Mardi | 2017-10-17 Salle des thèses 16h – 17h20 Guillaume CHEVILLON – Alain HECQ – Sébastien LAURENT This paper shows that a large dimensional vector autoregressive model (VAR) of finite order can generate fractional integration in the marginalized univariate series. We derive high-level assumptions under which the final equation representation of a VAR(1) leads to univariate fractional white noises and verify the validity of these assumptions for two specific models.

Mercredi | 2017-10-12 Salle B103 – 12h15 Olessia CAILLÉ – Daria ONORI The risk-based investment strategies, such as Minimum Variance, Maximum Diversification, Equal Risk Contribution, Risk Parity, etc. share the common feature of being based on a risk measure of the asset returns, typically the covariance matrix. When one comes to implement these strategies, the standard approach consists in using an unconditional covariance matrix, simply estimated by the sample covariance matrix of past returns over a rolling window. An alternative […]

Mardi | 2017-10-10 Salle des thèses 16h – 17h20 Yang LU – Christian GOURIEROUX We introduce a general state-space (or latent factor) model for time series and panel data. The state process has a polynomial expansion based dynamics that can approximate any Markov dynamics arbitrarily well, and has a latent, endogenous switching regime interpretation. The resulting state-space model is associated with simulation-free, recursive formulas for prediction and filtering, as well as the maximum composite likelihood estimation method, which has an […]

Mercredi | 2017-10-05 Salle B103 – 12h00 Nicoleta PINTILIE – Alin ANDRIES – Bogdan CAPRARU The present study re-assesses the competition-risk link based on a sample of 3,680 commercial, cooperative and savings banks from EU28 countries during 2005-2015. We determine the banklevel competition for loans and securities using Lerner index, its efficiency-adjusted form and Boone indicator. Marginal costs (MC) are estimated with a translog cost function with two bank products (i.e. loans and securities) and three input prices (i.e. labour, […]

Mardi | 2017-10-03 Salle des thèses 16h – 17h20 Patrick VILLIEU – Maxime MENUET This paper develops a new analysis of the strategic use of public debt. Contrary to the usual view that politicians can use public debt to tie the hands of their successors, we show that an incumbent government can take advantage of having tied his own hands before the election by the means of public debt. By so doing, he reduces the base for future social conflicts, […]

Mercredi | 2017-09-26 Salle B103 – 12h The influence of monetary and fiscal policy frameworks on the expected cost of systemic banking crisis.

Mardi | 2017-09-26 Salle des thèses 16h – 17h20 Yeliz YALCIN – Hakan BERUMENT – Julide YILDIRIM This paper investigates the effect of inflation uncertainty innovations on inflation over time by considering the monthly United States data for the time period 1976-2006. In order to investigate the effect of inflation uncertainty innovation on inflation, a Stochastic Volatility in Mean model (SVM) has been employed. SVM models are generally used to capture the innovation to inflation uncertainty, which cannot be achieved […]

HORY Marie-Pierre « Essais sur la politique budgétaire : Multiplicateurs et interactions budgétaires » (Sous la direction de Grégory Levieuge), soutenue le 1er décembre 2017. CLOOTENS Nicolas « Trois Essais sur les Relations de Long Terme entre croissance et Environnement » (Sous la direction de Mouez FODHA et Xavier GALIÈGUE), soutenue le 19 octobre 2017. TAGNE Christian Rodrigue « Les pensions de réversion en France : équivalent patrimonial des droits à la retraite, impacts des réformes et niveau de vie des pensionné(e)s » (Sous les directions d’Alexis DIRER […]

Mardi | 2017-09-19 Salle des thèses 16h – 17h20 This paper introduces Mixed Data Sampling (MIDAS) to panel regressions suitable for analysis with GMM of the Arellano-Bond form. As MIDAS specification tests are lacking, even in univariate contexts, our proposed methods statistically embed specification checks. We proceed via confidence set estimation for the MIDAS parameter for which empty outcomes signal lack of fit. Conformably, simultaneous and partialled-out confidence sets for the regression coefficient are proposed that address the unidentified boundary […]

Mercredi | 2017-09-06 B103 12h Marie-Pierre HORY – Grégory LEVIEUGE – Daria ONORI After presenting an empirical evidence of the negative impact of foreign denominated debt on the fiscal multiplier, this paper develops a two-country DSGE model with sticky prices, imperfect and incomplete international financial markets and a financial accelerator à la Bernanke et al. 1999. Following an increase in public spending, the real exchange rate depreciates. In the case where firms are indebted in foreign currency, the depreciation leads […]