire d’un problème managérial peut être considérée comme une méthode pour l’approcher1, mais d’autre part ce recours suppose que les chercheurs en gestion qui s’aventurent sur ce terrain maîtrisent au moins les rudiments des méthodes de travail des historiens.
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The Impact of Exchange Rate Regimes on Production Structures Across Countries: the European Case
This paper analyzes the impact of exchange rate variability on the economic specialization of European countries. Two theoretical approaches are used: the first one, advanced by Krugman (1991), underlines that the monetary integration is favouring the specialization of countries members of an integrated area while the second one, supported by Ricci (1997), considers that the exchange rate variability is the one that is enhancing countries specialization. In line with these two theoretical dimensions, we conduct empirical estimations on the EU countries (1993-2008) using two different measures of specialization. The results give a mixed picture: the link between specialization and exchange rate regimes is found to be significant but its sign differs according to the sectors desegregation. In order to conciliate these results with the two challenging theoretical settings, we propose an explanation based on the difference between inter-industry and intra-industry specialization.
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Employment Protection and Migration
We argue in this paper that labor market institutions, and more particularly employment protection (EPL), are an important determinant of migration. Using a bilateral migration database, we empirically show that the employment protection di fferential has a negative impact on bilateral ows. Contrary to pop- ular wisdom which assumes that migrants look for a more protected market, we show that migrants tend to move to countries where employment protection is close to that of their country of origin. Relative preferences over wages or employment, or a distinct impact on wages and employment may explain such results. We also show that these e ffects are stronger for high-skilled workers.
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The effect of debt on corporate profitability : Evidence from French service sector
Current study aims to provide new empirical evidence on the impact of debt on corporate profitability. This impact can be explained by three essential theories: signaling theory, tax theory and the agency cost theory. Using panel data sample of 2240 French non listed companies of service sector during 1999-2006. By utilizing generalized method of moments (GMM) econometric technique on three measures of profitability ratio (PROF1, PROF2 and ROA), we show that debt ratio has no effect on corporate profitability, regardless of the size of company (VSEs, SMEs or LEs).
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Incertitude de l'inflation et croissance économique : le cas de l'UEMOA
Cet article propose une évaluation de la relation entre l'incertitude émanant de la volatilité de l'inflation et la croissance économique des pays de l'UEMOA. Il s'interroge également sur les répercussions des chocs d'inflation sur l'économie réelle des pays de la zone. L'étude s'appuie sur un modèle VAR-GARCH susceptible de faire ressortir, d'une part, les différentes caractéristiques des chocs d'inflation dans l'union, et d'autre part, les liens entre l'inflation incertaine et la croissance économique. Les résultats suggèrent la persistance accentuée de la volatilité de l'inflation et de l'activité économique mais aussi une ampleur très significative de l'incertitude de l'inflation. Les mécanismes de transmission de l'inflation incertaine sur la croissance économique sont différents selon les pays. Les politiques relatives à la convergence macroéconomique, à la stabilisation et au développement n'ont pas suffit à contrecarrer la persistance des fluctuations de l'inflation et de l'activité économique. De même, elles n'ont pas réussi à juguler les effets globalement négatifs de l'interaction des chocs d'inflation entre les pays et de l'inflation incertaine sur la croissance économique des pays de l'union. Une meilleure orientation et un caractère plus accommodant des politiques de stabilisation s'avèrent nécessaires pour apaiser les tensions sur les marchés des biens et du travail et pour propulser la capacité d'offre des économies de l'union.
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Gender Inequality and Emigration: Push factor or Selection process?
Our objective in this research is to provide empirical evidence relating to the linkages between gender equality and international emigration. Two theoretical hypotheses can be made for the purpose of analyzing such linkages. The fi rst is that gender inequality in origin countries could be a push factor for women. The second one is that gender inequality may create a \gender bias" in the selection of migrants within a household or a community. An improvement of gender equality would then increase female migration. We build several original indices of gender equality using principal component analysis. Our empirical results show that the push factor hypothesis is clearly rejected. All else held constant, improving gender equality in the workplace is positively correlated with the migration of women, especially of the high-skilled. We observe the opposite e ffect for low-skilled men. This result is robust to several speci cations and to various measurements of gender equality.
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La structure du capital et la profitabilité : Le cas des entreprises industrielles françaises
L'objectif de cet article est d'analyser l'impact de la structure du capital sur la profitabilité. Cet impact peut être expliqué par trois théories essentielles: la théorie du signal, l'influence de la fiscalité et la théorie de l'agence. Nous montrons, à partir d'un échantillon de 1846 entreprises industrielles françaises prises sur la période 1999-2006, à l'aide d'une étude sur panel dynamique en utilisant la méthode des moments généralisée (GMM), que la structure du capital n'a aucune influence sur la profitabilité des entreprises françaises quelle que soit la taille de l'entreprise.
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L'ENDETTEMENT AFFECTE-T-IL LA PROFITABILITÉ? LE CAS DES FIRMES AGRO-ALIMENTAIRES FRANÇAISES
Cet article a pour objectif d'élargir le champ de la connaissance empirique sur l'impact de l'endettement sur la profitabilité des entreprises. Nous analysons un échantillon de 568 entreprises françaises non cotées, de secteur d'Agro-alimentaires, observées sur la période entre 1999 et 2006. Nous montrons, en utilisant la méthode des moments généralisée (GMM), que l'endettement affecte négativement sur la profitabilité, mais cet effet est faible et parfois non significatif selon le ratio de profitabilité utilisé (Prof1, Prof2 ou ROA). De plus, nous trouvons une relation non linéaire (une courbe concave) de l'impact de la dette sur la profitabilité, mais, cet impact non linéaire n'est significatif que dans les toutes petites entreprises (TPE).
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Politiques macroéconomiques et stabilisation des chocs dans la zone UEMOA
Les chocs semblent être l'une des principales sources de réactivité des politiques macroéconomiques dans la zone UEMOA. L'objet de cet article est d'évaluer la capacité de résilience de ces politiques. Nous utilisons pour cela un modèle VAR Bayésien en panel susceptible d'évaluer dans quel cadre les chocs influencent ces politiques macroéconomiques de stabilisation. Les résultats suggèrent que les politiques budgétaires nationales s'ajustent aux chocs avec une marge de manœuvre très limitée tandis que l'efficacité relative de la politique monétaire se manifeste à travers le degré de réaction face aux chocs affectant l'inflation, le taux d'importation et les termes de l'échange.
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Fiabilité des tests génétiques et architecture des contrats d'équilibre
Longtemps considérés comme fiables, les tests génétiques se répandent dans quasiment tous les domaines de la société. Cependant, plusieurs auteurs à l'instar de Penacino et al. (2003) tirent la sonnette d'alarme et attirent l'attention sur les résultats fallacieux que peuvent engendrer les tests génétiques. Sur le marché d'assurance, le manque de fiabilité des tests génétiques est parfois l'une des raisons évoquées par les assureurs pour se priver de l'information génétique. Dans notre analyse, nous montrons que l'utilisation des tests génétiques même avec un manque de fiabilité n'empêchera pas le marché d'assurance de bien fonctionner. Tout d'abord nous avons caractérisé le marché. A cause de l'erreur sur un test, les bons risques gardent présent à l'esprit qu'ils ont une chance d'être mauvais risque et les mauvais risques l'espoir d'avoir une chance d'être bon risque. Par conséquent, le marché sera composé de bons risques pessimistes et de mauvais risques optimistes. Ensuite, nous avons cherché à déterminer les contrats offerts sur le marché. Lorsque l'assureur n'a pas les mêmes croyances que les agents, les contrats offerts peuvent aller d'un unique contrat à un menu de contrats d'assurance partielle. En revanche, si l'assureur a les mêmes croyances que les assurés, il offre aux mauvais risques optimistes un contrat de pleine assurance et aux bons risques pessimistes un contrat à couverture partielle. Le contrat de pleine assurance des mauvais risques optimistes est cependant différent du contrat de pleine assurance de Stiglitz (1977) en ce sens que les agents ont une plus grande utilité.
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La structure du capital et la profitabilité : Une étude empirique sur données de panel françaises
L'objectif de cet article est d'analyser l'impact de la structure du capital sur la profitabilité. Cet impact peut être expliqué par trois théories essentielles: la théorie du signal, l'influence de la fiscalité et la théorie de l'agence. Nous montrons, à partir d'un échantillon de 9136 entreprises réparties sur sept secteurs prises sur la période 1999-2006, à l'aide d'une étude sur panel dynamique en utilisant la méthode des moments généralisée (GMM), qu'il y a une hétérogénéité des comportements entre les secteurs en ce qui concerne l'effet de la structure du capital sur la profitabilité. L'analyse empirique a permis de distinguer trois groupes différents de secteurs: pour le premier groupe (l'industrie, l'énergie et le service), la structure du capital n'a aucune incidence sur la profitabilité. Le deuxième groupe ne contient que le secteur de transport, c'est le groupe où l'endettement affecte négativement la profitabilité de manière linéaire. Le dernier groupe (l'agro alimentaire, la construction et le commerce) se caractérise par la présence d'un effet négatif de façon linéaire et non linéaire.
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La structure du capital et la profitabilité : Une étude empirique sur données de panel françaises
L'objectif de cet article est d'analyser l'impact de la structure du capital sur la profitabilité. Cet impact peut être expliqué par trois théories essentielles: la théorie du signal, l'influence de la fiscalité et la théorie de l'agence. Nous montrons, à partir d'un échantillon de 9136 entreprises réparties sur sept secteurs prises sur la période 1999-2006, à l'aide d'une étude sur panel dynamique en utilisant la méthode des moments généralisée (GMM), qu'il y a une hétérogénéité des comportements entre les secteurs en ce qui concerne l'effet de la structure du capital sur la profitabilité. L'analyse empirique a permis de distinguer trois groupes différents de secteurs: pour le premier groupe (l'industrie, l'énergie et le service), la structure du capital n'a aucune incidence sur la profitabilité. Le deuxième groupe ne contient que le secteur de transport, c'est le groupe où l'endettement affecte négativement la profitabilité de manière linéaire. Le dernier groupe (l'agro alimentaire, la construction et le commerce) se caractérise par la présence d'un effet négatif de façon linéaire et non linéaire.
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L'IMPACT DE L'ENDETTEMENT SUR LA PROFITABILITÉ UNE ÉTUDE EMPIRIQUE SUR DONNÉES FRANÇAISES EN PANEL
Cet article a pour objectif d'analyser l effet de l'endettement sur la profitabilité. Cet effet peut être expliqué par trois théories essentielles: la théorie du signal, la théorie de l'agence et l'influence de la fiscalité. L'échantillon se compose d'un panel de 1078 entreprises françaises, non cotées, de type anonymes et de SARL, appartenant au secteur de la construction sur la période 1999-2006. Nous montrons, en utilisant la méthode des moments généralisée (MMG), que l'endettement affecte négativement la profitabilité, non seulement linéairement, mais aussi, de façon non linéaire (concave). Cependant, en détaillant l'analyse selon différentes classe de taille, nous constatons que l'effet négatif linéaire et l'effet non linéaire ne sont significatifs que dans les petites et moyennes entreprises (PME).
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Margin Backtesting
This paper presents a validation framework for collateral requirements or margins on a derivatives exchange. It can be used by investors, risk managers, and regulators to check the accuracy of a margining system. The statistical tests presented in this study are based either on the number, frequency, magnitude, or timing of margin exceedances, which are defined as situations in which the trading loss of a market participant exceeds his or her margin. We also propose an original way to validate globally the margining system by aggregating individual backtesting statistics obtained for each market participant.
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The Risk Map: A New Tool for Validating Risk Models
This paper presents a new method to validate risk models: the Risk Map. This method jointly accounts for the number and the magnitude of extreme losses and graphically summarizes all information about the performance of a risk model. It relies on the concept of a super exception, which is de.ned as a situation in which the loss exceeds both the standard Value-at-Risk (VaR) and a VaR de.ned at an extremely low coverage probability. We then formally test whether the sequences of exceptions and super exceptions are rejected by standard model validation tests. We show that the Risk Map can be used to validate market, credit, operational, or systemic risk estimates (VaR, stressed VaR, expected shortfall, and CoVaR) or to assess the performance of the margin system of a clearing house.
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Politiques de soutien à la capture et au stockage du carbone en France : un modèle d'équilibre général calculable
La France s'est fixée comme objectif de diviser par quatre ses émissions de gaz à effet de serre d'ici 2050 par rapport au niveau de 1990. L'objectif de l'étude est de déterminer les politiques publiques à mettre en oeuvre pour atteindre ce Facteur 4 compte tenu de la disponibilité de la capture et du stockage du carbone issu d'énergie fossile (CSC) et de biomasse (BCSC). Nous évaluons les effets de l'introduction de la contribution climat-énergie (CCE) envisagée par le Grenelle de l'environnement et nous comparons l'efficacité économique d'une panoplie d'instruments grâce à un modèle d'équilibre général calculable. L'étude montre que la CCE proposée engendre un ralentissement de l'activité économique et que les instruments les plus économiquement efficaces sont ceux qui permettent également de développer la CSC et la BCSC, notamment la taxe carbone dont les revenus sont recyclés pour subventionner la BCSC.
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Monetary Policy and Credit Cycles: A DSGE Analysis
The recent fi nancial crisis revealed several flaws in both monetary and fi nancial regulation. Contrary to what was believed, price stability is not a suffi cient condition for financial stability. At the same time, micro-prudential regulation alone becomes insu fficient to ensure the financial stability objective. In this paper, we propose an ex-post analysis of what a central bank could have done to improve the reaction of the economy to the financial bubble. We study by means of a fi nancial accelerator DSGE model the dynamics of our economy when the central bank has, fi rst, only traditional objectives, and second, when an additional financial stability objective is added. Overall, results indicate that a more aggressive monetary policy would have had little success in improving the response of the economy to the financial bubble, as the actions of the central bank would have remained limited by the use of a single instrument, the interest rate.
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Intertemporal poverty comparisons
The paper deals with poverty orderings when the value of multidimensional attributes can be compared on a same scale, such as with income of different types or from different members of the same household. The dominance criteria extend the power of earlier multidimensional dominance tests (see Duclos et al. 2006) by making (reasonable) assumptions on the relative marginal contributions of each dimensional attribute to poverty. The paper focuses on an important special case of this, that is comparisons of poverty over time. In contrast to earlier work on intertemporal poverty comparisons, this paper proposes procedures to check for whether poverty comparisons can be made robust to wide classes of aggregation procedures and to broad areas of intertemporal poverty frontiers.
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Horizontal and Vertical Technology Spillovers from FDI in Eastern Europe
The aim of our paper is to empirically estimate the direction and magnitude of technological spillovers from FDI using a plant level dataset of Romanian firms for the period 1999-2007. We use the Levinsohn Petrin (2003) methodology in order to estimate total factor productivity and compute several measures of spillover effect based on time varying Input-Output tables. We find local suppliers to benefit from positive backward spillovers while local clients are negatively affected by forward spillovers. Using several measure of absorptive capacity like human capital or R&D does not change our results. On the other hand, a large technological gap favors the capture of technological spillovers. Labor mobility is the only significant horizontal spillovers. We also find that labor mobility changes direction according to different human capital levels. We finally show that local firms buying inputs from FDI suppliers are negatively affected by a second order vertical spillover.
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Être keynésien au XXIe siècle : Patriotisme économique ou mondialisation keynésienne ?
In a 1933 text published by The Yale Review, John Maynard Keynes presents his arguments in favor of national self-sufficiency. He argues for the rejection of economic internationalism without control, and offers democratic countries adhering to the principles of political liberalism to implement the appropriate level of economic patriotism that maintains their social equilibrium and promotes an "ideal social republic" . While the crisis that began in 2008, which in many ways shows the limits of financial and real globalization without control, has revived Keynes teachings, this article produced a quite surprising echo. The challenge of this paper is precisely that it can be enlightening to analyze the issues of the current period in the light of this writing of Keynes, and of the positions he develops, to measure if, on this theme too, his thoughts remains current and insightful. The purpose of the communication is to identify the various arguments advanced by Keynes in his text and to analyze if they are current or obsolete. It is also to bring the argument, essentially intuitive, from that, more analytic, developed three years later in the General Theory. Finally, it is to show that the argumentation is part of the Keynes overall philosophy on economical, political and moral issues.
