Mardi | 2019-11-05 Salle des thèses 16h-17h20 Financial institutions increasingly rely on predictive machine learning models to detect fraudulent transactions. Two main challenges when building a supervised tool for fraud detection are the imbalance or skewness of the data and the various costs for different types of miscalissification. We discuss techniques to solve the imbalance issue and present a cost-sensitive logistic regression algorithm.

Mercredi | 2019-10-24 Salle B103 – 12h00 Tobignaré YABRE This paper analyses the growth effect of various components of public expenditure in interaction with numerical fiscal rules. We estimate a dynamic panel model for 92 developed and developing countries using a Generalized Method of Moments (GMM) technique. We provide a more systematic empirical evidence than available hitherto defending that the adoption of a fiscal rule generates a shift on the composition of government expenditure that may increase the growth rate. […]

Mardi | 2019-10-22 Salle des thèses 16h – 17h20 We provide a bank-run model in which confidence is proxied by the noise around the estimation by depositors of the distribution of the asset portfolio of their bank in t = 0. The probability that a bank i experiences a run in t = 1 depends on the realized returns of the other banks due to informational and balance sheet linkages between financial institutions. Low confidence is found to foster informational […]

Mercredi | 2019-10-10 Salle B103 – 12h00 Hugo ORIOLA The literature dealing with the political impact on monetary authority is marked by an ongoing discussion. This paper aims to prove that politically induced cycles in the monetary policy called political monetary cycles (PMC) exist in reality. We find evidence that such a phenomenon is observable in both developed and developing countries. Moreover, this result is confirmed regardless the level of independence of the central bank. In addition, we examine if […]

Mardi | 2019-10-08 Salle des thèses 16h – 17h20 Colombe LADREIT DE LACHARRIèRE – Jérémie COHEN-SETTON – Egor GORNOSTAY This paper estimates the effects of fiscal stimulus on economic activity using a novel database on large fiscal expansions for 17 OECD countries for the period 1960–2006. The database is constructed by combining the statistical approach to identifying large shifts in fiscal policy with narrative evidence from contemporaneous policy documents. When correctly identified, large fiscal stimulus packages are found to have […]

Mercredi | 2019-09-26 Salle B103 – 12h00 Robert Christian Serge MEBENGA M’ENAM Nous nous proposons dans ce travail, d’estimer une règle opérationnelle de conduite permettant aux responsables de la BEAC de préserver la stabilité des prix tout en limitant les écarts du PIB par rapport à sa cible. Pour ce faire, nous optimisons une fonction-objectif conforme au mandat de la BEAC. Nous dérivons ensuite le taux d’inflation optimal et effectuons des simulations sur le paramètre d’arbitrage entre la variabilité de […]

Mardi | 2019-09-24 Salle des thèses 16h – 17h20 Isabelle RABAUD – VOLKER NITSCH 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. […]

Mardi | 2019-09-17 Salle des thèses 16h – 17h20 Cyriac GUILLAUMIN – Salem Boubakri – Alexandre SILANINE The aim of this paper is to investigate the relationship between the real effective exchange rate misalignments and the real commodity price volatilities in a sample of 46 commodity-exporting countries, taking into account the level of financial development as the transition variable. We first estimate the currency misalignments as the deviation of the observed real effective exchange rates from their equilibrium values estimated […]

Mardi | 2019-09-12 Salle des thèses 16h – 17h20 Gerhard TOWENS – Radoslaw STEFANSKI – Marta TROYA MARTINEZ International contracts are difficult to enforce, especially in countries with weak institutions. Thus, oil rich countries can hold up international oil firms by renegotiating taxes once the investment is sunk. If future gains from trade exist, countries can devise a self-enforcing agreement instead. We use elections to show that governments in countries with weak institutions indeed face a binding self-enforceability constraint, while […]