Séminaires de recherche

Mardi | 2013-06-25
B103

Sébastien GALANTI – Zahra BEN BRAHAM

Financial analysts issue “buy”, “sell” or “hold” recommendation about stocks. Recommendations have value if investors trade upon them, which should affect prices and trading volumes. We use the methodology of event study to analyze price and volume reaction to the recommendation release. With a database of 2359 recommendations about 55 companies on the Tunisian Stock Exchange (BVMT) from 2005 to 2009, we show that prices and volumes react significantly to recommendations level. However, we only provide a weak evidence of reaction to changes in recommendations. We explain this result by a special feature of this market place: the systematic release of monthly recommendations, in contrastto developed markets where new recommendations are issued only if new information is available. This can focus investors on the confirmation of the recommendation, rather than on their revisions. We also confirm a special feature of emerging stock markets, which is that volumes are abnormally low following a “sell” recommendation, whereas in that case they are abnormally high in more liquid markets.

Mardi | 2013-06-11
salle des thèses

Badi H. BALTAJI – Alain PIROTTE

This paper derives the Best Linear Unbiased Predictor (BLUP) for a spatial nested error components panel data model. This predictor is useful for panel data applications that exhibit spatial dependence and a nested (hierarchical) structure. The predictor allows for unbalancedness in the number of observations in the nested groups. One application includes forecasting average housing prices located in a county nested in a state. We derive the BLUP accounting for the spatial correlation across counties as well as the unbalancedness due to observing di¤erent number of counties nested in each state. Ignoring the nested spatial structure leads to ine¢ciency and inferior forecasts. Using Monte Carlo simulations, we show that our feasible predictor is better in root mean square error performance than the usual fixed and random effects panel predictors ignoring the spatial nested structure of the data.

Mardi | 2013-06-04
B103

Neslihan SAKARYA – Robert DE JONG

The Hodrick-Prescott (HP) filter is a commonly used tool in macroeconomics, and is used to extract a trend component from a time series. In this paper, we derive a new representation of the transformation of the data that is implied by the HP fi lter. This representation highlights that the HP filter is a weighted average plus a number of adjustments that are important near the begin and end of the sample. Using this representation, we characterize the large T behavior of the HP filter and fi nd conditions under which it is asymptotically equivalent to a symmetric weighted average. We fi nd that the cyclical component of the HP fi lter possesses weak dependence properties when the HP filter is applied to a stationary mixing process, a linear deterministic trend process and/or a process with a unit root. This justifi es the use of the HP filter as a tool to achieve weak dependence in a time series and illustrates that the finding in empirical macro that data series tend to have deterministic trends and/or unit roots and the practice of using inference procedures based on the cyclical component of the HP filter are not contradictory. In addition, a large bandwidth approximation to the HP filter is derived, and using this approximation we find an alternative justifi cation for the procedure given in Ravn and Uhlig (2001) for adjusting the bandwidth for the data frequency.

Mardi | 2013-05-21
B103

Jean-Yves GNABO – Diego MOCCERO

We contribute to the empirical literature on the risk-management approach to monetary policy by estimating regime switching models where the strength of the response of monetary policy to macroeconomic conditions depends on the level of risk associated with the inflation outlook and risk in financial markets. Using quarterly data for the Greenspan period we find that: i) risk in the inflation outlook and volatility in financial markets are a more powerful driver of monetary policy regime changes than the variables typically suggested in the literature, such as the level of inflation, the output gap and the Fed Funds rate; ii) estimation of regime switching models shows that the response of the US Fed to the inflation outlook is invariant across policy regimes; iii) however, in periods of high economic risk monetary policy tends to respond more aggressively to the output gap and the degree of inertia tends to be lower than in normal circumstances; and iv) the US Fed is estimated to have responded aggressively to the output gap in the late 1980s and begging of the 1990s, and in late 1990s and early 2000s. These results are consistent with Mishkin (2008)’s view that in periods of high economic risk monetary authorities should respond aggressively to changes in macroeconomic conditions while the degree of inertia should be lower than in normal circumstances.

Mardi | 2013-05-07
B103

Christophe PERIGNON – Boris VALLEE

We examine the toxic loans sold by investment banks to local governments. Using proprietary data, we show that politicians strategically use these products to increase chances of being re-elected. Consistent with greater incentives to hide debt, toxic loans are utilized significantly more frequently within highly indebted local governments. Incumbent politicians from politically contested areas are also more likely to turn to toxic loans. Using a difference in-differences methodology, we show that politicians time the election cycle by implementing more transactions immediately before an election than after. Politicians also exhibit herding behavior. Our findings demonstrate how financial innovation can foster strategic behaviors.

