Année : 2014

Mardi | 2014-11-04 Sully 5 – 16h-17h20 Christophe HURLIN – Grégoire ISELI – Christophe PERIGNON – Stanley C.H. YEUNG As most Exchange-Traded Funds (ETFs) engage in securities lending or are based on total return swaps, they expose their investors to counter party risk. To mitigate the funds’ exposure, their counterparties must pledge collateral. In this paper, we present a framework to study collateral risk and provide empirical estimates for the $40.9 billion collateral portfolios of 164 funds managed by a […]

Mercredi | 2014-10-22 salle C002, 12h-14h Aurélien LEROY This paper empirically analyzes the linkages between credit procyclicality and financial architecture in Europe over the time period from 1999 to 2012 using panel VAR model with interaction terms. This framework allows to make response of credit to an real activity shock conditional to the financial structure of the different economies. Based on financial accelerator theory we presume that 4 indicators of country’s financial architecture (bank competition, bank business model, nature of […]

Mardi | 2014-10-21 Sully 5, 16h00-17h20 Charles DENNERY – Alexis DIRER This article proposes an equilibrium approach to lottery markets in which a firm designs an optimal lottery to rank-dependent expected utility (RDU) consumers. We show that a fi nite number of prizes cannot be optimal, unless implausible utility and probability weighting functions are assumed. We then investigate the conditions under which a probability density function can be optimal. With standard RDU preferences, this implies a discrete probability on the […]

Mardi | 2014-10-14 Sully 5, 16h00-17h20 Emmanuel THIBAULT – Hippolyte D’ALBIS In this paper, ambiguity aversion to uncertain survival probabilities is introduced in a life-cycle model with a bequest motive to study the optimal demand for annuities. Provided that annuities return is sufficiently large, and notably when it is fair, positive annuitization is known to be the optimal strategy of ambiguity neutral individuals. Conversely, we show that the demand for annuities decreases with ambiguity aversion and that there exists a […]

Mercredi | 2014-10-08 C002, 12h-14h Oumou GUISSE L’objectif de cet article est d’étudier la nature de la relation entre endettement extérieur et activité économique. L’étude se fait sur un panel constitué des pays membres de l’Union Économique et Monétaire Ouest Africaine (à l’exception de la Guinée Bissau) sur une période allant de 1972 à 2012. Différentes méthodologies ont été utilisées, parmi lesquelles le mécanisme de la transition brutale ou modèle PTR développée par Hansen (1999) mais aussi son extension en […]

Mardi | 2014-10-07 Sully 5, 16h30-17h50 Cyrille PIATECKI – Maxime MENUET Abstract to be added here.

Mardi | 2014-09-30 Sully 5, 16h00-17h20 Leonardo Eric CALCAGNO Using a standard microsimulation framework, this paper intends to draw perspectives on Argentina’s pension system from a household-level quaterly survey data, the EPH. After describing the country’s current public Pay-As-You-Go pension system, this paper uses the country’s household survey’s labour market related data to describe and estimate transitions between labour market states for individuals of working age. Finally, together with demographic data provided by Argentina’s statistical body INDEC, we describe how […]

Thèses soutenues en 2014 HDR soutenues en 2014

Mardi | 2014-09-23 Sully 5, 16h00-17h20 Jean-Marc ZANINETTI – Craig E. COLTEN Concentrated poverty in highly segregated neighborhoods within U.S. metropolitan areas is a long debated academic issue. Studied in isolation, the usual statistical indicators may fail to locate accurately the most distressed neighborhoods and assess the exact relationship between places, race and poverty. This paper investigates the persistent linkage between the poverty rate at the neighborhood level and the spatial distribution of African-American and Hispanic communities by using spatially […]

Mardi | 2014-07-01 Salle des thèses Denisa BANULESCU-RADU – Peter Reinhard HANSEN – Zhuo HUANG – Marius² MATEI In this paper we study the financial volatility during the global financial crisis and use the largest volatility shocks to identify major events during the crisis. Our analysis makes extensive use of high-frequency (HF) financial data for the modelling of volatility and, importantly, for determining the timing within the day when the largest volatility shocks occurred. The latter helps us identify the […]