Mardi | 2015-05-12 Sully 5, 16h-17h20 Julien PENASSE This paper develops an estimation framework in which the true parameters of international return processes share a common distribution. The model (i) makes e fficient use of the cross-sectional correlation in the residuals, (ii) incorporates cross-sectional information in the estimation process, and (iii) introduces economic constraints on equity premium forecasts. The eff ect on estimation precision is remarkably strong and manifests itself both in- and out-of-sample. Once cross-sectional information is accounted for, […]

Mardi | 2015-05-05 Sully 5, 16h-17h20 Gancho GANCHEV – Vladimir TSENKOV – Elena STAVROVA The functions of money as medium of exchange and unit of account are closely related to the problems of relative prices formation and the value of money itself. Rejecting the classical dichotomy, we can assume some interaction between the real and the monetary sectors. Following the new trends in monetary theory we focus on the nominal macroeconomic parameters. In particular, econometric research is carried out in […]

Mardi | 2015-04-23 Sully 4, 16h-17h20 Jean-Yves GNABO – Lyudmyla HVOZDYKZ – J erôme LAHAYE This paper studies bivariate tail comovements on fi nancial markets that are of crucial importance for the world economy: the S&P 500, US bonds, and currencies. We propose to study that form of dependence under the lens of cojump identi cation in a bivariate Brownian semimartingale with idiosyncratic jumps, as well as cojumps. Whereas univariate jump identi cation has been widely studied in the high-frequency […]

Mardi | 2015-04-14 Sully 4, 16h-17h20 Mouhamadou FALL – Momar Sylla DIENG Cet article cherche à déterminer les facteurs économiques et non-économiques susceptibles d’influer la consommation d’assurance vie dans la zone UEMOA, tout en essayant de tenir compte des réalités socio-économiques et démographiques de la région. En utilisant les données de panel sur la période 2000-2011, il ressort de nos estimations que l’emploi, le ratio de dépendance jeune, l’urbanisation, l’espérance de vie et le taux d’intérêt sont des facteurs affectant […]

Mercredi | 2015-04-08 salle B103, 12h-14h Nicolas CLOOTENS The paper is not available.

Mardi | 2015-04-07 Sully 5, 16h-17h20 Isabelle RABAUD Services represent nearly 70% of employment and generate more than two thirds of employment, while trade in services accounts for only 20% of total trade. World exports of services appear more resilient to recent crisis than trade in goods. Impediments to trade in services correspond mainly to regulations. This paper aims to look at the impact of the quality of institution on the intensity of bilateral trade in services. We apply a […]

Mercredi | 2015-04-01 salle B103, 12h-14h Robin BOUDIAS The paper is not available.

Mardi | 2015-03-31 Sully 4, 16h-17h20 Kady Marie-Danielle BODY – Liliane BONNAL – Pascal FAVARD Très peu d’études françaises se sont intéressées à l’impact du travail salarié des étudiants sur leur réussite universitaire et à notre connaissance aucun sur les étudiants inscrits en première année. Dans cet article, nous essayons de mesurer cet impact. Les résultats obtenus pour la première année de licence montrent que l’emploi salarié va de pair avec une plus forte probabilité d’abandonner les études en cours […]

Mercredi | 2015-03-25 salle B103, 12h-14h Aurélien LEROY This paper empirically analyses the links between banking competition and manufacturing productivity growth for a sample of 10 European countries over the period 1999-2009. To test this relationship, which is from a theoretical point of view unclear, we use a difference-in-difference methodology close to the one proposed by Rajan and Zingales (1998). We find that the total factor productivity of the most financially dependent industries grows at a slower rate in economies […]

Mardi | 2015-03-24 Sully 5, 16h-17h20 Christophe HURLIN – Sébastien LAURENT – Rogier QUAEDVLIEG – Stephan SMEEKES We propose a widely applicable bootstrap based test of the null hypothesis of equality of two fi rms’ Risk Measures (RMs) at a single point in time. The test can be applied to any market-based measure. In an iterative procedure, we can identify a complete grouped ranking of the RMs, with particular application to fi nding buckets of fi rms of equal systemic […]