Année : 2012

Mercredi | 2012-06-26 B103 Samouel Beji – Aram BELHADJ Most of the works related to monetary policy transmission mechanisms did not take into account the special case of developing countries. In these countries, given their features (exchange rate rigidity, financial fragility, banking prominence, etc.), it seems that the most reliable monetary transmission mechanism is the lending channel. The purpose of this paper is to focus specifically on this channel in 18 MENA Countries by using a GMM system on dynamic […]

Mercredi | 2012-06-20 B103 Oana TOADER

Mardi | 2012-06-19 B103 Elena-Ivona DUMITRESCU – Peter Reinhard HANSEN We discuss parameter estimation in a situation where the objective is good out-of-sample performance. A discrepancy between the out-of-sample objective and the criterion used for in-sample estimation can seriously degrade the performance. Using the same criterion for estimation and evaluation typically ensures that the estimator is consistent for the ideal parameter value, however this approach need not be optimal. In this paper, we show that the optimal out-of-sample performance is […]

Mercredi | 2012-06-06 B103 Cristina JUDE

Mardi | 2012-06-05 B103 Fayçal AMRANI Cet article propose une nouvelle explication de la faible présence des contrats mudharaba dans les bilans des banques islamiques. Nous démontrons que la quasi disparition des contrats de partage dans la pratique des institutions financières islamiques n’est pas liée à la nature de ces contrats mais à la méthode de calcul de la marge bénéficiaire des contrats mark-up. Nous proposons une méthode de calcul qui unifie le coût du financement des deux grandes catégories […]

Mercredi | 2012-05-23 B103 Leila ALI AGA

Mercredi | 2012-05-23 B103 Abdelkader BOUDRIGA – Wafa GHARDALLOU- BEN AHMED This paper examines whether the effects of democracy on financial development are influenced by the quality of institutions using a panel dataset of a large sample of developed and developing countries over the period 1984-2006. The results indicate that democracy plays a direct important role in stimulating the financial development. Particularly, effects of democracy on financial development are enhanced by higher levels of economic institutions. Otherwise, development may be […]

Mercredi | 2012-05-16 B103 Denisa BANULESCU-RADU – Bertrand Candelon – Christophe HURLIN Considering mixed data sampling (MIDAS) regressions, we analyze the inuenceof the sampling frequency of intra-daily predictors on the accuracy of the volatility forecasts. We propose various in-sample and out-of-sample comparisons of daily,weekly and bi-weekly volatility forecasts issued from MIDAS regressions based on intra-daily regressors sampled at di erent frequencies. First, we show that increasing the frequency of the regressors improves the forecasting abilities of the MIDAS model. In […]

Mercredi | 2012-04-18 B103 Muhammad KHAN – Nikolay NENOVSKY

Mardi | 2012-04-17 B103 Aymen BELGACEM – Amine LAHIANI This paper investigates the impact of US scheduled macroeconomic announcementson the domestic, the French and the German market, respectively using anaugmented version of the multivariate DCC-GARCH model. Our setting allows toseparate the direct effect (common response), from the indirect effect(volatility transmission) of the US macroeconomic announcements on the two European markets. Empirical results show evidence of a direct reaction of French and German investors to some common as well as specific […]