Année : 2014

Mardi | 2014-03-25 Salle des thèses Stéphanie COLLET “Unfair” sovereign debts, used, for instance, to suppress a rebellion, may be declared “odious” and not be repaid once the former regime is overthrown. Bondholders may there-fore require a premium to compensate for the higher default risk due to the potentially odious character of these debts. On the basis of an original database of Cuban bonds, the paper shows the existence of a risk premium of at least 200 basis points which […]

Mardi | 2014-03-18 salle des thèses Francesco DI COMITE – Antonella NOCCO – Gianluca OREFICE In this paper we develop a three-country monopolistic competition model with variable elasticity of substitution and vertical linkages to study the impact of trade liberalization on trade creation, trade diversion and labor market outcomes. This framework allows us to identify a source of gain from trade often neglected in the literature: cost savings on capital investments. Our model is empirically motivated by the observation that […]

Mardi | 2014-03-11 salle des thèses Lung-fei LEE – Xingbai XU This paper examines a Tobit model with spatial autoregressive interactions. Weconsider the maximum likelihood estimation for this model and analyze asymptotic properties of the estimator based on the spatial near-epoch dependence of the dependent variable process generated from the model structure. We show that the maximum likelihood estimator is consistent and asymptotically normally distributed. Monte Carlo experiments are performed to verify finite sample properties of the estimator.

Mardi | 2014-03-04 salle des thèses Oscar BERNAL – Jean-Yves GNABO – Grégory GUILMIN This paper contributes to the Eurozone debt-crisis literature by analyzing the role of economic policy uncertainty (EPU) on risk spillovers. Our two-step estimation procedure rst applies the CoV aR approach developed in Adrian and Brunnermeier (2011) on data over 10 EMU countries between Q4/2008 and Q2/2013 to estimate the extent to which distress within one country a ects risk at the Eurozone level. Second the CoV […]

Mercredi | 2014-02-19 B103 Hadi KHALIL Dans le modèle financier traditionnel reposant sur l’intermédiation bancaire, le processus de création de liquidité par l’intermédiation des bilans des banques était particulièrement facile à identifier. Dans cet article, nous analysons la relation simultanée entre la variation du capital des banques et leur processus de création de liquidité ou leur exposition au risque de liquidité. Pour ce faire, le test de causalité de Granger, dans le cadre d’un modèle à deux équations simultanées, est […]

Mardi | 2014-02-18 B103 Denisa BANULESCU-RADU – Gilbert COLLETAZ – Christophe HURLIN – Sessi TOKPAVI This paper proposes an intraday high-frequency risk (HFR) measure speci…fically designed for HFR management and high-frequency trading (HFT). The HFR measure is a conditional joint measure of market risk and liquidity risk for irregularly spaced high-frequency data. It combines two well-known risk measures, i.e., value at risk (VaR) and time at risk (TaR). We propose a forecasting procedure for both measures, which complies with HFR […]

Mercredi | 2014-02-12 B103 Denisa BANULESCU-RADU – Zhuo HUANG – Marius² MATEI – Peter REINHARD HANSEN We study the financial volatility during the global fi nancial crisis and use the largest volatility shocks to identify the major events during the crisis. First, we propose an improved version of the Realized GARCH which accounts for the asymmetry and the impact of outliers on volatility. This model takes advantage of the realized measures of volatility, in the modeling of daily returns. The […]

Mardi | 2014-02-11 salle des thèses Stergios ATHANASSOGLOU Social well-being is intrinsically multidimensional. Welfare indices attempting to reduce this complexity to a unique measure abound in many areas of economics and public policy. Ranking alternatives based on such measures depends, sometimes critically, on how the di erent dimensions of welfare are weighted. In this paper, a theoretical framework is presented that yields a set of consensus rankings in the presence of such weight imprecision. The main idea is to consider […]

Mardi | 2014-02-04 salle des thèses M Victoria CABALLERO – Mariano MATILLA GARCIA – Manuel RUIZ-MARIN In this paper we introduce the symbolic correlation integral SC(m), which avoids the noisy parameter ε of the classical correlation integral defined by Grassberger-Procaccia. Moreover we provide the asymptotic distribution of SC(m) under the null of i.i.d.. With a MonteCarlo simulation we show the size and the power performance of the new test under linear and nonlinear processes.

Mercredi | 2014-01-29 B103 Fadi KHALIL Cet article s’intéresse au concept de causalité en panel. Les approches de Konya (2006) et de Dumitrescu et Hurlin (2011) ont été retenues pour tester la (non) causalité au sens de Granger (1969) entre le taux de change réel et la croissance économique dans les pays en développement. Nous avons choisi un panel de trois groupes de pays (BRICS 1, l’organisation de coopération de Shanghai (OCS) 2, et les Tigres asiatiques 3) et utilisé […]