Mardi | 2011-02-22 B103 Leila ALI AGA – Patrick VILLIEU Cet article présente un modèle de croissance endogène inté-grant les dépenses publiques et la corruption. Les ménages ontrecours à la corruption a…n de réduire le montant de leurs impôts.Ainsi, dans ce papier, la corruption se traduit par de l’évasion fis-cale.Les résultats du modèle suggèrent qu’une fiscalité élevée tendraità encourager la corruption contrairement au coût (mesuré parl’attachement de l’Etat à la lutte anti-corruption) qui est asso-ciée à celle-ci. Par ailleurs, la […]

Mardi | 2011-02-15 B103 Sebastian KESSING – Isabelle RABAUD xx

Mardi | 2011-02-08 B103 Petar Chobanov – Amine LAHIANI – Nikolay NENOVSKY Summary: When the first phase of the crisis focused primarily on the interbank market volatility, thesecond phase spread on the instability of public finance. Although the overall stance of public financesof the new members is better than the old member countries, the differences within the new group aresignificant (from the performer Estonia to the laggard Hungary). Sovereign CDS spreads have becomemajor variables focused on risks and expectations about […]

Mardi | 2011-02-01 B103 Philippe CHARLOT – libre The goal of the present paper is to present a new multivariate GARCH model with time varying conditional correlation. Since the seminal work of Bollerslev (1990), conditional correlation models have become a attractive field in economics. Different specifications have been developed to study both empirical findings and practical use like asymmetry, change in regime but also estimation of large correlation matrix (see, e.g. Silvennoinen and Teräsvirta (2009) for a survey of recent […]

Mardi | 2011-01-25 B103 Mireille CHIROLEU-ASSOULINE – Mouez FODHA This paper analyzes the environmental tax policy issues when labor is heterogeneous. The objec-tive is to assess whether an environmental tax policy could be Pareto improving, when the revenueof the pollution tax is recycled by a change in the labor tax properties. We show that, dependingon the heterogeneity characteristics of labor and on the initial structure of the tax system, a policymix could be designed in order to leave each class […]

Mardi | 2011-01-18 B103 Patrick GAGLIARDINI – Elisa OSSOLA – Olivier SCAILLET AbstractWe develop an econometric methodology to infer the path of risk premia from large unbalancedpanel of individual stock returns. We estimate the time-varying risk premia implied by conditional linearasset pricing models through simple two-pass cross-sectional regressions, and show consistency andasymptotic normality under increasing cross-sectional and time series dimensions. We address consistentestimation of the asymptotic variance, and testing for asset pricing restrictions. Our approach alsodelivers inference for a time-varying […]

Mercredi | 2011-01-12 B103 Aram BELHADJ – Comlanvi Jude EGGOH Over the past two decades, the Maghreb Countries have initiated a liberalization process characterized by increasing trade flows and they have strengthened economic and financial linkages between their economies.In this paper, we demonstrate how co-movements of outputs would respond to this integration process. The nature of this relation seems to be important for these countries because the decision to join an economic and monetary union would depend on how the […]

Mardi | 2010-12-14 B103 Rabah AREZKI – Bertrand Candelon – Amadou SY – libre This paper examines the spillover effects of sovereign rating news across countries and financial markets using daily data on sovereign credit default swaps (CDS) spreads, stock market indices and sub-indices for banking and insurance for selected European countries during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically significant spillover effects both across countries and financial markets implying that rating agencies announcements […]

Mardi | 2010-12-07 B103 Oscar GELDERBLOM – Joost JONKER – Cyrille PIATECKI – Christian RIETSCH The debate over the institutions that link economic growth to public finance tends todisregard the need for savings to finance growing public debt. We analyze Holland’s 17thcentury public debt and find that its structure, size, and issuing rates were determined byinvestors’ preferences, themselves driven by economic growth, wealth accumulation, andchanging private investment opportunities. Savings generated by economic growthenabled the government to build up a huge […]

Mardi | 2010-11-30 B103 Pascal SEPPECHER – Cyrille PIATECKI Ce papier présente un modèle macroéconomique qui associe étroitementthéorie de la monnaie endogène et approche multi-agents. C’est un modèledécentralisé, peuplé d’agents multiples, hétérogènes, autonomes et concurrentsqui interagissent simultanément dans les sphères réelle et monétaire.Les propriétés macroéconomiques du modèle ne sont pas postulées, ce sontdes propriétés émergentes du système complexe formé par les interactionsentre les agents.On dote les entreprises de capacité d’adaptation, alliant imitation et innovation,pour déterminer les prix sur le marché […]