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The Impact of Restrictions in Trade in the Telecommunications: an Application to Middle East and North African Countries
Theoretically, welfare gains from liberalisation of trade in services arise from falling prices and technology transfers from foreign firms. Empirically, due to the role of the regulatory framework in barriers to trade in services ('behind-the-border' laws) substantial gains are only reached when entry of foreign firms is widened. We have a close look at the way impediments to trade in services affect cost-price margin in telecommunication in Middle East and North Africa (MENA) countries. First, we criticise the measurements of barriers in trade in services, which tend towards an overestimation. Second, we show that analyses bend to overvalue the impact of regulations on the cost-price margin in telecommunications for MENA countries, in line with inadequate econometric techniques or underestimation of the effect of technical progress. Therefore, the best way in terms of trade in services liberalisation is to opt for a flexible, qualitative interpretation of the quantitative results and rank ordering of countries.
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La structure du capital et la profitabilité : Une étude empirique sur données françaises en panel
L'objectif de cet article est d'analyser l'impact de la structure du capital sur la profitabilité. Cet impact peut être expliqué par trois théories essentielles: la théorie du signal, l'influence de la fiscalité et la théorie de l'agence. Nous montrons, à partir d'un échantillon de 9136 entreprises réparties sur sept secteurs prises sur la période 1999-2006, à l'aide d'une étude sur panel dynamique en utilisant la méthode des moments généralisée (GMM), qu'il y a une hétérogénéité des comportements entre les secteurs en ce qui concerne l'effet de la structure du capital sur la profitabilité. L'analyse empirique a permis de distinguer trois groupes différents de secteurs: pour le premier groupe (l'industrie, l'énergie et le service), la structure du capital n'a aucune incidence sur la profitabilité. Le deuxième groupe ne contient que le secteur de transport, c'est le groupe où l'endettement affecte négativement la profitabilité de manière linéaire. Le dernier groupe (l'agro alimentaire, la construction et le commerce) se caractérise par la présence d'un effet négatif de façon linéaire et non linéaire.
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Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation
In this paper we propose a multivariate dynamic probit model. Our model can be considered as a non-linear VAR model for the latent variables associated with correlated binary time-series data. To estimate it, we implement an exact maximum-likelihood approach, hence providing a solution to the problem generally encountered in the formulation of multivariate probit models. Our framework allows us to apprehend dynamics and causality in several ways. Furthermore, we propose an impulse-response analysis for such models. An empirical application on three nancial crises is nally proposed.
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CANNON WAS RIGHT BUT INCOMPLETE: FRANKEL WAS A NEGLECTED EARLY CONTRIBUTION TO GROWTH THEORY
This paper reexamines an important early contribution to the growth literature highlighted in 2000 by Cannon in the American Economic Review: "The production function in allocation and growth: A synthesis" by Marvin Frankel in 1962. First this contribution provides a formal proof in the continuous time framework of trajectories that are not provided by Frankel and Cannon. Second it shows that in this framework poverty traps are possible while it was not detected by these authors.
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Unit labor cost and productivity recovery under non neutral technical change
This document proposes a new decomposition of unit labor cost changes (ULC) in terms of efficiency, technical progress and capital deepening. This decomposition is applied to data for western European countries and the US. Results show that sustained growth rates of labor compensation and poor labor productivity gains lead to large losses in cost competitiveness. The poor productivity performance is explained by low technical progress and even technical regress. In addition, it is shown that labor intensive technical change results in positive efficiency changes while capital intensive technical changes improves overall technical change. Last, when technical change is capital intensive cost competitiveness losses are lower.
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Coping with the Recent Financial Crisis, did Inflation Targeting Make Any Difference?
The effects of the 2008/2009 financial crisis went largely among the financial markets and hit the real economy, generating one of the greatest global economic shocks. The aim of this study is to investigate whether inflation targeting has made a difference during this crisis. We first present some arguments suggesting that inflation targeters can be expected to do better when facing a global shock. Applying difference in difference in the spirit of Ball and Sheridan (2005), we assess the difference between targeters and non-targeters and find that there is no significant difference concerning inflation rate and GDP growth. However, the rise in interest rates and inflation volatility during the crisis has been significantly less pronounced for targeters.
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A new unit labour cost changes decomposition Four pillars of cost competitiveness recovery
This article presents a new decomposition of unit labour costs into compensation per worker and labour productivity, which, in turn, is decomposed into e ffciency gains, technical progress and capital deepening. Data for Western European countries and the US show that the evolution of labour productivity components counteracts the deterioration in countries' cost competitiveness caused by increases in nominal wages. The policy implication is that e fforts aimed at reducing nominal labour costs should be accompanied by policies fostering capital deepening. Further improvements in countries' cost competitiveness can be achieved by enhancing efficiency gains and technical progress, which has been mostly negative during the period under study.
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A simple Empirical Measure of Central Bank's Conservatism
In this paper we suggest a simple empirical and model independent measure of Central Banks' Conservatism, based on the Taylor curve. This new indicator can easily be extended in time and space, whatever the underlying monetary regime of the considered countries. We demonstrate that it evolves in accordance with the monetary experiences of 32 OECD member countries from 1980, and is largely equivalent to the model-based measure provided by Krause & M endez [Southern Economic Journal, 2005]. We nally bring forward the interest of such an indicator for further empirical analysis dealing with the preferences of Central Banks.
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L'approche économique des transitions énergétiques et l'innovation environnementale : une application au CCS et au BCCS
Si les innovations environnementales vont être amenées à jouer un rôle décisif dans les transitions énergétiques, leur mise en oeuvre n'a rien de spontané et nécessite de faire appel à des schémas incitatifs crédibles et des mesures réglementaires fortes. Les techniques en jeu sont en effet lourdes, engageant des externalités de réseau et des économies d'échelle, avec une forte incertitude technique et économique. Dans le domaine des transitions énergétiques le progrès technique peut aboutir ainsi à des " effets de rebond ", l'amélioration de l'efficience énergétique d'une technique pouvant prolonger son utilisation et retarder l'adoption de techniques permettant de réduire plus drastiquement l'intensité en carbone de l'économie. Les techniques de capture et de stockage de carbone, à partir d'énergie fossile (CCS) ou de biomasse (BECCS) apparaissent de ce point de vue comme un moyen de rendre compatible l'utilisation des énergies fossiles avec la réduction des émissions de gaz à effet de serre. Elles n'échappent aux contraintes décrites précédemment, auxquelles il faut ajouter celles pesant sur le prix du carbone évité, sur leur statut réglementaire, et leur acceptabilité. En tout état de cause l'intégration de ces techniques reste une priorité pour les systèmes nationaux d'innovation.
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Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests
In this paper we propose a new tool for backtesting that examines the quality of Value-at- Risk (VaR) forecasts. To date, the most distinguished regression-based backtest, proposed by Engle and Manganelli (2004), relies on a linear model. However, in view of the di- chotomic character of the series of violations, a non-linear model seems more appropriate. In this paper we thus propose a new tool for backtesting (denoted DB) based on a dy- namic binary regression model. Our discrete-choice model, e.g. Probit, Logit, links the sequence of violations to a set of explanatory variables including the lagged VaR and the lagged violations in particular. It allows us to separately test the unconditional coverage, the independence and the conditional coverage hypotheses and it is easy to implement. Monte-Carlo experiments show that the DB test exhibits good small sample properties in realistic sample settings (5% coverage rate with estimation risk). An application on a portfolio composed of three assets included in the CAC40 market index is nally proposed.
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Une évaluation économique du risque de modèle pour les investisseurs de long-terme
Les récents épisodes de turbulence financière sont venus remettre en cause la précision des mesures classiques de risque pour évaluer les risques extrêmes. Ces mesures de risques, telles que la VaR, sont devenues incontournables dans la gestion des risques et l'allocation d'actifs (Basak et Shapiro [2001] ; Monfort [2008]). Nous estimons le risque de modèle des mesures de risque et nous évaluons son impact sur l'allocation d'actifs optimale à différents horizons. Nos résultats montrent, sur des données longues américaines, une relation en U-inversé entre notre mesure du risque de modèle sur les VaR historiques et l'horizon de l'agent représentatif, qui impacte sensiblement son allocation optimale.
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Emprise de la gestion et violence symbolique
Après deux décennies de montée en puissance du néo-libéralisme, la dégradation des conditions de travail est dénoncée par de nombreux observateurs : certains parlent de " violence au travail ", en mettant l'accent sur les dimensions sociopolitiques et socio-économiques structurant les univers professionnels. Cet article s'inscrit dans cette perspective et rend plus particulièrement compte du rôle que joue la dynamique de gestionnarisation dans l'exercice de la violence au travail. L'article s'appuie sur deux situations emblématiques : le travail dans les Centres d'appels et la mise en œuvre d'un dispositif de gestion " total ", le Balanced Scorecard dans une multinationale. Il montre que les violences liées au fait gestionnaire se manifestent sur trois niveaux articulés. A un premier niveau, cette violence résulte des transformations macro-politiques qui rendent incontournables l'introduction et le renouvellement des dispositifs de gestion. A un deuxième niveau, la violence s'exerce autour de la mise en œuvre des dispositifs gestionnaires. Enfin, à un troisième niveau, se manifeste une violence symbolique qui sous-tend les pratiques des différentes catégories d'acteur. L'imbrication entre ces niveaux amène une majorité d'acteurs à adopter une attitude de résignation : il ne serait pas possible de s'émanciper de la gestion. Un tel constat permet de mieux cibler le lieu et le mode d'action pour sortir de la violence au travail.
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How to evaluate an Early Warning System ?
This paper proposes an original and uni ed toolbox to evaluate nancial crisis Early Warning Systems (EWS). It presents four main advantages. First, it is a model free method which can be used to asses the forecasts issued from di erent EWS (probit, logit, markov switching models, or combinations of models). Second, this toolbox can be applied to any type of crisis EWS (currency, banking, sovereign debt, etc.). Third, it does not only provide various criteria to evaluate the (absolute) validity of EWS forecasts but also proposes some tests to compare the relative performance of alternative EWS. Fourth, our toolbox can be used to evaluate both in-sample and out-of-sample forecasts. Applied to a logit model for twelve emerging countries we show that the yield spread is a key variable to predict currency crises exclusively for South-Asian countries. Besides, the optimal cut-o correctly allows us to identify now on average more than 2/3 of the crisis and calm periods.
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Is Public Capital Really Productive? A Methodological Reappraisal
We present an evaluation of the main empirical approaches used in the literature to estimate the contribution of public capital stock to growth and private factors' productivity. Based on a simple stochastic general equilibrium model, built as to reproduce the main long-run relations observed in US post-war historical data, we show that the production function approach may not be reliable to estimate this contribution. Our analysis reveals that this approach largely overestimates the public capital elasticity, given the presence of a common stochastic trend shared by all non-stationary inputs.
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Testing for Granger Non-causality in Heterogeneous Panels
This paper proposes a very simple test of Granger (1969) non-causality for hetero- geneous panel data models. Our test statistic is based on the individual Wald statistics of Granger non causality averaged across the cross-section units. First, this statistic is shown to converge sequentially to a standard normal distribution. Second, the semi- asymptotic distribution of the average statistic is characterized for a fixed T sample. A standardized statistic based on an approximation of the moments of Wald statistics is hence proposed. Third, Monte Carlo experiments show that our standardized panel statistics have very good small sample properties, even in the presence of cross-sectional dependence.
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RunMyCode.org: a novel dissemination and collaboration platform for executing published computational results
We believe computational science as practiced today suffers from a growing credibility gap - it is impossible toreplicate most of the computational results presented at conferences or published in papers today. We argue that this crisis can be addressed by the open availability of the code and data that generated the results, in other words practicing reproducible computational science. In this paper we present a new computational infrastructure called RunMyCode.org that is designed to support published articles by providing a dissemination platform for the code and data that generated the their results. Published articles are given a companion webpage on the RunMyCode.org website from which a visitor can both download the associated code and data, and execute the code in the cloud directly through the RunMyCode.org website. This permits results to be verified through the companion webpage or on a user's local system. RunMyCode.org also permits a user to upload their own data to the companion webpage to check the code by running it on novel datasets. Through the creation of "coder pages" for each contributor to RunMyCode.org, we seek to facilitate social network-like interaction. Descriptive information appears on each coder page, including demographic data and other companion pages to which they made contributions. In this paper we motivate the rationale and functionality of RunMyCode.org and outline a vision of its future.
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Extreme Financial Cycles
This paper proposes a new approach to date extreme financial cycles. Elaborating on recent methods in extreme value theory, it elaborates an extension of the famous calculus rule to detect extreme peaks and troughs. Applied on United-States stock market since 1871, it leads to a dating of these exceptional events and calls for adequate economic policies in order to tackle them.
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A Theoretical and Empirical Comparison of Systemic Risk Measures: MES versus CoVaR
We derive several popular systemic risk measures in a common framework and show that they can be expressed as transformations of market risk measures (e.g., beta). We also derive conditions under which the different measures lead to similar rankings of systemically important financial institutions (SIFIs). In an empirical analysis of US financial institutions, we show that (1) different systemic risk measures identify different SIFIs and that (2) firm rankings based on systemic risk estimates mirror rankings obtained by sorting firms on market risk or liabilities. One-factor linear models explain most of the variability of the systemic risk estimates, which indicates that systemic risk measures fall short in capturing the multiple facets of systemic risk.
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Co-Movements of Business Cycles in the Maghreb: Does Trade Matter?
Over the past two decades, the Maghreb Countries have initiated a liberalization process characterized by increasing trade flows and they have strengthened economic and financial linkages between their economies. In this paper, we demonstrate how co-movements of outputs would respond to this integration process. The nature of this relationship seems to be important for these countries because the decision to join an economic and monetary union would depend on how the union affects trade an co-movements. To this end, we estimate a panel model describing the effect of trade intensity on business cycles correlation over the period 1980-2005. Thereafter, to check the robustness of the results, we add many control variables commonly described in the literature. We use three estimation techniques: pooled OLS, fixed vs. random effects as well as 2SLS estimations. Our main results suggest that while trade intensity may help to harmonize business cycles in Maghreb countries, the magnitude of this harmonization is lower than for industrial countries. Moreover, intra-industry trade causes a reverse -counterintuitive- effect. Many lessons are thereby learned.
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Does soft information matter for financial analysts' forecasts? A gravity model approach
We study whether the financial analysts' concern to maintain good relationships with firms' managers in order to preserve their access to 'soft' qualitative information entice them to issue pessimistic or optimistic forecasts. We use a gravity model approach to firmsanalysts relationships and propose a measure of soft information. Our database contains the one-year ahead EPS forecasts issued by 4 648 analysts about 241 French firms (1997-2007). We find that a low (high) pair-effect is associated with a low (high) forecast error. This suggests that pessimism and optimism result from analysts' concern to preserve access to soft information released by managers.
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Uncertainty about long term climate targets: A real option approach to investment appraisal
This article analyses how investors cope with carbon price uncertainty on the long run. More precisely, we assume that climate targets are not well established, so decision makers do not know if climate policy will be highly or moderately restrictive. It means that the long run carbon price drift is uncertain. However, there is a progressive resolution of this uncertainty. A real option analysis is conducted, in the case of a Carbon Capture and Storage (CCS) project appraisal. We show that this additional uncertainty decreases investment probability, but does not lead to a lag of investment, as generally assumed in real option literature.
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Biomass and CCS: The influence of the learning effect
The combination of bioenergy production and Carbon Capture and Storage technologies (BECCS) provides an opportunity to create negative emissions in biofuel production. However, high capture costs reduce profitability. This article investigates carbon price uncertainty and technological uncertainty through a real option approach. We compare the cases of early and delayed CCS deployments. An early technological progress may arise from aggressive R&D and pilot project programs, but the expected cost reduction remains uncertain. We show that this approach results in lower emissions and more rapid investment returns, although these returns will not fully materialise until after 2030. In a second set of experiments, we apply an incentive that prioritises sequestered emissions rather than avoided emissions. In other words, thiseconomic instrument does not account for CO2 emissions from the CCS implementation itself but rewards all the sequestered emissions. In contrast with technological innovations, this grant is certain for the investor. The resulting investment level is higher, and the project may become profitable before 2030. However, BECCS in bioethanol production does not seem to be a short term solution in our framework, whatever the carbon price drift.
