Mardi | 2015-01-20 Sully 5 – 16h-17h20 Rudiger AHREND – Emily FARCHY – Ioannis KAPLANIS – Alexander C. LEMBCKE This paper estimates agglomeration benefits across five OECD countries, and represents the first empirical analysis of how metropolitan governance structures might affect city productivity. The comparability of results in a multi-country setting is supported through the use of a new internationally harmonised definition of cities based on economic linkages rather than administrative boundaries. In line with the literature, the analysis confirms […]

Mercredi | 2015-01-14 salle B103, 12h-14h Ismaël ISSIFOU Empirical evidence suggests that economic downturn is a key driver of the improvement in governance quality. This paper uses the commodity exports price growth rate, the net barter terms of trade and the exports growth rate to identify the effect of economic upturnon various aspects of governance. We find that positive economic shocks induce better governance. Moreover, our results suggest that governance quality depends on the type of shocks that prevail in […]

Mardi | 2015-01-13 Sully 5, 16h-17h20 Patrick GAGLIARDINI – Elisa OSSOLA – Olivier SCAILLET We build a simple diagnostic criterion for approximate factor structure in large cross-sectional equity datasets. Given a model for asset returns with observable factors, the criterion checks whether the error terms are weakly cross-sectionally correlated or share at least one unobservable common factor. It only requires computing the largest eigenvalue of the empirical cross-sectional covariance matrix of the residuals of a large unbalanced panel. The panel […]

Mercredi | 2014-12-17 salle B103, 12h-14h Hadi KHALIL – Syed Muhammad Noaman Ahmed SHAH In this paper, we try to analyze the spillover effects of sovereign debt crisis in Euro-area on non-financial corporate sector through banks liquidity creation transmission channel. The existing empirical literature mainly treats the sovereign-bank or bank-corporate nexus while gauging the spillover effects of vulnerability in the said sectors. The current study is an attempt to fill the gap and provides a novel approach to view the […]

Mardi | 2014-12-16 Sully 5, 16h-17h20 Djamel KIRAT – Claire GAVARD We analyze the price dynamics of European allowances and international carbon credits in the second phase of the European carbon market. We develop and use a model combining fundamental drivers associated with the demand for quotas by installations and risk-return considerations related to the financial nature of carbon permits. We estimate it with autoregressive conditional heteroskedasticity models. Although carbon permits present some characteristics of financial assets, we find that […]

Mercredi | 2014-12-10 salle B103, 12h-14h Awa TRAORE Abstract: Major African cities came recently in the age of digital communications, mainly through the uprising of mobile phone networks which have experienced an impressive growth throughout the continent. The development of the continent mobile telecommunication market is providing many advantages in the economic, social and human fields, changing rural and urban populations access to information in most of developing countries, including Sub-Saharan Africa countries. The telecommunications sector has then been coming […]

Mercredi | 2014-12-03 salle B103, 12h-14h Nada MSELMI Abstract Financial distress prediction is a central issue in empirical finance that has drawn a lot of research interests in the literature. This paper aims to predict the financial distress of French small and medium firms using Logit model, Artificial Neural Networks and Support Vector Machine techniques. Empirical results indicate that one year before financial distress, Support Vector Machine is the best classifier with an overall accuracy of 88.57%. Two years before […]

Mardi | 2014-12-02 Sully 5, 16h-17h20 Daria ONORI – Marwân-al-Qays BOUSMAH We analyze the influence of financial openness on the level of aggregate consumption, a research question which has been left surprisingly unexplored by the previous literature. We construct a complete and balanced panel dataset of 88 countries for the period 1980-2010, and then differentiate between four groups of countries. Models for non stationary heterogeneous panels, as well as panel threshold regression models, are used to estimate the determinants of […]

Mercredi | 2014-11-26 salle B103, 12h-14h Armand FOUEJIEU AZANGUE – Alexandra POPESCU The leaning against the wind strategy in which the central bank responds to financial imbalances when setting its policy interest rate has been advocated in the aftermath of the recent financial crisis. While such a strategy can generate trade-offs between policy objectives, macroprudential frameworks are discussed in current debates as the most appropriated approaches to cope with financial instability. In response to financial risks, this paper investigates the […]

Mardi | 2014-11-25 Sully 5, 16h00-17h20 Gabriel AHLFELDT – Volker NITSCH – Nicolai WENDLAND The decision on where to locate transportation infrastructure is often a matter of great public dispute. Typically, positive and negative externalities arise simultaneously, exhibiting varying effects on localities in the surrounding area of the infrastructure. Given the difficulties in assessing these effects separately, previous work usually examines aggregate (net) effects of infrastructure provision, typically measured by property prices or land values. However, this approach is likely […]