Mardi | 2016-05-17 16-17h20 Sully05 Christian DE PERETTI – Hanene BEN SALAH – Mohamed CHAOUCH – Ali GANNOUN – Abdelwahed TRABELSI The DownSide Risk (DSR) model for portfolio optimisation allows to overcome the drawbacks of the classical Mean-Variance model concerning the asymmetry of returns and the risk perception of investors. This model optimization deals with a positive definite matrix that is endogenous with respect to portfolio weights. This aspect makes the problem far more difficult to handle. For this purpose, […]

Mardi | 2016-05-10 16h-17h20 Sully05 Sandrine NOBLET The aim of this paper is to link the complexity of production process and the geographical dimension of fragmentation. More specially, we address the following questions: 1) how does complexity affect import volumes? and 2) how does complexity act the sensitivity of trade flows to the distance? To do so, we construct an indicator of complexity from US input-output tables. This indicator is then introduced in a gravity equation (using Comtrade Data) as […]

Mercredi | 2016-04-27 B103– 12h A venir

Mercredi | 2016-04-20 B103– 12h Christian Rodrigue TAGNE A venir

Mardi | 2016-04-19 Sully05 de 16h à 17h20 Pierre-Guillaume MEON Using two surveys, we study how respondents process visual cues to identify the political orientation (left- vs. right-wing) of French deputies, based on their official photographs only, to test the type of heuristic that they use. We first confirm that respondents outperform random guesses. Second, we find that their categorizations correlate with observable characteristics (gender, color of the tie, jewelry) and subjective assessments of deputies’ personality traits (attractiveness, competence, trustworthiness). […]

Mardi | 2016-04-05 17h00-18h10 Sully05 Sebastian SCHICH – Oana TOADER Recent regulatory reform efforts are squarely focusing on eliminating the notion that large and potentially systemic banks are “special”, and ensuring effective resolution of G-SIBs is a key element of the FSB agenda to end “too-big-to-fail”. The paper assesses progress in this regard, using as a measure estimates of the value of implicit guarantees for a sample of 27 G-SIBs and 177 other large banks from 23 countries from 2007 […]

Mercredi | 2016-03-30 B103– 12h Jérémy LEYMARIE – Christophe HURLIN – Denisa BANULESCU-RADU – Olivier SCAILLET A venir

Mardi | 2016-03-29 Sully05 de 16h à 17h20 Anna SIMONI – Siddhartha CHIB – Minchul SHIN In this paper we consider the problem of inference in statistical models characterized via moment restrictions and develop a semiparametric Bayes procedure for selecting valid and relevant moments. We cast the moment estimation problem in the Exponentially Tilted Empirical Likelihood (ETEL) framework introduced by Schennach (2007). Because the ETEL has a well-defined probabilistic interpretation and plays the role of a likelihood, a fully Bayesian […]

Mardi | 2016-03-22 Sully05 de 16h à 17h20 Florian FIZAINE – Victore COURT In the present paper we relate the recent estimations of the historical (1800-2011) global EROI of fossil fuels production performed by Court and Fizaine (2015) to the tremendous increase in Gross World Production that the global economy has encountered during the same period. We first show that on this entire period of study, there is a power inverse relationship that exists between the average price of aggregated […]

Mardi | 2016-03-15 16h-17h20 en sully5 Alberto BAGNAI – Christian Alexander MONGEAU OSPINA Building on the well-established “rockets and feathers” literature, and on the recently developed nonlinear autoregressive distributed lag (NARDL) modelling, we investigate the asymmetries in gasoline pricing on a comprehensive sample of monthly data from twelve Eurozone countries running from 1999:1 to 2015:12. The empirical results feature two robust patterns. Firstly, while the effects of exchange rate variations display a positive asymmetry (i.e., depreciations have a greater effect […]