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Quel objectif pour la dette publique à moyen terme ?
Avec la crise financière, les gouvernements des pays industrialisés ont lancé d'importants programmes de stimulation de la demande et ont été contraints à recapitaliser les banques et à prendre à leur compte une grande partie des dettes des institutions financières défaillantes. En conséquence, les niveaux de dette publique ont fortement augmenté, et ils vont probablement continuer à le faire dans un futur proche dans les pays de l'OCDE. Cependant, il n'y a pas de consensus sur les effets d'une dette publique, même élevée, sur l'économie. Cet article examine les contributions théoriques à ce débat. Nous nous interrogeons d'abord sur l'éventuelle existence d'une cible souhaitable de dette publique, puis nous nous intéressons aux deux plus grands risques associés à la dette publique à long terme : son impact sur la croissance et sur la stabilité du policy mix.
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Dette publique, croissance et bien-être : une perspective de long terme
Nous proposons un modèle théorique simple permettant de prendre en compte l'existence de régimes d'endettement de long terme, en accord avec les faits saillants observés en longue période. Nous nous intéressons particulièrement aux effets d'une hausse permanente de la dette publique sur la croissance à long terme, et nous montrons que ces effets, toujours négatifs (on nuls), dépendent dans leur ampleur de la variable d'ajustement à la charge de la dette dans la contrainte budgétaire de l'Etat. Enfin, nous montrons qu'au contraire des effets sur la croissance, les effets sur le bien-être à long terme d'une hausse permanente de la dette publique peuvent être positifs. Nous en déduisons l'existence d'un seuil optimal pour le ratio de dette publique au PIB.
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Which policy-mix to mitigate the effects of financial heterogeneity in a monetary union?
This paper aims to study a suitable policy-mix for a monetary union like the euro area, in a context of financial heterogeneity. It relies on a DSGE model with empirically-justified heterogeneous bank capital channel, with financial shocks, in addition to monetary, budgetary and technological ones. The analysis leads to the following conclusions. A centralized monetary policy appears to be more advantageous for the union than an alternative inflation-divergences oriented policy. Besides, national budgetary policies can mitigate cyclical divergences. Nevertheless, the exam of various policy-mixes indicates that the superiority of a cooperative budgetary regime only relies on the fact that it allows a better stabilization of public spending divergences in the Union. On the other hand, national variables are less stabilized under this regime. These results are finally discussed in light of the subprime mortgage crisis context.
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Providing adequate economic incentives for bioenergies with CO2 capture and geological storage
Knowing that carbon capture and storage (CCS) could play an important role in reducing CO2 emissions, it is important to have a good understanding of this role and the importance of environmental policies to support carbon capture and geological storage from bioenergies (BECCS). To date CCS technologies are not deployed on a commercial level, and policy instruments should be used to provide incentives to firms to use these technologies to reduce pollution. The aim of this paper is to compare the cost-efficiency of several incentive-based instruments (a fossil fuel tax, an emissions tax, a cap and trade system that recognize negative emissions, and a subsidy on captured emissions) needed to spur the adoption of CCS of the emissions from fossil fuel as well as from biomass, using a dynamic general equilibrium model. The study shows that BECCS will be deployed only if a specific subsidy per unit of biomass emissions captured with a CCS technology is available. We show also that the two most cost-efficient instruments for achieving a given emissions reduction target are a specific subsidy that rewards captured emissions and a carbon tax whose revenues are recycled to subsidize BECCS.
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Décomposition de l'indice de productivité de Malmquist : une application sur un échantillon des pays africains producteurs de coton
Cet article traite de la décomposition de l'indice de productivité de Malmquist des pays africains producteurs de coton par la méthode d'enveloppement des données. L'auteur a pu calculer sur un échantillon de 17 pays sur la période 1990-2009 les taux moyens de croissance de productivité, 6.2% pour la productivité totale des facteurs, 4.8% pour l'efficacité technique, 1.3% pour le progrès technique. L'efficacité technique se décompose en 1,8% pour l'efficacité technique pure et 3% pour l'efficacité d'échelle. Une des conclusions importante est que la productivité totale est expliquée davantage par l'efficacité technique que par le progrès technique. L'amélioration de l'efficacité technique est générée plus davantage par l'efficacité d'échelle que par l'efficacité technique pure. Ces résultats ont suscité des recommandations de politiques économiques tendant à améliorer la productivité du secteur cotonnier africain.
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Les PME et le Développement durable
Cette étude vise à déterminer les pratiques des PME de la Région en Centre dans le domaine du développement durable et de la responsabilité sociale des entreprises (RSE). Si les chefs d'entreprises déclarent massivement mener leurs projets dans une optique de développement durable, l'étude révèle une méconnaissance des outils utilisables, des aides existantes et des partenariats institutionnels. L'enquête indique par ailleurs que les entreprises concentrent leurs actions dans les domaines où les obligations légales sont fortes, suggérant de possibles complémentarités entre législation et engagement volontaire des firmes. Le niveau d'engagement n'est pas différent entre les très petites entreprises et les PME de plus de 20 salariés mais le niveau d'information est beaucoup plus parcellaire pour les TPE. Enfin, l'aide économique aux entreprises ne se traduit pas par un niveau d'engagement plus fort même si la connaissance des mécanismes institutionnels apparaît supérieur pour ces entreprises.
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Assessing the Effects of Financial Heterogeneity in a Monetary Union : A DSGE Approach
The aim of this article is to analyze how financial heterogeneity can accentuate the cyclical divergences inside a monetary union that faces technological, monetary and financial shocks. To this purpose, this study relies on a two-country Dynamic Stochastic General Equilibrium model, where the two countries are supposed to be differently sensitive to the bank capital channel. The model allows us to demonstrate how a given symmetric shock causes cyclical divergences inside a heterogeneous monetary union. On this point, it allows reproducing some stylized facts recently observed in the UE. Moreover, it appears that the more heterogeneous the union, the larger the effects of financial asymmetries on the transmission of shocks. Finally, we show that a common monetary policy contributes to worsen cyclical divergences, in comparison with monetary policies that would be nationally conducted.
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Multinational Firm Behaviour under Country Risk In the riskiest Countries
This paper investigates the nature of the relationship between direct investment and country risk in southern countries, especially developing countries (vertical investment). Using a theoretical model, we show that a necessary condition exists and is sufficient for business risk to determine the entrepreneur's strategy to undertake an investment project if the mover-owner advantage exists in a country with risk. A Multinational Enterprise can invest in a big number of countries if the gains from invest are higher than country risk cost. The proposed model can be seen as an extension of Lehmann (1999) and Markusen (2004). This model makes the hypothesis that the MNE can only invest under a necessary and sufficient condition to achieve this investment project. This only choice is the condition of investment. The extension of this model is to illustrate under what conditions, a MNE will establish a foreign subsidiary in a risky world. The firm confronts itself to a choice between the investment opportunities and the risk in developing countries.
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Deficit, Seigniorage and the Growth Laffer Curve in developing countries
The endogenous growth literature has established the existence of an inverted-U curve between taxes and economic growth, namely a Growth Laffer Curve (GLC). We develop a growth model with public investment as the engine of perpetual growth, and look for the effect of deficit, tax and money financing on economic growth. We study in particular the way fiscal and monetary policies (through deficit and seigniorage respectively) deform the GLC. An empirical section based on a panel of developing countries provides GMM-system estimators that support our theoretical conclusions.
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Disinflation against the Environment? An application to the trade-off between seigniorage and deforestation
The forest still covers an important share of land area in many developing countries and represents an important source of revenue for governments. Another major contribution to government revenues comes from printing money, namely the seigniorage. Building on a simple theoretical model where governments target inflation and aim at reducing deforestation while minimising a welfare loss function, we exhibit the potential substitution effect between seigniorage and deforestation revenues. Regressions run on a panel of developing countries show that there exists a non-negligible substitution effect between seigniorage and deforestation revenues, which is, as suggested by the theoretical model, even stronger if the endogenous character of seigniorage is taken into account. Adding variables suggested by the theoretical model as well as usual control variables in deforestation equations, do not alter the main result. As a consequence, disinflation policies as recommended by the IMF, may hasten deforestation. The model is extended to address this problem, which shows that international transfers dedicated to rainforest protection may upturn the positive correlation between tighter monetary policies and deforestation and give some additional support to REDD's advocates.
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Gender Discrimination and Emigration: Push Factor Versus Screening Process Hypothesis
This article aims at providing an empirical test in order to choose between two theories. The first theory is that gender discrimination in origin countries can be a push factor for women and therefore that a reduction in discrimination can reduce the flow of female migrants. The other theory is that gender discrimination may create a " gender bias " in the selection of migrants by a collective entity like the family or the village. We show that in the latter case, a reduction in discrimination leads to an increase of skilled women migration. The paper also provides an original index of gender discrimination based on principal component analysis. Finally the empirical analysis enables us to reject the " push factor " theory and to accept the " screening process " hypothesis. All things being equal, improving gender equality at the workplace is positively correlated with the migration of women (especially the high-skilled) and negatively correlated with the migration of men (especially the low-skilled). This result is robust to several specifications and several measurements of gender equality.
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Testing interval forecasts: a GMM-based approach
This paper proposes a new evaluation framework for interval forecasts. Our model free test can be used to evaluate intervals forecasts and High Density Regions, potentially discontinuous and/or asymmetric. Using a simple J-statistic, based on the moments de ned by the orthonormal polynomials associated with the Binomial distribution, this new approach presents many advantages. First, its implementation is extremely easy. Second, it allows for a separate test for unconditional coverage, independence and conditional coverage hypotheses. Third, Monte-Carlo simulations show that for realistic sample sizes, our GMM test has good small-sample properties. These results are corroborated by an empirical application on SP500 and Nikkei stock market indexes. It con rms that using this GMM test leads to major consequences for the ex-post evaluation of interval forecasts produced by linear versus nonlinear models.
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L'importance des "réseaux d'entreprises" dans la mobilité sectorielle des salariés
La mobilité professionnelle est la plupart du temps décrite avec les caractéristiques des salariés plutôt qu'avec les caractéristiques des entreprises. L'appariement de plusieurs bases de données administratives et d'enquêtes nous permet de construire un fichier qui prend en compte le rôle de l'hétérogénéité des entreprises dans la mobilité des salariés. Cet article s'intéresse notamment à la mobilité inter et intrasectorielle des salariés, et sa contribution porte sur trois points. Dans un premier temps, nous décrivons ces mobilités, car très peu de travaux décrivent les mobilités entre secteurs et au sein des secteurs d'activités. D'autre part, dans la plupart des études on n'observe que les flux entrants et sortants. Le fichier apparié que nous avons construit nous permet de suivre le salarié de son entreprise de départ vers son entreprise d'arrivée. Enfin, nous montrons que les salariés ont tendance à changer d'emploi entre entreprises qui ont certaines caractéristiques observables similaires (taille, localisation géographique, liens financiers et taux de croissance), lorsqu'ils restent dans le même secteur d'activité.
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Assessing the Potential Strength of a Bank Capital Channel in Europe: A Principal Component Analysis
The asymmetric impact of the recent financial crisis on the European countries' real activity raised the question of the heterogeneity of the transmission channels of shocks in the euro area. In this article, we suggest an assessment of this heterogeneity based on the banks' capital channel (BCC). To this end, we follow an original and global perspective, studying the combination of several key indicators through a Principal Component Analysis (PCA). Based on data collected before the beginning of the crisis, the analysis identifies Germany and Italy as the European economies a priori the most exposed to a financial shock passing through the BCC, while Finland, France or Spain would be the least exposed. The comparison of these a priori results to the post-crisis economic performance of the largest European countries supports the idea of a heterogeneous bank capital channel inside the union.
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Herding by institutional investors: empirical evidence from French mutual funds
In this paper, we use the traditional herding measure of Lakonishok, Shleifer and Vishny (1992) (LSV indicator) and a more recent measure by Frey, Herbst and Walter (2007) (FHW indicator) in order to assess the intensity of herding by French equity mutual funds and to compare it to institutional herding in other stock markets. We show that when measured with the LSV indicator, institutional herding by French equity funds amounts to 6.5%, which is larger than those reported by other empirical studies on developed stock markets. Our ndings also suggest that herding does not monotonically rises with the number of investors trading on a stock-quarter. We also obtain that FHW herding levels are about 2.5 times stronger than those obtained with the traditional LSV measure. Our other results are consistent with those reported by most previous works on developed stock markets. In particular, we observe that herding is stronger in small capitalization than in medium and large capitalization. Moreover herding turns out to be more severe among foreign stocks than among UE-15 or French stocks. Finally, French institutional investors practice feedback strategies: they buy past winners and sell past losers
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On the Impacts of Crisis on the Risk Premium: Evidence from the US Stock Market using a Conditional CAPM
This article investigates the evolution of the US risk premium in periods of crisis. First, we estimate a conditional CAPM with time-varying systematic risk and price of risk using a multivariate GARCH-in-Mean model. Second, we study the structural breaks in the US risk premium. Finally, we relate the obtained results to important facts and economic events. Our findings show that the US risk premium increased significantly during periods of crisis and that the last 2007-2009 financial crisis has had the largest impact.
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Les effets des fluctuations du prix du pétrole sur les marchés boursiers dans les pays du Golfe.
Ce travail utilise les techniques récentes de cointegration en panel et la méthode d'estimation SUR pour tester l'existence d'une relation de long terme entre le prix du pétrole et le cours des actions dans les pays du Conseil de Coopération du Golfe (CCG). Ces pays étant des acteurs majeurs du marché mondial de l'énergie, leurs marchés boursiers devraient être sensibles aux chocs affectant le prix du pétrole. En utilisant une base de données mensuelle couvrant la période allant de janvier 1996 à décembre 2007, notre étude met en évidence, d'une part l'existence d'une relation de cointégration entre le prix du pétrole et le cours des actions dans les pays du CCG, d'autre part, les estimations SUR indiquent que les augmentations du prix du pétrole ont un impact positif sur les rentabilités boursières, sauf en Arabie Saoudite.
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What can we tell about monetary policy synchronization and interdependence over the 2007-2009 global financial crisis?
We investigate the synchronization and nonlinear adjustment dynamics of short-term interest rates for France, the UK and the US using the bi-directional feedback measures proposed by Geweke (1982) and appropriate smooth transition error-correction models (STECM). We find strong evidence of continual increases in bilateral synchroni-zation of these rates from 2005 to 2009 as well as of their lead-lag causal interactions with a slight dominance of the US rate. Our results also indicate that short-term interest rates converge towards a common long-run equilibrium in a nonlinear manner and their time dynamics exhibit regime-switching behavior.
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Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models
This paper investigates whether structural breaks and long memory are relevant features in modeling and forecasting the conditional volatility of oil spot and futures prices using three GARCH-type models, i.e., linear GARCH, GARCH with structural breaks and FIGARCH. By relying on a modified version of Inclan and Tiao (1994)'s iterated cumulative sum of squares (ICSS) algorithm, our results can be summarized as follows. First, we provide evidence of parameter instability in five out of twelve GARCH-based conditional volatility processes for energy prices. Second, long memory is effectively present in all the series considered and a FIGARCH model seems to better fit the data, but the degree of volatility persistence diminishes significantly after adjusting for structural breaks. Finally, the out-of-sample analysis shows that forecasting models accommodating for structural break characteristics of the data often outperform the commonly used short-memory linear volatility models. It is however worth noting that the long memory evidence found in the in-sample period is not strongly supported by the out-of-sample forecasting exercise.
