Mercredi | 2014-02-19 B103 Hadi KHALIL Dans le modèle financier traditionnel reposant sur l’intermédiation bancaire, le processus de création de liquidité par l’intermédiation des bilans des banques était particulièrement facile à identifier. Dans cet article, nous analysons la relation simultanée entre la variation du capital des banques et leur processus de création de liquidité ou leur exposition au risque de liquidité. Pour ce faire, le test de causalité de Granger, dans le cadre d’un modèle à deux équations simultanées, est […]

Mardi | 2014-02-18 B103 Denisa BANULESCU-RADU – Gilbert COLLETAZ – Christophe HURLIN – Sessi TOKPAVI This paper proposes an intraday high-frequency risk (HFR) measure speci…fically designed for HFR management and high-frequency trading (HFT). The HFR measure is a conditional joint measure of market risk and liquidity risk for irregularly spaced high-frequency data. It combines two well-known risk measures, i.e., value at risk (VaR) and time at risk (TaR). We propose a forecasting procedure for both measures, which complies with HFR […]

Mercredi | 2014-02-12 B103 Denisa BANULESCU-RADU – Zhuo HUANG – Marius² MATEI – Peter REINHARD HANSEN We study the financial volatility during the global fi nancial crisis and use the largest volatility shocks to identify the major events during the crisis. First, we propose an improved version of the Realized GARCH which accounts for the asymmetry and the impact of outliers on volatility. This model takes advantage of the realized measures of volatility, in the modeling of daily returns. The […]

Mardi | 2014-02-11 salle des thèses Stergios ATHANASSOGLOU Social well-being is intrinsically multidimensional. Welfare indices attempting to reduce this complexity to a unique measure abound in many areas of economics and public policy. Ranking alternatives based on such measures depends, sometimes critically, on how the di erent dimensions of welfare are weighted. In this paper, a theoretical framework is presented that yields a set of consensus rankings in the presence of such weight imprecision. The main idea is to consider […]

Mardi | 2014-02-04 salle des thèses M Victoria CABALLERO – Mariano MATILLA GARCIA – Manuel RUIZ-MARIN In this paper we introduce the symbolic correlation integral SC(m), which avoids the noisy parameter ε of the classical correlation integral defined by Grassberger-Procaccia. Moreover we provide the asymptotic distribution of SC(m) under the null of i.i.d.. With a MonteCarlo simulation we show the size and the power performance of the new test under linear and nonlinear processes.

Mercredi | 2014-01-29 B103 Fadi KHALIL Cet article s’intéresse au concept de causalité en panel. Les approches de Konya (2006) et de Dumitrescu et Hurlin (2011) ont été retenues pour tester la (non) causalité au sens de Granger (1969) entre le taux de change réel et la croissance économique dans les pays en développement. Nous avons choisi un panel de trois groupes de pays (BRICS 1, l’organisation de coopération de Shanghai (OCS) 2, et les Tigres asiatiques 3) et utilisé […]

Mardi | 2014-01-28 salle des thèses Laurent BARRAS – Patrick GAGLIARDINI – Olivier SCAILLET Slide

Mercredi | 2014-01-22 B103 Sylvain BENOIT – Christophe HURLIN – Christophe PERIGNON

Mardi | 2014-01-21 salle des thèses Marc POURROY Are emerging economies implementing inflation targeting (IT) with a perfectly flexible exchange-rate arrangement, as developed economies do, or have these countries developed their own IT framework? This paper offers a new method for assessing exchange-rate policies that combines the use of “indicator countries”, providing an empirical definition of exchange-rate flexibility or rigidity, and clustering through Gaussian mixture estimates in order to identify countries’ de facto regimes. By applying this method to 19 […]

Mercredi | 2014-01-15 B103 Armand FOUEJIEU AZANGUE – Alexandra POPESCU – Patrick VILLIEU The concern for fi nancial stability has gained increasing interest for monetary policy making. In the aftermath of the 2008 global financial crisis, it has been argued that monetary policy should prevent or dampen raising fi nancial risk by responding actively to fi nancial imbalances. This paper investigates the extent to which central bank’s reaction to fi nancial instability may be incompatible with its other macroeconomic stability […]