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 […]

Mardi | 2010-11-30 B103 Pascal SEPPECHER – Cyrille PIATECKI Dans un papier récent (Seppecher 2010b), écrit pour le colloque de l’Associationpour le Développement des Etudes Keynésiennes (ADEK, Bordeaux,juillet 2010), j’ai présenté une série de simulations dans lesquelles les entreprisespeuplant un modèle multi-agents avec monnaie endogène mettaient enoeuvre des stratégies évolutionnaires pour déterminer le prix de vente de leurproduction, cherchant à maximiser leurs profits. J’y étudiais l’impact macroéconomiquede ces stratégies, m’intéressant en particulier à leurs effets surla répartition du revenu entre […]

Mardi | 2010-11-23 B103 Clément CARBONNIER – Alexis DIRER – libre This article exploits a large micro-file tax return data to test whether savers respond to the presence of tax incentives by contributing more in saving accounts that mandate annuitization at retirement. A frictionless model of demand for annuity is first set, which highlights the phenomenon of bunching of savers around tax thresholds when consumers’ budget set is kinked. Using French households income tax data, we do not find any […]

Mardi | 2010-11-16 B103 Nicolas DEBARSY (CERPE De Namur) – Cem ERTUR – James P. LeSAGE – libre There is a great deal of literature regarding the asymptotic properties ofvarious approaches to estimating simultaneous space-time panel models, butlittle attention has been paid to how the model estimates should be interpreted.The motivation for use of space-time panel models is that they canprovide us with information not available from cross-sectional spatial regressions.[8] show that cross-sectional simultaneous spatial autoregressivemodels can be viewed as […]

Mercredi | 2010-11-10 B103 Bérangère LEGENDRE