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Time-varying Predictability in Crude Oil Markets: The Case of GCC Countries
This paper uses a time-varying parameter model with generalized autoregressive conditional heteros-cedasticity effects to examine the dynamic behavior of crude-oil prices for the period 1997-2008. Using data from four countries of the Gulf Cooperation Council, we find evidence of short-term pre-dictability in oil-price changes over time, except for several short sub-periods. However, the hypothe-sis of convergence towards weak-form informational efficiency is rejected for all markets. In addition, we explore the possibility of structural breaks in the time-paths of the estimated predictability indices and detect only one breakpoint, for the oil markets in Qatar and United Arab Emirates. Our empirical results therefore call for new empirical research to further gauge the predictability characteristics and the determinants of oil-price changes.
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Oil Prices, Stock Markets and Portfolio Investment: Evidence from Sector Analysis in Europe over the Last Decade
This article extends the understanding of oil–stock market relationships over the last turbulent decade. Unlike previous empirical investigations, which have largely focused on broad-based market indices (national and/or regional indices), we examine short-term linkages in the aggregate as well as sector by sector levels in Europe using different econometric techniques. Our main findings suggest that the reactions of stock returns to oil price changes differ greatly depending on the activity sector. In the out-of-sample analysis we show that introducing oil asset into a diversified portfolio of stocks allows to significantly improve its risk-return characteristics.
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Global financial crisis, liquidity pressure in stock markets and efficiency of central bank interventions
In this article, we investigate the hypothesis of efficiency of central bank intervention policies within the current global financial crisis. We firstly discuss the major existing interventions of central banks around the world to improve liquidity, restore investor confidence and avoid a global credit crunch. We then evaluate the short-term efficiency of these policies in the context of the UK, the US and the French financial markets using different modelling techniques. On the one hand, the impulse response functions in a Structural Vector Autoregressive (SVAR) model are used to apprehend stock market reactions to central bank policies. On the other hand, since these reactions are likely to be of an asymmetric and nonlinear nature, a two-regime Smooth Transition Regression-Generalized Autoregressive Conditional Heteroscedasticity (STR-GARCH) model is estimated to explore the complexity and nonlinear responses of stock markets to exogenous shifts in monetary policy shocks. As expected, our findings show strong repercussions from interest rate changes on stock markets, indicating that investors keep a close eye on central bank intervention policies to make their trading decisions. The stock markets lead monetary markets, however, when central banks are slow to adjust their benchmark interest rates
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Synchronization and nonlinear interdependence of short-term interest rates:
In this paper we investigate the synchronization and nonlinear adjustment process of short-term interest rates for France, the US and the UK using the bi-directional feedback measures proposed by Geweke (1982).and appropriate smooth transition error-correction models (STECM). We find strong evidence of continual increases in bilateral synchronization of these interest rates from 2005 to 2009 as well as of their lead-lag causal interactions with a slight dominance of the US rate. Consistently, exogenous shifts in the US rate are found to lead those in France and the UK within a very short time spans from one to two days. Results from nonlinear modeling indicate that short-term interest rates converge towards a common equilibrium in the long-run in a nonlinear manner in that their time dynamics exhibit regime-switching behavior.
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Measuring herding intensity: a hard task
This paper addresses the traditional Lakonishok, Shleifer and Vishny (LSV) herding measure and points out its lack of internal consistency. Frey, Herbst and Walter (2007) have shown by empirical simulations that LSV is biased. We provide a formal explanation of this bias and propose a more appropriate measure of herding. We then turn to the properties of the new indicator proposed by Frey, Herbst and Walter (2007): we show that it is accurate only under very strong assumptions, and propose a corrected version of their indicator. We also show that the real herding value is within an interval bounded by LSV and FHW. Finally, as both corrected measures require a prior knowledge of some parameters of the distribution, we conclude that measuring accurately herding intensity is a much more difficult task than considered up to now in the empirical literature.
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Migration and Trade Union Rights
We study in this paper both theoretically and empirically the influence of trade union rights in origin countries on bilateral migration flows. Theoretically, we propose two complementary models. In the first model, trade union rights are supposed to increase the bargaining power of workers. We model these rights as a transfer from high-skilled workers to low-skilled workers, assuming that this latter category of workers will benefit more from freedom of association and collective bargaining. However, we do have to take into account the large extent of informal economy in lots of developing countries. If trade union rights are only enforced in the formal sector, workers from this sector will benefit from a wage premium. The most qualified will then be the first winners of an improvement of such rights if they are more employed in the formal sector. We then propose different alternative indexes measuring trade union rights. We find that, all things being equal, more trade union rights tend to be associated with less migration of low-skill and high-skilled workers. Effects are not significant for intermediate skill level. Lastly, we show that social tensions may have the opposite effect. If trade union rights are associated with more social instability, it may increase the level of migration. It emphasizes the importance of social dialogue.
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How to regulate a financial market? The impact of the 1893-1898 regulatory reforms on the Paris Bourse
Theoretical and historical experience suggests a financial centre may either include a single, consolidated and loosely regulated stock exchange attracting all intermediaries and actors, or a variety of exchanges going from strictly regulated to completely unregulated and adapted to the needs of different categories of intermediaries, investors and issuers. Choosing between these two solutions is uneasy because few substantial changes occur at this "meta-regulatory" level. The history of the Paris exchanges provides a good example, since two legal changes in opposite directions occurred in the late 19th century, when Paris was the second financial centre in the world. In 1893, a law threatened the existing two-exchanges equilibrium by diminishing the advantages of the more regulated exchange; in 1898, another law brought them back. We analyse the impact of these two changes on the competition between the exchanges in terms of securities listed, traded volumes and spreads. We conclude competition among exchanges is a delicate matter and efficiency is not always where one would think.
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Chômage partiel et disparition des établissements : une analyse à partir de données françaises
Selon la loi, le chômage partiel est un dispositif légal qui permettrait aux établissements d'éviter les licenciements économiques en cas de difficultés passagères. Dans une étude précédente, nous montrons que le recours au chômage partiel ne réduit pas les licenciements économiques mais semble en être annonciateur (Calavrezo, Duhautois, Walkowiak, 2009-a). Cependant, le chômage partiel pourrait préserver les établissements de la fermeture. Dans ce travail, nous explorons l'efficacité du dispositif du chômage partiel en lien avec la disparition des établissements. Le recours au chômage partiel n'est pas distribué aléatoirement dans la population des établissements, ce qui pose un problème de biais de sélection. Pour le contrôler, nous apparions six sources de données et nous testons empiriquement la relation à l'aide de modèles d'appariement sur le score de propension entre 2000 et 2005. En prenant en compte le biais de sélection, les résultats montrent qu'en moyenne les établissements qui ont recours au chômage partiel disparaissent plus fréquemment que ceux qui n'ont pas recours au dispositif.
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La prime de risque dans un cadre international : le risque de change est-il apprécié ?
In this article, we investigate whether exchange rate risk is priced. We use a multivariate GARCH-in-Mean specification and test alternative conditional international CAPM versions. Our results support strongly the international asset-pricing model that includes exchange rate risk for both developed and emerging stock markets. However, there are important time and cross-country variations in the relative size and dynamics of different risk premia.
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A la Recherche des Facteurs Déterminants de l'Intégration Internationale des Marchés Boursiers : une Analyse sur Données de Panel
The aim of this paper is to identify the determinants of international stock markets integration. Intuitively we selected a great number of factors linked to financial integration. Then, we developed an international asset-pricing model with time-varying degree of integration. This model is estimated for 30 countries (10 developed countries and 20 emerging countries) using panel data econometrics. In order to investigate whether the financial integration in emerging markets and that in developed markets react differently to the economic and financial innovations, we estimated the model as well jointly for all markets as separately for developed markets and emerging markets. Our results show that trade openness exerts a positive effect on financial integration across all markets, the global factors drive integration in developed markets whereas the factors related to economic and political stability affect financial integration in emerging markets.
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Structural Breaks in the Mexico's Integration into the World Stock Market
This article investigates the evolution of the Mexican stock market integration into the world market. First, we estimate the time-varying Mexican degree of market integration using an international conditional version of the CAPM with segmentation effects. Second, we study the structural breaks in this series. Finally, we relate the obtained results to important facts and economic events
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Unemployment and finance: how do financial and labour market factors interact?
Using data for 18 OECD countries over the period 1980-2004, we investigate how labour and financial factors interact to determine unemployment. We show that the impact of financial variables depends strongly on the labour market context. Increased market capitalization as well as decreased banking concentration reduce unemployment if the level of labour market regulation, union density and coordination in wage bargaining is low. The above financial variables have no effect otherwise. Increasing intermediated credit worsens unemployment when the labour market is weakly regulated and coordinated, whereas it reduces unemployment otherwise. These results suggest that the respective virtues of bank-based and market-based finance are crucially tied to the strength of labour regulation.
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The Short-Time Compensation Program in France: An Efficient Measure against Redundancies?
The short-time compensation (STC) program aims at avoiding redundancies in case of shortterm downturns. This paper investigates the relationship between the STC recourse and establishment redundancy behaviour over the period 1996-2004. We test panel data models with sample selection, endogenous explanatory variable and unobserved heterogeneity developed by Semykina and Wooldridge (2007). We work with an unbalanced panel which results from the matching of five administrative databases. Our panel includes more than 36,000 establishments with at least 50 employees and 204,000 observations. According to our results, the participation in the STC program does not protect from redundancies.
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On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses
This paper examines the short-run relationships between oil prices and GCC stock markets. Since GCC countries are major world energy market players, their stock markets may be susceptible to oil price shocks. To account for the fact that stock markets may respond nonlinearly to oil price shocks, we have examined both linear and nonlinear relationships. Our findings show that there are significant links between the two variables in Qatar, Oman, and UAE. Thus, stock markets in these countries react positively to oil price increases. For Bahrain, Kuwait, and Saudi Arabia we found that oil price changes do not affect stock market returns.
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Compétition entre fonds et prise de risque excessive : une application empirique au cas français
La théorie du tournoi a été appliquée au domaine de la gestion déléguée de portefeuille pour rendre compte de la compétition que se mènent les fonds de placement afin d'attirer les investisseurs et des prises de risque spécifiques qui pourraient en résulter. Dans cet article, nous évaluons ce phénomène dans le cas français, pour les OPCVM orientés actions françaises sur la période 1999-2004. Nous montrons que les fonds les plus performants au cours des trois premiers trimestres d'une année ont un comportement de prise de risque en fin d'année dépendant de la conjoncture des marchés financiers. Lorsque les marchés sont en phase de hausse, ils augmentent sensiblement le risque systématique de leur portefeuille en fin d'année, en particulier en introduisant dans celui-ci des titres plus risqués. En période de baisse au contraire, les fonds les plus performants n'augmentent pas leur risque systématique.
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Backtesting Value-at-Risk: A GMM Duration-Based Test
This paper proposes a new duration-based backtesting procedure for VaR forecasts. The GMM test framework proposed by Bontemps (2006) to test for the distributional assumption (i.e. the geometric distribution) is applied to the case of the VaR forecasts validity. Using simple J-statistic based on the moments defined by the orthonormal polynomials associated with the geometric distribution, this new approach tackles most of the drawbacks usually associated to duration based backtesting procedures. First, its implementation is extremely easy. Second, it allows for a separate test for unconditional coverage, independence and conditional coverage hypothesis (Christoffersen, 1998). Third, feasibility of the tests is improved. Fourth, Monte-Carlo simulations show that for realistic sample sizes, our GMM test outperforms traditional duration based test. An empirical application for Nasdaq returns confirms that using GMM test leads to major consequences for the ex-post evaluation of the risk by regulation authorities. Without any doubt, this paper provides a strong support for the empirical application of duration-based tests for VaR forecasts.
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Regional Growth and Convergence: Heterogenous reaction versus interaction in spatial econometric approaches
This paper presents various approaches dealing with heterogeneous reaction combined with interaction between neighboring units of observation developed in the spatial econometric literature, in the framework of cross-sectional models, and applied to the study of growth and convergence processes. We present the main econometric specifications capturing discrete or continuous spatial heterogeneity: the spatial regimes model and the locally linear, geographically weighted regression (GWR). We then examine how these specifications can be extended to further allow for spatial autocorrelation.
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Financial Development and Growth: A Re-Examination using a Panel Granger Causality Test
In this paper we investigate the causal relationship between financial development and economic growth. We use an innovative econometric method which is based on a panel test of the Granger non causality hypothesis. We implement various tests with a sample of 63 industrial and developing countries over the 1960-1995 and 1960-2000 periods. We use three standard indicators of financial development. The results provide support for a robust causality relationship from economic growth to the financial development. On the contrary, the non causality hypothesis from financial development indicators to economic growth can not be rejected in most of the cases. However, these results only imply that, if such a relationship exists, it can not be easily identified in a simply bi-variate Granger causality test.
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Threshold Effects in the Public Capital Productivity: An International Panel Smooth Transition Approach
Using a nonlinear panel data model, we examine the threshold effects in the productivity of the public capital stocks for a panel of 21 OECD countries observed over 1965-2001. Using the so-called "augmented production function" approach, we estimate various specifications of a Panel Smooth Threshold Regression (PSTR) model recently developed by Gonzalez, Teräsvirta and Van Dijk (2004). One of our main results is the existence of strong threshold effects in the relationship between output and private and public inputs: whatever the transition mechanism specified, tests strongly reject the linearity assumption. Moreover, this model allows cross-country heterogeneity and time instability of the productivity without specification of an ex-ante classification over individuals. Consequently, it is possible to give estimates of productivity coefficients for both private and public capital stocks at any time and for all the countries. Finally we proposed estimates of individual time varying elasticities that are much more reasonable than those previously published.
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Mesoscopic modelling of financial markets
We derive a mesoscopic description of the behavior of a simple financial market where the agents can create their own portfolio between two investments alternatives: a stock and a bond. The model is derived starting from the Levy-Levy-Solomon microscopic model using the methods of kinetic theory and consists of a linear Boltzmann equation for the wealth distribution of the agents coupled with an equation for the price of the stock. From this model under a suitable scaling we derive a Fokker-Planck equation and show that the equation admits a self-similar lognormal behavior. Several numerical examples are also reported to validate our analysis.
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Les technologies de l'information et de la communication : Vecteurs de diversification des pratiques culturelles ?
L'actualité illustre souvent la fragilité des modèles économiques sur les réseaux numériques, et en particulier, toute la difficulté à viabiliser la distribution numérique des biens culturels. Evaluer cette viabilité économique nécessite de prendre en compte non seulement des données techniques, stratégiques et juridiques, mais également de considérer la demande potentielle pour ces services. L'objectif de ce papier consiste à apporter quelques éléments d'appréciation de cette demande en identifiant des groupes de consommateurs par le croisement de leurs pratiques de consommation culturelle, leur équipement en TIC et les utilisations qu'ils en font. Pour cela, nous combinons deux méthodes de classification (CAH et CCM) et un modèle logit pour tester les déterminants d'appartenance aux profils croisés identifiés, à savoir des variables démographiques, de localisation et, de manière inédite, d'interactions sociales. Nous identifions cinq profils distincts allant des "univores" (des non-utilisateurs de TIC dont la pratique culturelle dominante est la télévision) aux "multi-omnivores" (des utilisateurs intensifs de TIC ayant des pratiques diversifiées de consommation culturelle). Les variables d'interaction sociale ainsi que les effets générationnels expliquent relativement bien ces différents profils. Nous concluons sur quelques remarques sur le déploiement des modèles économiques de distribution numérique de biens culturels.
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3-Step Analysis of Public Finances Sustainability: the Case of the European Union
We use a 3-step analysis to assess the sustainability of public finances in the EU27. Firstly, we perform the SURADF specific panel unit root test to investigate the meanreverting behaviour of general government expenditures and revenues ratios. Secondly, we apply the bootstrap panel cointegration techniques that account for the time series and cross-sectional dependencies of the regression error. Thirdly, we check for a structural long-run equation between general government expenditures and revenues via SUR analysis. While results imply that public finances were not unsustainable for the EU panel, fiscal sustainability is an issue in most countries, with a below unit estimated coefficient of expenditure in the cointegration relation.
