Séminaires de recherche

Mercredi | 2013-10-17
Sully 9

Oana TOADER

Mardi | 2013-10-15
B103

Nicolas DEBARSY – Fei JIN – Lung-fei LEE

This paper considers the large sample properties of the matrix exponential spatial speci cation (MESS) and compares its properties with those of the spatial autoregressive (SAR) model. We nd that the quasimaximum likelihood estimator (QMLE) for the MESS is consistent under heteroskedasticity, a property not shared by the QMLE of the SAR model. For the MESS in both homoskedastic and heteroskedastic cases, consistency is proved and asymptotic distributions are derived. We also consider properties of the generalized method of moments estimator (GMME). In the homoskedastic case, we derive a best GMME that is as e cient as the maximum likelihood estimator under normality and can be asymptotically more e cient than the QMLE under non-normality. In the heteroskedastic case, an optimal GMME can be more e cient than the QMLE asymptotically and the possible best GMME is also discussed. For the general model that has MESS in both the dependent variable and disturbances, labeled MESS(1,1), the QMLE can be consistent under unknown heteroskedasticity when the spatial weights matrices in the two MESS processes are commutative. Also, properties of the QMLE and GMME for the general model are considered.The QML approach for the MESS model has the computational advantage over that of a SAR model. The computational simplicity carries over to MESS models with any nite order of spatial matrices. No parameter range needs to be imposed in order for the model to be stable. Furthermore, the Delta method is used to derive test statistics for the impacts of exogenous variables on the dependent variable. Results of Monte Carlo experiments for nite sample properties of the estimators are reported. Finally, the MESS(1,1) is applied to Belgium’s outward FDI data and we observe that the dominant motivation of Belgium’s outward FDI lies in nding cheaper factor inputs

Mardi | 2013-10-10
salle des thèses

Hyacinthe DEFOUNDOUX – Célestin MAYOUKOU

XX

Mardi | 2013-10-08
salle des thèses

Mouez FODHA

This article analyzes the long-term consequences of nuclear waste storage within a general equilibrium framework. The objective is to determine the conditions for which the storage of waste, and thus the transfer of externalities towards the future, can be optimal. These conditions could explain the implementation of intergenerational externalities, justifying an intertemporal Not In My Back Yard behaviour. We …rst show that the choice of the policy instruments determine the feasibility of the storage policy. Indeed, economic stability imposes precise levels of the rate of storage or of the tax rate, making it possible to avoid chaotic economic dynamics. Depending on the period at which an accident may occur and on the value of the social discount rate, storing all the nuclear waste may be optimal. Indeed, the longer the zero risk period is, the lower is the impact of nuclear risk on the welfare of the present generations.

Mercredi | 2013-10-02
B103

Oana TOADER

Mardi | 2013-10-01
salle des thèses

Emilia COROVEI – Simona MUTU

Generally, the incentives of banks to stock liquid assets are driven by two reasons: the precautionary motive and the speculative motive. Using bank-specific balance sheet data this paper provides empirical evidence of the main drivers of liquidity hoarding behavior in the European banking system during 2004-2011. We propose a time-varying approach to distinguish between liquidity hoarding and non-hoarding banks. The methodology is based on the First Difference GMM estimator of Arellano and Bond (1991) which accounts for persistency of the dependent variable, endogeneity, heteroskedasticity and autocorrelation. The bank specific data used in our analysis reveals the precautionary motives of European banks to hoard liquid assets. Funding constraints, structural balance sheet risk, investment portfolio risk, specialization and profitability are key determinants of the hoarding behavior. The findings are relevant both for the individual risk management of banks as well as for the financial supervisory authorities in designing an efficient macroprudential supervision framework.

Mercredi | 2013-09-25
B103

Adbou Khadry SALL

Mardi | 2013-09-24
salle des thèses

Nicolas DUBOIS-DUNILAC – Matthias PECOT

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Mercredi | 2013-09-18
B103

Aurélien LEROY – Désiré KANGA – Yannick LUCOTTE

This paper examines the implications of banking competition for the interest rate channel in Eurozone over the period 2003-2010. Using an Error Correction Model (ECM) approach to measure the long and short-run relationship between money market rates, bank interest rates, and our competition proxy, the Lerner index, we find that competition (i) reduces the bank lending interest rates, (ii) increases the long-term interest pass-through and, (iii) speeds up the adjustment towards the long-run equilibrium in the short-run. Therefore, competition would improve the effectiveness of monetary policy transmission through the interest rate channel, and from this point of view should be fostering in Eurozone. Because the 2007-2009 financial crisis has undoubtedly led to a modification of monetary policy and an increase of heterogeneity in Eurozone, we control and extend our results by considering many other aspects than market structure, which can affect interest rate pass-through. Even if we observe that other factors (economic heterogeneity, systemic risk, banking stability and capitalization) matter for monetary policy transmission, bank competition remains a key determinant of pass-through.

Mardi | 2013-09-17
salle des thèses

Vicente UGALDE

À travers la présentation d’un projet pour mettre en œuvre une installation pour le traitement des déchets dangereux au Mexique, la communication proposera une révision des 25 ans de la politique mexicaine des déchets dangereux. L’objectif est d’identifier les idées sous-jacentes de cette politique, et les principaux problèmes qui affectent sa mise en œuvre et de réfléchir à son avenir et son rôle dans la transition vers un comportement plus respectueux de l’environnement du secteur industriel au Mexique.