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Are MCIs Good Indicators of Economic Activity ? Evidence from the G7 Countries
The aim of this article is to determine whether Monetary Condition Indices are useful indicators for future economic activity. First, two versions of MCI are successively studied (Long-term MCIs defined with long-term weights and standard MCIs like those built by the IMF). In-sample regressions, out-of-sample simulations and probit analysis (intended to determine the capacity of MCIs to announce downturns) indicate that the informational content of MCIs is very sporadic. We then try to identify the reasons for these poor results, focusing on the fact that MCIs do not take into account the dynamic characteristics of its components. So, as exchange rate, interest rates and asset prices affect the economic activity with different forces and with delayed responses, it seemed important to consider past evolutions of these variables, with relative weights varying for each lag considered. Proof of the importance of past shocks that are still "in the pipeline", we demonstrate that such a Dynamic-Weight MCI constitutes a better
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Innovation and skill upgrading: The role of external vs internal labour markets
Following technical and organisational changes, firms may react to increasing skill requirements either by training or hiring the new skills, or a combination of the two. Using matched datasets with about 1,000 French plants, we assess the relative importance of these external and internal labour market strategies. We show that skill upgrading following technological and organisational changes takes place mostly through internal labour markets adjustments. Consistently with the results in the literature, we find that new technologies and organisational changes are associated with an upward shift in the occupational structure within firms. We show that about one third of the upgrading of the occupational structure is due to hiring and firing workers on the external labour market, whereas two-thirds are due to promotions. Moreover, we find no compelling evidence of external labour market strategies based on "excess turnover". In contrast, French firms heavily rely on training in order to upgrade the skill level of their workforce. When splitting the sample across sectors, this pattern of results appears to be particularly strong for manufacturing firms whereas, in services, external labour market strategies tend to be more widespread. We then consider the determinants of the strategies chosen by firms. We argue that the relative cost of internal versus external labour market flexibility is likely to be critical and that it can be partly captured by firm size and by the density on the local labour market. We find that external labor market strategies tend to be more important when firms are located on high-density labor markets.
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Le Biais Domestique : Concept, Mesure et Explications
Le biais domestique est défini par l'écart entre les parts d'actifs étrangers prédites par la théorie de portefeuilles et les parts effectivement investies dans les titres étrangers. Cet article présente une quantification de la préférence pour les titres domestiques ainsi qu'une analyse critique des explications le plus souvent avancées dans la littérature des marchés financiers du manque de diversification internationale de portefeuilles. Si les explications d'ordre institutionnel paraissent insuffisantes, les facteurs comportementaux et le risque de change suscitent plus d'approfondissement.
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THE COMOVEMENTS IN INTERNATIONAL STOCK MARKETS: NEW EVIDENCE FROM LATIN AMERICAN EMERGING COUNTRIES
We analyze the time-variations of conditional correlations between selected Latin American emerging markets and between them and the World stock market to further shed light on the issues of capital market integration and portfolio diversification. The cross-market correlations are empirically estimated from the Engle (2002)'s DCC-GARCH model. Bai and Perron (2003)'s structural break analysis technique is also employed to test for possibly changing nature of stock market comovements. Main findings of the paper are as follows. First, the degree of cross-market comovements changed over time and has significantly increased since 1994 and onwards, which is to the large extent informative of increasing market integration. Despite the significant interdependencies among the studied markets, room for international portfolio diversification nevertheless seems largely possible. Second, it is demonstrated that the cross-market comovements are subjected to various regime shifts due essentially to major stock market events. Finally, the purpose that stock markets move much more together in times of crisis than in normal times can not be rejected according to our empirical evidence.
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EVOLUTION ET EFFETS INCITATIFS DES STOCK-OPTIONS : LE CAS DES DIRIGEANTS DU CAC40
Cet article étudie l'évolution et les effets incitatifs des stock-options attribuées aux dirigeants de dix-huit entreprises du CAC40 entre 1994 et 2003. Une base de données portant sur 184 plans d'attribution de stock-options par ces entreprises est utilisée afin de suivre l'évolution et la sensibilité des stock-options aux variations de la valeur boursière, du prix d'exercice et de la volatilité. Nos résultats montrent que les stock-options en France ont évolué d'une manière spectaculaire entre 1994 et 2003. Leurs valeurs étaient étroitement liées aux variations du cours boursiers, du prix d'exercice et de la volatilité. En outre, nous établissons que la valeur des stock-options est plus sensible à la rentabilité spécifique associée à l'effort et au savoir-faire des dirigeants qu'à la performance due aux fluctuations du marché.
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The necessity to correct hedge fund returns: empirical evidence and correction method
We study two principal mechanisms suggested in the literature to correct the serial correlation in hedge fund returns and the impact of this correction on financial characteristics of their returns as well as on their risk level and on their performances. The methods of Geltner (1993), its extension by Okunev & White (2003) and of Getmansky, Lo & Makarov (2004) are realized on a sample of 54 hedge fund indexes. The results show that the unsmoothing leaves the mean unchanged but increases significantly the risk level of hedge funds, whether the risk is measured in terms of the return standard-deviation or the modified Value-At-Risk. Funds' performances, measured by traditional Sharpe ratio and Omega index decline considerably. By contrast, funds' rankings after the unsmoothing unexpectedly change slightly. However, some notable modifications in ranks of several funds are observed. The necessary transparency of the management practice requires that such a correction must be systematically done.
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Assessing Hedge Fund Performance: Does the Choice of Measures Matter?
In this paper, we conducted a comparative study of ten measures documented as the most used by researchers and practionners: Sharpe, Sortino, Calmar, Sterling, Burke, modified Stutzer, modified Sharpe, upside potential ratio, Omega and AIRAP. This study was carried out in two stages on a sample of 149 hedge funds. First, we examined the modifications of funds' relative performance in terms of ranks and deciles when the performance measure changes. Despite strong positive correlations between funds' rankings established by different measures, numerous significant modifications were observed. Second, we studied the stability/persistence of the ten measures in question. Our results show that some measures are more stable or persistent than the others in measuring hedge fund performance.
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Les jeunes femmes faiblement qualifiées en région Centre : Parcours d'une population fragile.
Cet article détaille les résultats d'une enquête de terrain qui est une prolongation de l'enquête "Quatre ans après leur sortie de formation professionnelle, quelle est la situation des jeunes en région Centre ?" (Macaire & Timoteo, décembre 2005). L'un des résultats descriptif marquant du premier volet de l'enquête correspond à l'effet du genre sur l'appartenance à deux trajectoires types parmi les 6 décrites : les trajectoires « chômage persistant » et « inactivité prolongée» (trajectoires déterminées sur la base d'un calendrier rétrospectif établi entre la fin de l'année 2001, date de sortie du système éducatif, et 2004). Cet article reprend certaines données disponibles dans le rapport de recherche complet (Dubois-Dunilac, Macaire et Timoteo, 2007). La première partie de l'article reprend les données du premier volet et montre que, parmi d'autres déterminants, être une femme augmente la probabilité d'appartenir à l'une ou l'autre des trajectoires « chômage persistant » et « inactivité ». La deuxième partie de l'article présente le deuxième volet « entretiens » avec un échantillon des jeunes femmes concernées. Ces entretiens sont analysés descriptivement pour circonscrire des « situations prototypiques » et dans le cadre d'une analyse des correspondances multiples pour regrouper les jeunes femmes. Les différentes analyses montrent qu'un parcours se constitue à partir d'éléments exogènes aisément mesurables (niveau de formation, origines sociales, problèmes de santé...) ou peu mesurables (contexte familiale, conditions de vie...) et d'éléments endogènes (personnalité, motivation, vie affective...). Les résultats soulignent le rôle du contexte général de vie en synergie interactive avec les éléments objectifs « socio-economico-éducatifs ». Il est possible de parler de trajectoires émergentes dans un environnement spécifique, c'est ce qui les rend idiosyncrasiques et presque insaisissables par la simple mesure objective. Même si nos données montrent qu'il est possible de regrouper les jeunes femmes, l'importance des éléments idiosyncrasiques limite la portée d'une approche « thérapeutique » par l'intermédiaire de mesures spécifiques.
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The Feldstein-Horioka Puzzle: a Panel Smooth Transition Regression Approach
This paper proposes an original framework to determine the relative influence of five factors on the Feldstein and Horioka result of OECD countries with a strong saving- investment association. Based on panel threshold regression models, we establish country-specific and time-specific saving retention coefficients for 24 OECD coun- tries over the period 1960-2000. These coefficients are assumed to change smoothly, as a function of five threshold variables, considered as the most important in the literature devoted to the Feldstein and Horioka puzzle. The results show that; de- gree of openness, country size and current account to GDP ratios have the greatest influence on the investment-saving relationship.
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Irregularly Spaced Intraday Value at Risk (ISIVaR) Models : Forecasting and Predictive Abilities
The objective of this paper is to propose a market risk measure defined in price event time and a suitable backtesting procedure for irregularly spaced data. Firstly, we combine Autoregressive Conditional Duration models for price movements and a non parametric quantile estimation to derive a semi-parametric Irregularly Spaced Intraday Value at Risk (ISIVaR) model. This ISIVaR measure gives two information: the expected duration for the next price event and the related VaR. Secondly, we use a GMM approach to develop a backtest and investigate its finite sample properties through numerical Monte Carlo simulations. Finally, we propose an application to two NYSE stocks.
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Une Evaluation des Procédures de Backtesting
Dans cet article, nous proposons une démarche originale visant à évaluer la capacité des tests usuels de backtesting à discriminer différentes prévisions de Value at Risk (VaR) ne fournissant pas la même évaluation ex-ante du risque. Nos résultats montrent que, pour un même actif, ces tests conduisent très souvent à ne pas rejeter la validité, au sens de la couverture conditionnelle, de la plupart des six prévisions de VaR étudiées, même si ces dernières sont sensiblement différentes. Autrement dit, toute prévision de VaR a de fortes chances d'être validée par ce type de procédure.
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Second Generation Panel Unit Root Tests
This article proposes an overview of the recent developments relating to panel unit root tests. After a brief review of the first generation panel unit root tests, this paper focuses on the tests belonging to the second generation. The latter category of tests is characterized by the rejection of the cross-sectional independence hypothesis. Within this second generation of tests, two main approaches are distinguished. The first one relies on the factor structure approach and includes the contributions of Bai and Ng (2001), Phillips and Sul (2003a), Moon and Perron (2004a), Choi (2002) and Pesaran (2003) among others. The second approach consists in imposing few or none restrictions on the residuals covariance matrix and has been adopted notably by Chang (2002, 2004), who proposed the use of nonlinear instrumental variables methods or the use of bootstrap approaches to solve the nuisanceparameter problem due to cross-sectional dependency.
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Modèles Non Linéaires et Prévisions
Ce rapport propose une synthèse de la littérature sur l'apport des modèles non linéaires en matière de prévision des variables économiques et financières. Il comporte trois parties. La première passe en revue les principales modélisations économétriques non linéaires. La seconde partie est consacrée à la construction des prévisions ponctuelles, des prévisions par intervalle de confiance et des densités de prévisions issues des modèles non linéaires. La troisième partie décrit les principales méthodes de validation de ces différentes formes de prévisions.
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How to Estimate Public Capital Productivity?
We propose an evaluation of the main empirical approaches used in the literature to estimate the contribution of public capital stock to growth and private factors' productivity. Our analysis is based on the replication of these approaches on pseudo-samples generated using a stochastic general equilibrium model, built as to reproduce the main long-run relations observed in US post-war historical data. The results suggest that the production function approach may not be reliable to estimate this contribution. In our model, this approach largely overestimates the public capital elasticity, given the presence of a common stochastic trend shared by all non-stationary inputs
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What would Nelson and Plosser find had they used panel unit root tests?
In this study, we systemically apply nine recent panel unit root tests to the same fourteen macroeconomic and financial series as those considered in the seminal paper by Nelson and Plosser (1982). The data cover OECD countries from 1950 to 2003. Our results clearly point out the difficulty that applied econometricians would face when they want to get a simple and clear-cut diagnosis with panel unit root tests. We confirm the fact that panel methods must be very carefully used for testing unit roots in macroeconomic or financial panels. More precisely, we find mitigated results under the cross-sectional independence assumption, since the unit root hypothesis is rejected for many macroeconomic variables. When international cross-correlations are taken into account, conclusions depend on the specification of these cross-sectional dependencies. Two groups of tests can be distinguished. The first group tests are based on a dynamic factor structure or an error component model. In this case, the non stationarity of common factors (international business cycles or growth trends) is not rejected, but the results are less clear with respect to idiosyncratic components. The second group tests are based on more general specifications. Their results are globally more favourable to the unit root assumption.
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What do we really know about fiscal sustainability in the EU? A panel data diagnostic
We assess the sustainability of public finances in the EU15 using stationarity and cointegration analysis. Specifically, we use panel unit root tests of the first and second generation allowing in some cases for structural breaks. We also apply modern panel cointegration techniques developed by Pedroni (1999, 2004), generalized by Banerjee and Carrion-i-Silvestre (2006) and Westerlund and Edgerton (2007), to a structural long-run equation between general government expenditures and revenues. While sustainability may be lacking in individual cases, fiscal policy was overall sustainable both for the EU15 panel set, and within some sub-periods.
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Les jeunes femmes faiblement qualifiées en région Centre - Parcours d'une population fragile.
Ce rapport détaille les résultats d'une enquête de terrain menée entre septembre et novembre 2006 par le Centre Associé Régional Céreq d'Orléans (Laboratoire d'économie d'Orléans) à la demande du conseil régional de la région Centre. La première partie du rapport présente un état des lieu basé sur les résultats obtenus dans le cadre de l'enquête "Quatre ans après leur sortie de formation professionnelle, quelle est la situation des jeunes en région Centre ?" (Macaire & Timoteo, décembre 2005). Cette enquête mettait en avant une différenciation nette entre homme et femme de niveau de formation 4 ou 5 pour deux trajectoires types parmi 6 : « chômage persistant » et « inactivité » (trajectoires déterminées sur la base du calendrier rétrospectif entre 2001 et 2004). Les résultats montrent qu'être une femme augmente la probabilité d'appartenir à l'une des deux catégories. La deuxième partie du rapport présente l'enquête de terrain menée par l'intermédiaire d'entretiens semi directifs. Les études de cas comme l'Analyse des Correspondances Multiples (ACM) font ressortir plusieurs éléments: - L'interactivité entre le parcours d'insertion professionnelle et le parcours de vie. L'influence d'évènements de vie problématiques sur l'insertion et la réciproque concernent les jeunes femmes les plus en difficulté. - Le niveau de satisfaction des jeunes femmes sur les rapports avec les institutions du service public de l'emploi est élevé (particulièrement pour les missions locales). - La plupart des jeunes femmes soulignent l'impossibilité de trouver un emploi dans le secteur 3 (tertiaire). Etre d'un niveau de formation 4 ou 5 dans ces domaines féminisés est un handicap certain pour une insertion de qualité (concurrence avec des diplômés du supérieur). Ce résultat met en avant la problématique de l'orientation initiale de ces jeunes femmes. - L'ACM permet de regrouper les jeunes femmes en trois sous-groupes : deux groupes en difficulté du point de vue de l'insertion professionnelle, le groupe « de l'exclusion professionnelle à l'exclusion sociale » et le groupe « stabilisation familiale et précarité professionnelle » et un groupe constitué de jeunes femmes dont les parcours se sont stabilisés après 5 ans, le groupe « de la stabilisation professionnelle à la stabilisation familiale ». Le rapport conclut que la mise en place de mesures spécifiques pour les jeunes femmes, notamment au niveau du service public de l'emploi, ne serait que peu efficace. Seule une réforme structurelle pourrait être envisagée pour l'ensemble des jeunes (par exemple la mise en place d'un guichet unique). Tout indique que l'origine des difficultés rencontrées est liée à trois éléments principaux qui interagissent (en amont et/ou en aval du processus d'insertion) : l'orientation initiale, la trajectoire de vie et le contexte socio-économique. Cette étude ouvre des perspectives d'améliorations futures de la méthodologie d'enquête (questionnaire) et des perspectives de nouvelles enquêtes sur la base du potentiel effet territoire lié à la présence forte du secteur logistique dont la gestion de la main d'oeuvre manutentionnaire est particulièrement axée sur le recours à l'intérim.
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The Spitzer Legacy Survey of the HST-ACS 2 sq. deg. COSMOS Field: survey strategy and first analysis
The Spitzer-COSMOS survey (S-COSMOS) is a Legacy program (Cycles 2+3) designed to carry out a uniform deep survey of the full 2 sq deg COSMOS field in all seven Spitzer bands (3.6, 4.5, 5.6, 8.0, 24.0, 70.0, 160.0 u). This paper describes the survey parameters, mapping strategy, data reduction procedures, achieved sensitivities to date, and the complete data set for future reference. We show that the observed infrared backgrounds in the S-COSMOS field are within 10% of the predicted background levels. The fluctuations in the background at 24u have been measured and do not show any significant contribution from cirrus, as expected. In addition, we report on the number of asteroid detections in the low galactic latitude COSMOS field. We use the Cycle 2 S-COSMOS data to determine preliminary number counts, and compare our results with those from previous Spitzer Legacy surveys (e.g. SWIRE, GOODS). The results from this "first analysis" confirm that the S-COSMOS survey will have sufficient sensitivity with IRAC to detect ~ L* disks and spheroids out to z ~ 3, and with MIPS to detect ultraluminous starbursts and AGN out to z ~3 at 24u and out to z ~1.5-2 at 70u and 160u.
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The Effect of Working Time Reduction on Short-Time Compensation: a French Empirical Analysis
The short-time compensation (STC) program aims to avoid lay-offs in case of short-term downturns. According to insurance models, STC is an instrument of both job security and flexibility. This paper investigates the impact of workweek reduction to 35 hours on the French STC recourse. We quantify the average decrease in the STC authorized days with kernel matching estimators assessed on a balanced panel of French establishments. We highlight a substitution effect between STC and working time reduction (WTR) due to their internal flexibility role. As a consequence, the WTR policy refocused STC on its initial job security function.
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Coopetition in a Mixed Oligopoly Market
In this study, we aim to investigate the impact of privatization on the degree of cooperation and competition in a mixed oligopoly market. We consider a duopoly market that comprises one semipublic firm and one private firm. Each firm is assumed to determine the level of two types of effort: the cooperative effort made to enlarge the total market size and the competitive effort made to increase market share. In a contest framework, our results show that the competitive effort level of the semipublic firm is smaller than that of the private firm. The more the semipublic firm is concerned for social welfare, the less it competes. On the basis of average costs, we then analyze the case in which only the semipublic firm undertakes cooperative effort. In this case, the private firm behaves as a free rider. Furthermore, we find that the semipublic firm expends more cooperative effort than does the private firm.
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Parcours et insertion des docteurs : une approche quantitative et qualitative.
Ce rapport porte sur l'étude approfondie des parcours d'insertion professionnelle de 37 docteurs issus de 7 disciplines (Droit, Sciences Economiques, Lettres, Langues, Histoire, Géographie, Sciences de Gestion). Sont étudiés : - le parcours scolaire et dans le supérieur avant le début de thèse; - l'ensemble des éléments qui constituent le ou les projet(s) à l'inscription en thèse (motivations, contexte scientifique, projet de recherche, projet professionnel...); - les éléments liés à l'encadrement au cours de la formation doctorale (qualité de l'encadrement scientifique, détails des valorisations de la recherche...); - le contexte de vie; - le parcours d'après thèse et la situation actuelle. L'état des lieux apparaît, de prime abord, globalement positif. Mais les données montrent aussi que lorsque une insertion professionnelle non-académique est envisagée (le plus souvent uniquement lorsque la perspective de carrière académique est inexistante), de nombreux docteurs éprouvent de réelles difficultés dans la valorisation de leurs compétences, ce qui se traduit par une adéquation relative entre l'excellence de la formation et le niveau de reconnaissance sur le marché du travail.
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MICROFINANCE INSTITUTIONS UNDER INTEREST RATES CEILINGS
Microfinance institutions (MFIs) have grown fast in WAEMU surprising political decision makers. They reacted by setting up in the late 90's, a specific legislation. A legal usury rate for credits was defined fixing the borrower ceiling interest rate at 27 percent per year for microfinance institutions and 18 percent for banks. This statutory frame, fast elaborated, revealed early its incapacities and therefore, weakened structures in charge of the regulation of the sector. This structure is confronted with the difficult choice to maintain institutions outside the statutory frame or to apply a rigorous supervision and to precipitate a massive decline of MFIs. This law limits incentives to better governance, the efficiency and the flexibility expected from a good statutory frame. This paper models the behaviour of microfinance institutions in the context of interest rate ceilings and requirement of a minimal level of governance. We use comparative statics to show that a relaxation of the constraint on the usury rate does not lead necessarily to an increase of the borrower interest rate.
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La fiscalité des fonds de pension aux Etats-Unis
Au cours des trente dernières années, plusieurs réformes fiscales ont été adoptées aux Etats-Unis dans le but d'encourager l'épargne des ménages. En 1974, la loi ERISA a introduit des comptes d'épargne individuels (Individual Retirement Accrounts- IRAs) accessibles aux employés dépourvus d'accès à des plans d'épargne retraite en entreprise. La loi fiscale de reprise économique (Economic Recovery Tax Act) de 1981 a étendu l'éligibilité des IRAs à l'ensemble des contribuables, et les limites de contribution et de déduction fiscales ont été relevées. Parallèlement, des plans d'épargne en entreprise, dénommés plans 401(k) du numéro de l'article du code fiscal qui les régit, ont été proposés dès 1978, mais ne sont devenus réellement populaires qu'à partir de 1981, date à laquelle leur régime fiscal a été clarifié. Comme les IRAs, ils ont offert la possibilité de déduire, sous plafond, les contributions versées du revenu imposable. En 1986, la loi de réforme fiscale a substantiellement réduit les plafonds de déduction, et le volume de collecte sur les plans d'épargne retraite en entreprise a chuté. Face à cette désaffection dont les effets se sont fait sentir jusqu'à la fin des années quatre-vingt-dix, le législateur a adopté en 2001 une dernière loi dénommée Economic Growth and Tax Relief Reconciliation Act, rendant les incitations fiscales à l'épargne retraite plus avantageuses pour les ménages et pour les entreprises. L'objectif de cet article est double. D'une part, il s'agit de décrire les dispositifs fiscaux applicables aux fonds de pension, que ces dispositifs concernent les employés, les employeurs et les gestionnaires de l'épargne placée. D'autre part, on se propose de rendre compte des effets de la fiscalité sur l'accumulation d'épargne au cours des vingt dernières années.
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Gouvernance et investissement des fonds de pension privés aux Etats-Unis
Les fonds de pension américains suscitent en France une crainte souvent irrationnelle. Perçus comme les emblèmes du capitalisme inhumain et sans visage, on leur prête une puissance économique et financière, au mieux déstabilisante, au pire destructrice. L'objectif principal de cette contribution est d'éclairer un lectorat francophone sur les grands traits de la gouvernance des fonds de pension privés aux Etats-Unis, et l'incidence de cette gouvernance sur leurs comportements financiers et leurs performances. Dans un premier temps, on dresse un panorama des relations d'agence au sein des fonds de pension, en insistant sur les différences entre fonds à cotisations et prestations définies. Dans un second temps, on présente les implications de ces schémas de gouvernance pour la politique d'investissement des fonds de pension, en soulignant les différences d'exposition au risque financier des fonds à cotisations et prestations définies.
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Les déterminants de la réorientation des bacheliers lorsque le projet d'études n'est pas satisfait : l'exemple de la région Centre.
La démocratisation de l'accès à l'enseignement supérieur conduit neuf bacheliers sur dix à poursuivre leurs études l'année qui suit l'obtention du baccalauréat d'après le panel de l'Education Nationale de 2002. Néanmoins, le choix des études et l'orientation en terminale témoignent de la persistance d'inégalités sociales dans l'accès à certaines filières sélectives post-bac. Ainsi, plusieurs études ont montré que, non seulement, le contexte social et scolaire, mais aussi, les caractéristiques des établissements sont déterminants dans l'accès à certaines études comme les CPGE, les STS ou encore les DUT [1 ou 2]. Cette orientation scolaire à la fin de la terminale est la conséquence d'un vœu, reflétant le projet exprimé au printemps précédent l'obtention du baccalauréat. L'élève prend une option, à la fois sur une formation supérieure et sur un lieu de formation. Ce choix est souvent contraint, d'une part, par l'histoire scolaire de l'élève qui a intériorisé ses possibilités d'études supérieures, en fonction notamment de son niveau, de la filière choisie ou encore de ses possibilités financières, et d'autre part, par l'offre de formation sur un territoire plus ou moins vaste [3]. Cette auto-sélection a pour conséquence, la plupart du temps, une adéquation entre le vœu d'études exprimé avant l'obtention du baccalauréat et les études poursuivies. Mais que deviennent les élèves dont le vœu n'a pas été satisfait ? Cette communication se donne pour objectif d'étudier les bacheliers dont le projet n'a pas abouti. Quelles sont leurs caractéristiques sociales et scolaires ? Quel était leur projet ? Quelle réorientation ont-il dû engager ? Est-ce une réorientation totale – changement complet de formation ou sortie du système éducatif – ou une réorientation partielle – même formation supérieure mais changement de lieu ? Enfin, quels en sont les déterminants ? A partir d'une enquête menée conjointement par le rectorat de l'Académie d'Orléans-Tours et le centre associé CEREQ d'Orléans, portant sur le projet des bacheliers de la région Centre, nous questionnerons la réorientation subie (entendue comme le changement soit de formation, soit du lieu de formation ou encore de l'ensemble des deux aspects) des bacheliers n'ayant pas réalisé leur projet. Nous interrogerons la contrainte territoriale qui pèse sur les difficultés d'orientation en région Centre. Près de 8000 bacheliers généraux et technologiques des lycées publics et privés, soit 54% des bacheliers de la région Centre en 2004, ont répondu à un questionnaire écrit à l'automne 2004. Il apparaît qu'un quart d'entre eux n'a pas accédé à son choix initial. Pour un cinquième, il s'agit d'une réorientation géographique. Sans surprise, les bacheliers technologiques subissent proportionnellement davantage l'insatisfaction liée au refus du projet initial et se tournent alors davantage vers le marché du travail (un peu plus d'un tiers contre 13% pour les bacheliers généraux). De leur côté, les bacheliers généraux se réorientent vers d'autres études supérieures. Parmi ces élèves, seuls quatre bacheliers de la filière Scientifique sur dix rejoignent une licence universitaire, montrant ainsi leur volonté d'accéder à une filière sélective. Pour comprendre les stratégies mises en place, des variables explicatives portant sur les résultats au baccalauréat, sur le refus d'admission en filière sélective, sur le coût des études, sur le choix de l'établissement, sa localisation, sa spécificité et sa réputation seront prises en compte afin d'établir les principaux déterminants de la réorientation. Bibliographie : [1] S. Lemaire, 2005, « Les premiers bacheliers du panel : aspirations, image de soi et choix d'orientation », Education et Formations, n°72, MEN, pp.137-153 [2] N. Nakhili, 2005, « Impact du contexte scolaire dans l'élaboration des choix d'études supérieures des élèves de terminale », Education et Formations, n°72, MEN, pp.155-167 [3] S. Ertul et J-R Bertrand, 2005, « Parcours, disparités territoriales et enseignement secondaire en région Pays de la Loire », communication au séminaire « Education et Formation : disparités territoriales et régionales », 39 pages
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La fiscalité des fonds de pension aux Etats-Unis
Au cours des trente dernières années, plusieurs réformes fiscales ont été adoptées aux Etats-Unis dans le but d'encourager l'épargne des ménages. En 1974, la loi ERISA a introduit des comptes d'épargne individuels (Individual Retirement Accrounts- IRAs) accessibles aux employés dépourvus d'accès à des plans d'épargne retraite en entreprise. La loi fiscale de reprise économique (Economic Recovery Tax Act) de 1981 a étendu l'éligibilité des IRAs à l'ensemble des contribuables, et les limites de contribution et de déduction fiscales ont été relevées. Parallèlement, des plans d'épargne en entreprise, dénommés plans 401(k) du numéro de l'article du code fiscal qui les régit, ont été proposés dès 1978, mais ne sont devenus réellement populaires qu'à partir de 1981, date à laquelle leur régime fiscal a été clarifié. Comme les IRAs, ils ont offert la possibilité de déduire, sous plafond, les contributions versées du revenu imposable. En 1986, la loi de réforme fiscale a substantiellement réduit les plafonds de déduction, et le volume de collecte sur les plans d'épargne retraite en entreprise a chuté. Face à cette désaffection dont les effets se sont fait sentir jusqu'à la fin des années quatre-vingt-dix, le législateur a adopté en 2001 une dernière loi dénommée Economic Growth and Tax Relief Reconciliation Act, rendant les incitations fiscales à l'épargne retraite plus avantageuses pour les ménages et pour les entreprises. L'objectif de cet article est double. D'une part, il s'agit de décrire les dispositifs fiscaux applicables aux fonds de pension, que ces dispositifs concernent les employés, les employeurs et les gestionnaires de l'épargne placée. D'autre part, on se propose de rendre compte des effets de la fiscalité sur l'accumulation d'épargne au cours des vingt dernières années.
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Taux d'intérêt effectif, viabilité financière et réduction de la pauvreté par les institutions de microfinance au Bénin
L'importance des Institutions de Microfinance (IMF) dans les pays en développement n'est plus à démontrer. Elles ont accompli un miracle en permettant à des milliers d'exclus du système bancaire classique d'accéder à des services financiers. Mais une polémique nait quant aux coûts élevés associés à ces services. Cette étude a évalué, à partir d'une base de données financée par l'Association ‘‘Consortium Alafia'' des praticiens de la microfinance au Bénin, le niveau de taux d'intérêt viable pour la microfinance en termes d'offre de services financiers. Les résultats montrent que les micro-projets dont le taux de rentabilité interne ne dépasse pas 36% ne pourraient être financés par les Institutions de Microfinance. La réglementation sur l'usure pourrait donc être suicidaire pour les IMF si elle se bornait simplement à obliger les IMF à se conformer à la loi qui fixe le seuil d'usure à 27%. Quasiment aucune IMF n'assurerait son autosuffisance opérationnelle, donc sa pérennité, en respectant ce seuil.
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Structure par terme et règle de politique monétaire
Théoriquement, les actions de politique monétaire \textit{via} le maniement des taux courts nominaux se transmettent à l'économie le long de la structure par terme des taux d'intérêt. L'absence de vérification empirique de ces relations entre les taux à différentes maturités, et partant de la transmission de la politique monétaire, remet en cause l'efficacité même des interventions des banques centrales. On peut cependant soutenir que les tests empiriques usuels qui remettent en cause la structure des taux peuvent être sujets à caution. En effet, ils utilisent seulement le passé des taux d'intérêt pour construire les anticipations de taux courts servant à calculer les taux longs théoriques qui sont ensuite comparés aux taux longs historiques. Or, il est commun à présent d'utiliser les règles de politiques monétaires pour modéliser l'action des banques centrales, en observant les évolutions de l'inflation et de l'activité. Nous tentons donc à l'aide d'un modèle macroéconomique et d'une règle monétaire <> de réconcilier l'idée d'une transmission de la politique monétaire des taux courts aux taux à plus long terme. Dans un premier temps, nous cherchons à déterminer un modèle macroéconomique simplifié de l'Allemagne de 1985 à 1998. Ensuite, nous simulons des séries de taux courts anticipés afin d'en déduire des taux à plus longue maturité. De la proximité constatée entre les taux observés à différentes échéances et les résultats des simulations, nous pourrons alors traiter de la pertinence de la théorie des anticipations de la structure par terme des taux.
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Monetary Policy and Inflation Divergences in a Heterogeneous Monetary Union
It is widely recognized that the Euro area is an asymmetric monetary union which assembles countries with heterogeneous structures on financial, goods and labour markets stricken by asymmetric shocks. However, the main objective of the European Central Bank (ECB) is to preserve price stability for the euro area as a whole, and the ECB pays most of its attention to union-wide output and (principally) inflation, neglecting, at least on the level of principles, inflation and output divergences in union. In this paper, we wonder, at a theoretical level, about the social loss associated with such an objective based on aggregate magnitudes, and we search for solutions, namely an “optimal” contract for a common central bank. We show in particular that it is not necessarily a good thing that a common central bank worries about inflation divergences without being concerned about output divergences in union.
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Une synthèse des tests de cointégration sur données de panel
L'objet de ce papier est de dresser un panorama complet de la littérature relative aux tests de cointégration sur données de panel. Après un exposé des concepts spécifiques à la cointégration en panel, sont ainsi présentés les tests de l'hypothèse nulle d'absence de cointégration (tests de Pedroni (1995, 1997, 1999, 2003), Kao (1999), Bai et Ng (2001) et Groen et Kleibergen (2003)) ainsi que le test de McCoskey et Kao (1998) reposant sur l'hypothèse nulle de cointégration. Quelques éléments relatifs à l'inférence et l'estimation de systèmes cointégrés sont également fournis.
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UN MODELE DE “CREDIT SCORING” POUR UNE INSTITUTION DE MICRO-FINANCE AFRICAINE: LE CAS DE NYESIGISO AU MALI
l'objectif de cette recherche est de développer un modèle de Credit Scoring en utilisant un échantillon de 269 emprunteurs individuels de l'institution de micro-finance Nyèsigiso au Mali. Les résultats ont montré l'importance de la relation de long terme, du taux d'intérêt, des coûts de transactions et du rationnement dans la prédiction du défaut de remboursement. Le modèle qui a été développé à partir de la régression logistique et de l'analyse discriminante, prédit correctement dans plus 70% des cas. Une fixation plus conservatrice du point de coupure de 0.5 à 0.4 améliore significativement pouvoir de prédiction sur les mauvais prêts sans affecter la performance globale de prédiction du modèle. L'analyse des cas de rejets a montré une certaine cohérence entre les prédictions du modèle et les décisions de rejet de l'institution.
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Governance and Migration in a South-North Partnership : the Teaching of Economic Analysis
The aim of this paper is to study the relation between governance and migration in the case of a South-North partnership, using the tools of economic analysis. We will analyse both the governance of migratory phenomenon (i.e. the control of South-North migration, as much as the control of rural-urban or internal migration) and the consequences of internal and/or international migrations on a broader problem which is the compatibility of economic liberalization, political stability and other objectives which are pursued by governments (such as avoiding the deterioration of social capital, or a social dumping). In a first section we develop an original Harris-Todaro model in order to resolve the question of the compatibility of different policies. In a second section we will consider four possibilities to enrich the Harris-Todaro model, which are to take into account the cost of migration, the attitude toward risk, the relative deprivation hypothesis, and the relation between migration and social capital. In each case, our attention will be focused on the policy recommendations we can formulate as a result of every approach.
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Backtesting VaR Accuracy: A New Simple Test
This paper proposes a new test of Value at Risk (VaR) validation. Our test exploits the idea that the sequence of VaR violations (Hit function) - taking value 1-α, if there is a violation, and -α otherwise - for a nominal coverage rate α verifies the properties of a martingale difference if the model used to quantify risk is adequate (Berkowitz et al., 2005). More precisely, we use the Multivariate Portmanteau statistic of Li and McLeod (1981) - extension to the multivariate framework of the test of Box and Pierce (1970) - to jointly test the absence of autocorrelation in the vector of Hit sequences for various coverage rates considered as relevant for the management of extreme risks. We show that this shift to a multivariate dimension appreciably improves the power properties of the VaR validation test for reasonable sample sizes.
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Governance and Migration in a South-North Partnership
The aim of this paper is to study the relation between governance and migration in the case of a South-North partnership, using the tools of economic analysis. We will analyse both the governance of migratory phenomenon (i.e. the control of South-North migration, as much as the control of rural-urban or internal migration) and the consequences of internal and/or international migrations on a broader problem which is the compatibility of economic liberalization, political stability and other objectives which are pursued by governments (such as avoiding the deterioration of social capital, or a social dumping). In a first section we develop an original Harris-Todaro model in order to resolve the question of the compatibility of different policies. In a second section we will consider four possibilities to enrich the Harris-Todaro model, which are to take into account the cost of migration, the attitude toward risk, the relative deprivation hypothesis, and the relation between migration and social capital. In each case, our attention will be focused on the policy recommendations we can formulate as a result of every approach.
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La concurrence euro-dollar dans la perspective de l'élargissement de l'Union européenne
La session a été consacrée cette année-là aux Etats-Unis et l'Europe élargie dans le système international de sécurité. L'élargissement ne sera pas sans conséquences sur la concurrence entre les deux grandes monnaies internationales que sont le dollar, principalement, mais aussi l'euro.
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Intérêt et apport du micro-crédit, le cas du Vietnam
Ce Forum organisé par l'Assistance au Développement des Echanges en Technologie Economique et Financière (ADETEF) près du Ministère des Finances a abordé plusieurs aspects du financement de l'économie vietnamienne. Le micro-crédit est aussi très développé dans ce pays où une loi vient d'être votée à son sujet. Ma contribution fait le point des différentes expériences menées actuellement au Vietnam et fait apparaître quelques-uns des problèmes qu'elles soulèvent.
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Taux d'intérêt effectif, viabilité financière et réduction de la pauvreté par les institutions de microfinance au Bénin
L'importance des Institutions de Microfinance (IMF) dans les pays en développement n'est plus à démontrer. Elles ont accompli un miracle en permettant à des milliers d'exclus du système bancaire classique d'accéder à des services financiers. Mais une polémique naît quant aux coûts élevés associés à ces services. Cette étude a évalué, à partir d'une base de données financée par l'Association ‘‘Consortium Alafia'' des praticiens de la microfinance au Bénin, le niveau de taux d'intérêt viable pour la microfinance en termes d'offre de services financiers. Les résultats montrent que les micro-projets dont le taux de rentabilité interne ne dépasse pas 36 % ne pourraient être financés par les Institutions de Microfinance (IMF) au Bénin. La réglementation sur l'usure pourrait donc être suicidaire pour les IMF si elle se borne simplement à obliger les IMF à se conformer à la loi qui fixe le seuil d'usure à 27 %. Quasiment aucune IMF n'assurerait son autosuffisance opérationnelle, donc sa pérennité, en respectant ce seuil.
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La transparence sur les préférences des banques centrales est-elle souhaitable ?
Dans ce papier, nous cherchons à évaluer si il est possible pour une banque centrale de dévoiler ses préférences, et plus précisément le poids qu'elle accorde à la stabilisation de l'inflation et de l'output gap dans sa fonction objectif. Nous considérons que la banque centrale peut dévoiler de l'information sur ses préférences de deux manières : tout d'abord, explicitement, via sa politique de communication, mais aussi, implicitement, via ses décisions de politique monétaire. Nous étudions alors, dans un jeu dynamique, le cas de la transparence sur les prévisions de la banque centrale comme substitut de la transparence sur les préférences lorsque le secteur privé est capable de réviser son estimation initiale des préférences de la banque centrale (apprentissage du secteur privé).
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A Smoke Screen Theory of Financial Intermediation
This paper analyzes a stylized (two period) credit market where investors care about the appropriability of the information they produce when they engage in costly ex ante evaluation of borrowers quality. We show that diversified intermediation arises as a dissimulation mechanism allowing investors to extract informational rents in the second period, thereby mitigating the underlying appropriability problem.
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Le problème d'agence dans la délégation de gestion de portefeuille : une revue de la littérature
Nous présentons dans un premier temps les spécificités du problème d'agence propre à la délégation de gestion de portefeuille, qui ont pour conséquence l'impossibilité d'obtenir un contrat de rémunération permettant simultanément un partage de risque optimal et le contrôle, par l'investisseur, de l'effort effectué par le manager dans sa collecte d'information. L'ajout de contraintes de gestion permettrait selon des travaux récents d'améliorer le contrôle de l'investisseur. Mais les travaux empiriques sur les incitations implicites font clairement apparaître une convexité des profils de rémunération des managers qui résulte de l'asymétrie de l'influence des rendements passés sur les entrées nettes de fonds. Nous évoquons ensuite deux conséquences supposées de ce problème d'agence : la prise de risques et le mimétisme. La prise de risques excessive qui résulte des incitations implicites semble bien avérée empiriquement, en particulier pour les fonds dont les performances récentes laissent à désirer. Le mimétisme quant à lui ne paraît pas être la règle, mais il existe cependant sur certains types de titres (à faible capitalisation), et est plus présent pour les fonds qui spécialisés dans les valeurs de croissance.
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Board structure, Ownership structure, and Firm performance : Evidence from Banking
This paper examines the interrelations among five ownership and board characteristics in a sample of 260 bank and savings-and-loan holding companies. These governance characteristics, designed to reduce agency problems between shareholders and managers, are insider ownership, blockholder ownership, the proportion of outside directors, board leadership structure, and board size. Using two-stage least squares regressions, we present evidence of interdependencies between board and ownership structures. The results suggest that banks substitute between governance mechanisms that align the interests of managers and shareholders. These findings suggest that cross-sectional OLS regressions of bank performance on single governance mechanisms may be misleading. Indeed, we find statistically significant relationships between performance and insider ownership and blockholder ownership when using OLS regressions. However, these statistically significant relationships disappear when the simultaneous equations framework is used. Together, these findings are consistent with optimal use of each governance mechanism by banks.
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Les marchés des investisseurs institutionnels sont-ils efficients : cas des fonds de pension et des unit trusts britanniques
L'objectif de cet article est de tester l'efficience des marchés des investisseurs institutionnels britanniques. Pour ce faire, nous proposons d'étudier la persistance de la performance de deux échantillons de fonds (de pension et mutuels) investissant, l'un, sur le marché des actions et, l'autre, sur le marché des obligations. Ces fonds, pratiquant une gestion active, investissent sur le marché britannique entre mars 1990 et février 2005. Globalement, et pour les deux types de marché, l'efficience semble être conservée. En effet, à long terme, et en investissant sur le marché des actions, les fonds de pension ne semblent pas avoir une stabilité de leur performance alors qu'à moyen terme (5 ans), ces fonds deviennent plus stables, surtout à la fin de la période. Les fonds mutuels ont tendance à avoir une persistance plus significative que celle des fonds de pension quel que soit la période d'étude. Mais, en moyenne, cette persistance est peut évidente. A long terme, les performances des fonds de pension obligataires ne sont pas stables même si elles le sont par rapport à celles des unit trusts investissant dans les mêmes actifs. Néanmoins, à moyen terme, ces deux types d'investisseurs institutionnels semblent avoir une certaine persistance surtout à la fin de la période.
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L'art de l'analyse du risque-pays : Etude empirique dans les pays émergents
Cet article identifie les déterminants du risque-pays par catégorie de risque afin d'apporter une évaluation globale et de résoudre le problème d'hétérogénéité des critères dans vingt-huit pays en développement sur la période 1984-2003. Pour atteindre cet objectif, nous utilisons l'analyse discriminante, et nous employons la méthode "rating" et l'estimation "Logit-Probit". A l'instar de Frank et Cline (1971) et Sargen (1977), nous déterminons de manière empirique les facteurs du risque-pays. Les résultats de risque-pays créent des scores de sévérité, qui devraient être intégrés étroitement dans les stratégies d'investissement dans les pays en développement.
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Contrats d'assurance multipériodiques et déformation des croyances
Sous certaines hypothèses, les asymétries d'information sur un marché d'assurance peuvent être résolues par l'offre d'un menu de contrats dynamiques permettant de tenir compte des informations révélées, notamment de la sinistralité des assurés, au cours du temps. L'objectif de cet article est d'étendre le modèle de Cooper et Hayes (1987), lorsque l'assureur révise les probabilités de sinistre des assurés au cours du temps. En effet, en assurance santé, certaines pathologies ont des probabilités de récidive plus importantes, lorsque les individus sont porteurs d'un gène altéré. On envisage tour à tour les situations de monopole et de concurrence. En situation de monopole, on montre que la déformation de la probabilité nuit fondamentalement aux mauvais risques sinistrés de première période. En effet, au cours de la seconde période, ces agents n'obtiennent plus l'assurance complète comme dans les prédictions de Cooper et Hayes (1987), mais une assurance partielle, et voient leur utilité baisser. En revanche, les bons risques obtiennent toujours l'assurance partielle. En outre, l'ensemble des assurés est tarifé à l'expérience. A contrario, l'entrée de compagnies concurrentes annihile la tarification à l'expérience des mauvais risques. Cette situation est cependant bénéfique pour tous les assurés, mais nuit à la compagnie installée qui est obligée de renoncer à son profit monopolistique pour garder une partie de sa clientèle.
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La mesure de performance de la gestion indicielle française
Cet article analyse la performance à long terme des fonds indiciels français en utilisant l'erreur de suivi (Tracking error) comme la mesure la plus appropriée dans le domaine de la gestion indicielle. Malgré la forte croissance des fonds indiciels en France et aux Etats-Unis depuis 1990, leurs performances n'ont guère été étudiées. A partir d'une base de données comprenant 23 fonds indiciels, cet article montre l'existence d'erreur de suivi significative pour les fonds indiciels français, la différence entre la rentabilité mensuelle des fonds et celle de l'indice CAC40 pour une durée de douze ans est entre 0,1 et 2,5 point de base. Ceci est un bilan très honorable pour ce mode de gestion en France par rapport aux autres pays dont l'étude sur erreur de suivi a été faite, notamment l'Australie et les Etats-Unis. cet article analyse aussi l'effet de la stratégie adoptée par les gestionnaires pour dupliquer la rentabilité de Bechmark, sur l'erreur de suivi.
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Threshold Effects of the Public Capital Productivity : An International Panel Smooth Transition Approach
Using a non linear panel data model we examine the threshold effects in the productivity of the public capital stocks for a panel of 21 OECD countries observed over 1965-2001. Using the so-called "augmented production function" approach, we estimate various specifications of a Panel Smooth Threshold Regression (PSTR) model recently developed by Gonzalez, Teräsvirta and Van Dijk (2004). One of our main results is the existence of strong threshold effects in the relationship between output and private and public inputs : whatever the transition mechanism specified, tests strongly reject the linearity assumption. Moreover this model allows cross-country heterogeneity and time instability of the productivity without specification of an ex-ante classification over individuals. Consequently it is posible to give estimates of productivity coefficients for both private and public capital stocks at any time and for each countries in the sample. Finally we proposed estimates of individual time varying elasticities that are much more reasonable than those previously published.
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Financial Repression, Tax Evasion and Long-Run Monetary and Fiscal Policy Trade-Off in an Endogenous Growth Model with Transaction Costs
In this paper, we study maximizing long-run economic growth trade-off in monetary and fiscal policies in an endogenous growth model with transaction costs. We show that both monetary and fiscal policies are subject to threshold effects, a result that gives account of a number of recent empirical findings. Furthermore, the model shows that, to finance public expenditures, maximizing-growth government must choose relatively high seigniorage (respectively income taxation), if "tax evasion" and "financial repression" coefficients are high (respectively low). Thus, our model may explain why some governments resort to seigniorage and inflationary finance, and others rather resort to high tax-rate, as result of maximizing-growth strategies in different structural enviroments (notably concerning tax evasion and financial repression). In addition, the model allows examining how the optimal mix of government finance changes in response to different public debt contexts.
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A Simple Multiple Variance-Ratio Test Based on Ranks
Using Chow and Denning's arguments applied to the individual hypothesis test methodology of Wright (2000) I propose a multiple variance-ratio test based on ranks to investigate the hypothesis of no serial coorelation. This rank joint test can be exact if data are i.i.d.. Some Monte Carlo simulations show that its size distortions are small for observations obeying the martingale hypothesis while not being and i.i.d. process. Also, regarding size and power, it compares favorably with other popular tests.
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Trade in services : How does it work ?
While services represent nearly 70 % of value added in all OECD countries, only a fifth of trade in goods and services is due to cross-border supply of services. Then internationalisation of services occurs by commercial presence of firms in host countries, its impact on white collar employment is limited and only unskilled workers incur falls in wage. As for temporary movement of people, Mode 4 is very difficult to measure either by trade or migration statistics. In the paper we show that the divergence between the preponderance of services in national activities and its weakness in international transactions is due to the importance of non tradeable industries, for which the degree is week and contrasts with activities implied in international competition.
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Les questions budgétaires dans l'Union européenne : enjeux et perspectives du fédéralisme budgétaire
Longtemps négligées et jamais vraiment traitées, les questions budgétaires figurent parmi les dossiers les plus sensibles de la construction européenne. La situation budgétaire actuelle apparaît assez atypique ce qui soulève de nombreuses questions et incertitudes pour l'avenir. L'objectif de cet article est de comparer le fonctionnement institutionnel de l'UE au regard de celui d'un certain nombre de fédérations budgétaires parmi lesquelles les Etats-Unis, le Canada et la Suisse afin d'en tirer des enseignements sur l'intérêt ou non de la mise en place d'une structure budgétaire fédérale dans l'UE. Nous montrons alors que le fédéralisme budgétaire se présente comme une organisation institutionnelle très flexible susceptible d'apporter un certain nombre d'éléments de réponse aux questions budgétaires laissées en suspens dans l'UE.
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Le capital social : un concept utile pour la finance et le développement
Le "Capital Social" désigne l'aptitude des individus à coopérer et à se coordonner, ainsi que leur habitude de contribuer à l'effort commun, mais aussi, d'une façon plus générale, leur désir d'être ensemble. Cette notion a reçu au cours des dernières années une grande attention de la part des économistes, tant dans le domaine de la Finance que de l'économie du Développement. Nous proposons une présentation de ce concept et une illustration de sa pertinence dans divers domaines de l'analyse économique.
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Concurrence fiscale et redistribution dans l'UEM : l'intérêt d'une intervention supra-nationale
Dans l'UEM, la concurrence fiscale qui sévit fait peser un risque non négligeable sur l'ampleur des mesures redistributives mises en oeuvre dans chaque pays. A partir d'un modèle théorique d'union à deux pays au sein de laquelle le travail qualifié et le capital physique peuvent se déplacer entre les pays, nous étudions l'intérêt d'une intervention d'un gouvernement supra-national chargé de corriger les externalités fiscales qui naissent de cette étroite relation entre les pays membres de l'union afin de lutter contre les effets "dommageables" de la concurrence fiscale. Nous montrons alors que le jeu non coopératif entre les gouvernements nationaux conduit à un biais de redistribution en faveur des travailleurs qualifiés. Dans ces conditions, en taxant les services publics offerts par chaque gouvernement, le gouvernement central peut modifier l'affectation des budgets nationaux opérée dans chaque pays
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Y-a-t-il des lois naturelles en économie ? Histoire et portée du concept de "taux de chômage naturel
L'objet de la communication est de décliner le thème du colloque d'une manière spécifique, en s'interrogeant sur la question de savoir s'il existe, non pas des lois, mais des lois "naturelles" en économie, et ce à propos d'un thème très précis : le taux de chômage "naturel". L'article comprend deux directions : - une première partie consiste à revenir sur l'histoire et l'actualité du concept forgé par Friedman, et relève ainsi de la direction "historique" suggérée dans l'appel à communication ("Quelles sont les petites ou grandes lois que les économistes ont énoncées au cours des temps modernes, et comment ont évolué les représentations qu'ils s'en sont donné à cette occasion ?") Elle est l'occasion de souligner les limites de l'analogie revendiquée par Friedman entre sa propre théorie du taux naturel de chômage et la théorie wicksellienne du taux naturel d'intérêt, et, en conséquence, les divergences dans la représentation qu'ont les deux auteurs de l'économie monétaire , de la monnaie et des politiques monétaires. Elle est aussi l'occasion, à la lumière de ces développements, de souligner les glissements que Friedman introduit du même coup (en usant d'une forme "d'argument d'autorité") dans le contenu du débat macroéconomique. - une seconde partie relève de la direction "épistémologique" ("Quelle signification donne-t-on ou a-t-on donné aux notions de lois naturelles ?"). Elle s'interroge en l'occurence sur la portée de la référence à la notion de "taux de chômage naturel", en s'efforçant de mettre en parallèle la critique de la notion de "naturalité" du chômage, véhiculée en particulier par les travaux sur les phénomènes d'hystérèse des taux de chômage d'équilibre, et celle menée en son temps par Sraffa (1932) à propos du concept de "taux d'intérêt naturel" forgé par Wicksell et repris par Hayek. L'article se conclut sur une discussion de la portée normative de la référence à la "naturalité" des lois économiques.
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Des caisses d'émission au Maghreb ?
L'achèvement du processus d'intégration régionale initié en 1989 par la création de l'Union du Maghreb Arabe (UMA) et l'instauration de l'union monétaire maghrébin auraient des effets positifs sur la croissance économique et la stabilité politique dans le Maghreb. Dans ce sens, la mise en place simultanée de caisses d'émission dans les pays du Maghreb contribuerait à la fois à leur intégration économique et monétaire mutuelle et à leur intégration à l'économie mondiale. Cependant, les conditions d'adoption de ce régime ne sont pas encore remplies par ces pays, mais indiquent les réformes institutionnelles prioritaires à mettre en oeuvre.
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Finance comportementale et fonds de pension
La finance comportementale remet en question, deux hypothèses fondamentales de la théorie des marchés efficients, d'une part la rationalité des investisseurs, d'autre part l'absence d'opportunité d'arbitrage. S'agissant de la rationalité, les investisseurs individuels sont sujets à des biais cognitifs, qui modifient et leurs croyances (anticipations) et leurs préférences (attitude vis-à-vis du risque). Quant à l'absence d'opportunité d'arbitrage, elle se heurte à des contraintes structurelles et institutionnelles. On peut alors conjecturer que les investisseurs collectifs que sont les fonds de pension puissent être soumis à des biais cognitifs différents des investisseurs individuels. Ils n'acquièrent pas l'information au même coût, ils disposent d'une capacité supérieure de traitement de cette information, ils n'ont pas les mêmes préférences que leurs mandants, ni les mêmes contraintes de gestion. Dans la plupart des travaux existants, la finance comportementale s'intéresse au comportement individuel. L'accent est mis sur les actions des agents sur les marchés financiers et peu sur les équilibres, même si ces équilibres sont la conséquence d'actions. La finance comportementale considère des investisseurs isolés (et les expériences qu'elle mène portent sur des individus). Or les fonds de pension sont des organismes, composés d'individus aux intérêts divergents (sponsor, manager, société de gestion déléguée, salariés, retraités) et donc soumis à des relations d'agence. Ces relations d'agence sont susceptibles d'infléchir leur comportement, dans le sens d'un amoindrissement ou d'un renforcement des phénomènes mis en évidence par la finance comportementale pour des investisseurs individuels. En tant qu'investisseurs institutionnels, ils peuvent avoir accès à des informations privées. Ils peuvent également exercer un activisme (i.e. influencer les performances des titres des sociétés dans lesquelles ils investissent). Dans cette contribution qui présente une revue de littérature, nous défendons la thèse selon laquelle, dans leur allocation statégique, les fonds de pension ont des comportements "anormaux" qui sont le reflet des individus dont ils sont les mandataires. En revanche, dans l'allocation tactique, les fonds de pension ont des biais comportementaux qui sont le reflet des relations d'agence auxquelles ils sont soumis.
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Do ECB's Statements Steer Short-Term and Long-Term Interest Rates in the Euro Zone ?
In this paper, we aim at testing whether press conferences held after the meeting of the ECB's monetary policy council steer market short- and long-term interest rates in the euro zone. To meet this goal, we "codify" the statements according to whether they are neutral, hawkish, or dovish. We show, using a principal components analysis of euro-zone (short- and long-term) interest rates that the euro-zone's market rates, react significantly to the bias in statements, and more particularly to changes in statements from one meeting to the next. If we study separately the reaction of short- and long-term interest rates to change in statements, the short end of the yield curve reacts more sharply to statements than the long segment. We show that the effect of statements peaks on interest rates with a maturity of six or twelve months and is smaller for the longer maturities. Using non-parametric tests confirms our previous results.
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Argument en faveur d'une politique de dette subordonnée obligatoire
A straightforward method to enhance market discipline in banking is the Mandatory Sub-Debt Policy (MSDP), i.e. a requirement by which some large banks are forced to regularly issue a certain minimum amount of subordinated and non-guaranteed debt. The reasons behind the mandatoty attribute of a MSDP are not trivial. At first glance, a MSDP may be even superfluous if one notes that existing sub-debt issues by many large banking organizations actually meet or exceed the minimum requirements put forward by the proponents of this reform proposal. Our objective is to demonstrate that despite this stylized fact, a MDSP is not unnecessary. Under the current regulation framework - that is, in the absence of a formal MSDP - market discipline can be easily alleviated because, as a bank's conditions deteriorates, the funding manager will shift toward insured deposits as a source of funding and will reduce the reliance on market-sensitive debt instruments. A MSDP eliminates this perverse quid pro quo by foring banks to regularly tap the primary market even when their financial conditions are weak. In the second part of the paper, we illustrate this intuition by performing several tests on European data. If the decision of issuing sub-debt is endogenous and/or subordinated creditors are really able to influence bank managers' behavior, we should find a positive correlation between the amount of sub-debt held in bank balance sheets and banking performance. Our main empirical findings can be summarized as follows. First, the sub-debt issues are made generally by the most profitable European banking organizations. Second, voluntary sub-debt issues allow banks to reduce their Tier 1 rations, while improving their overall capitalization (Tier 1 + Tier 2 ratios). Third, as far as concerns the risk profile, the amount of sub-debt held in bank balance sheet is negatively correlated with the quality of credit portfolio, but positively correlated with the ratio of loan loss reserve to total (gross) loans. These results arouse several reflections about the virtues and limitations of market discipline in banking in the absence of a formal MSDP.
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A Twin Crisis Model Inspired by the Asian Crisis
In this paper, we propose a twin crises synthetic model. We show that there may be multiple equilibria on the exchange market as well as on the international financial one and emphasize the possible connections between currency and financial crises. On the exchange market, the currency devaluation is the outcome of a trade-off by the government in presence of implicit safety nets of the banking sector. The crisis occurs whenever the anticipated devaluation rate by the market is equal to the "optimal" devaluation rate of the government. As far as the international financial market is concerned, the passage from one equilibrium to another is triggered by the evolution of the ratio Currency Reserves/Short Term Debt as a fundamental factor. Combining bank run dynamics and fundamental factors, we aim at reconciling the two major interpretations of currency and banking crises, namely the fragility of emerging financial systems and the ex-post worsening of domestic fundamentals originating in debtors or domestic government moral hazard.
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On the Use of Data Envelopment Analysis in Hedge Fund Performance Appraisal
This paper aims to show that Data Envelopment Analysis (DEA) is an efficient tool to assist investors in multiple criteria decision-making tasks like assessing hedge fund performance. DEA has the merit of offering investors the possibility to consider simultaneously multiple evaluation criteria with direct control over the priority level paid to each criterion. By addressing main methodological issues regarding the use of DEA in evaluating hedge fund performance, this paper attempts to provide investors sufficient guidelines for tailoring their own performance measure which reflect successfully their own preferences. Although these guidelines are formulated in the hedge fund context, they can also be applied to other kinds of investment funds.
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Finance comportementale et fonds de pension
La finance comportementale remet en question deux hypothèses fondamentales de la théorie des marchés efficients, d'une part la rationalité des investisseurs, d'autre part l'absence d'opportunité d'arbitrage. S'agissant de la rationalité, les investisseurs individuels sont sujets à des biais cognitifs, qui modifient et leurs croyances (anticipations) et leurs préférences (attitude vis-à-vis du risque). Quant à l'absence d'opportunité d'arbitrage, elle se heurte à des contraintes structurelles et institutionnelles. On peut alors conjecturer que les investisseurs collectifs que sont les fonds de pension puissent être soumis à des biais cognitifs différents des investisseurs individuels. Ils n'acquièrent pas l'information au même coût, ils disposent d'une capacité supérieure de traitement de cette information, ils n'ont pas les mêmes préférences que leurs mandants, ni les mêmes contraintes de gestion. Dans la plupart des travaux existants, la finance comportementale s'intéresse au comportement individuel. L'accent est mis sur les actions des agents sur les marchés financiers et peu sur les équilibres, même si ces équilibres sont la conséquence d'actions. La finance comportementale considère des investisseurs isolés (et les expériences qu'elle mène portent sur des individus). Or les fonds de pension sont des organismes, composés d'individus aux intérêts divergents (sponsor, manager, société de gestion déléguée, salariés, retraités) et donc soumis à des relations d'agence. Ces relations d'agence sont susceptibles d'infléchir leur comportement, dans le sens d'un amoindrissement ou d'un renforcement des phénomènes mis en évidence par la finance comportementale pour des investisseurs individuels. En tant qu'investisseurs institutionnels, ils peuvent avoir accès à des informations privées. Ils peuvent également exercer un activisme (i.e. influencer les performances des titres des sociétés dans lesquelles ils investissent). Dans cette contribution qui présente une revue de littérature, nous défendons la thèse selon laquelle, dans leur allocation stratégique, les fonds de pension ont des comportements "anormaux" qui sont le reflet des individus dont ils sont les mandataires. En revanche, dans l'allocation tactique, les fonds de pension ont des biais comportementaux qui sont le reflet des relations d'agence auxquelles ils sont soumis.
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LE CHÔMAGE PARTIEL : QUELLES TENDANCES ?
Entre 1995 et 2005, les autorisations de recours au chômage partiel (CP) ont fortement diminué, dans un contexte de passage aux 35 heures et de changement du régime réglementaire du dispositif. Cet article exploratoire vise à identifier des faits stylisés pour caractériser l'évolution de l'utilisation du CP par les établissements de France métropolitaine, en s'appuyant sur les fichiers mensuels d'autorisation de CP. Ce faisant, il cherche à répondre aux questions suivantes : Observe-t-on une rupture de tendance dans les autorisations de recours au CP suite au passage aux 35 heures et à la modification du régime réglementaire de CP ? En quoi le CP est-il un outil de flexibilité du temps de travail ? Son usage est-il bien conjoncturel, comme la réglementation le prévoit ? Le CP touche-t-il de manière inégale les différentes catégories d'établissements (secteur, taille) ?
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Les nouveaux défis de l'Europe
L'Europe fait face au déficit démographique qu'elle va connaître dans les années à venir suite à un profond vieillissement de sa population, elle a besoin d'une meilleure maîtrise des flux migratoires. En passant à une construction économique et monétaire, l'Europe comme berceau de civilisations, doit se centrer sur la figure humaine en appliquant les critères de convergence culturels et économiques à son évolution. Le taux de croissance de la population des pays du sud méditerranéen est plus que six fois supérieur à celui des pays du Nord. Pour améliorer substantiellement le bien être de l'ensemble de la population méditerranéenne, il faut d'abord améliorer le niveau de vie de leur population en expansion. Compte tenu des besoins en main d'œuvre pour l'Europe dans le futur, l'avenir des relations de l'espace euroméditerranéen nécessite la coopération sachant que les défis et les opportunités ont beaucoup plus en commun que l'on pense, et que la diversité peut renforcer davantage la construction de l'Europe
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Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects.
In this paper, we test a partially segmented ICAPM for two developed markets, two emerging markets and World market, using an asymmetric extension of the multivariate GARCH process of De Santis and Gerard (1997,1998). We find that this asymmetric process provides a significantly better fit of the data than a standard symmetric process. The evidence obtained from the whole period and sub-periods analysis supports the financial integration hypothesis and suggests that domestic risk is not a priced factor.
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Hedge fund behavior: An ex-post analysis
This paper aims to analyze hedge fund index behavior over the 9-year period ranging from January 1994 to December 2002 with help of various statistical measures. The results indicate that hedge fund returns are not normally distributed and exhibit first order autocorrelation, a phenomenon known as smoothing or stale price bias. Entire period correlations between 13 hedge fund indices and 85 market factors provide evidence that most of hedge fund styles show strong positive correlations with equity and real estate indices, and negative correlations with volatility index. Two exceptions are Dedicated Short Bias and Long Short Equity indices, which exhibit significant negative correlations with equity indices but positive correlations with volatility index. However, these correlations vary over time, depending on market conditions. The results also reveal that hedge funds generally underperform than the market in upward periods but do better than the market in downward ones. Dedicated Short Bias and Long Short Equity are the only ones that make loss in upward markets and make profits in downside market.
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