Mercredi | 2013-04-30
Sully 4

Cem ERTUR – Marion NICOLUCCI

Mercredi | 2013-04-19
B103

Eric YAYI – Alexis DIRER

Les épargnants d étenant des titres nanciers risqu es ont-ils tendance a investir à contretemps sur les march és boursiers, achetant au sommet et vendant dans les creux ? R éduisent-ils leur exposition au risque avec l’âge et en particulier à l’approche de la retraite ? Nous r épondons à ces deux questions à l’aide des donn ées d’un grand assureur fran cais répertoriant les souscriptions de contrats Madelin entre 2002 et 2009. Les souscripteurs peuvent placer leur épargne dans deux types de support : un fonds en euros compos é essentiellement de titres mon étaires quasi sans risque, et des fonds en unit és de compte repr ésentant des partsd’OPCVM investies en titres dont le rendement est risqu e.Nous montrons que la part du capital investie en unit es de compte est sensible a la conjonc-ture boursi ere, mais essentiellement a la date de souscription du contrat. Une fois la partinitiale s electionn ee, une forte inertie des choix de portefeuille est observ ee puisque les epar-gnants ne reviennent que tr es rarement sur la d ecision prise a l’ouverture. Nous constatonsune forte procyclicit e des choix d’investissement qui s’explique par une extrapolation de laperformance boursi ere r ecente. Les nouveaux souscripteurs ach etent des actifs risqu es lorsquela Bourse monte et cessent d’en acheter quand elle descend. Cela les conduit a d etenir unepart d’actifs risqu es minimum en 2004, au d ebut d’une phase de hausse de quatre ans etune part maximum en 2008 au d ebut de la chute boursi ere li ee a la crise nanci ere.Nous trouvons egalement que la part risqu ee d ecline de fa con r eguli ere avec l’^age une foistenus compte des e ets temps et en excluant les e ets g en eration. Le pro l par ^age d ecline egalement dans la con guration inverse (prise en compte des e ets g en eration et exclusiondes e ets temps) mais la baisse est moins accentu ee. Elle est en e et le produit de deuxph enom enes. D’une part le nombre d’ epargnants investissant dans des actifs risqu es tend as’accro^ tre avec l’^age. D’autre part, conditionnellement a investir, la part risqu ee diminueavec l’^age. Apr es une discussion de la plausibilit e des di erents e ets, nous estimons uneprobabilit e de d etention d’unit es de compte qui d ecro^ t avec l’^age d’environ 12 points depourcentage entre 40 et 60 ans, et une part investie en unit es de compte conditionnellement a d etenir une part positive qui d ecro^ t avec l’^age d’environ 6 points de pourcentage entre 40et 60 ans. La d ecroissance est trop faible pour amener la part investie a z ero a l’approchede la retraite.

Mardi | 2013-04-16
B103

Nathalie GUILBERT – Karine MARAZYAN

In Senegal, 16% of young mothers have given births out-of-wedlock. In a country, where fecundity is mainly thought inside the marriage institution, this proportion is rather surprising. In this paper, we are interested in testing the existence of a stigmatization on both the mother and the out of wedlock child. To investigate this question, we examine the consequences of premarital births on women’s marital trajectory and on children’s health in Senegal. Using original data collected in the country in 2006, we do not find any significant association between premarital births and the marital outcomes, measured by age at first marriage and marital compensations, of young women. This finding suggests therefore that Senegalese women with a pre-marital birth are not marginalized in the marriage market. But what about their children? Are they more likely to suffer from a stigma? We do find evidence that children born out of wedlock are more likely to be fostered out, which could be the expression of strategies to lower the stigma. We then use DHS data to examine the impact on child mortality and find that boys do seem to have a higher mortality rate when they are born out of wedlock. No particular effect is found for girls. At last, we investigate impact heterogeneity along the time children spent out of wedlock. Findings suggest that if marriage follows the out of wedlock child delivery shortly, then stigma may be avoided.

Mercredi | 2013-04-10
B103

Sylvain BENOIT

The aim of this paper is to emphasize the importance of choosing the level of the system (global, european or national) when dealing with systemic risk. Up to now, additional supervision and regulation were established for global systemically important banks, G-SIBs. The paper highlights the need for managing domestic systemically important banks, D-SIBs. This issue is central when focusing on Europe where each country should identify its D-SIBs whereas the Basel Committee on Banking Supervision (BCBS) tags G-SIBs, not only European banks. Thus, monitoring G-SIBs does not mean we cover the systemic risk both at European and domestic level. In this paper, we show that (i ) the popular Systemic Risk Measure (SRISK) produces similar ranking whatever the system used; (ii ) however SRISK’s values, according to the system, can be largely di¤erent underlining the requirement of a higher loss absorbency (HLA); (iii ) market-based systemic risk measures (SRMs) as the CoVaR, which capture the degree of interconnectedness with the return correlation are unstable. These …ndings are described through an empirical application within the eurozone.

Mercredi | 2013-03-27
B103

Désiré KANGA

Cet article analyse les effets des politiques d’assouplissement conduites par la Banque Centrale Européenne (BCE) sur l’activité de crédit au sein de la zone euro en répondant à deux questions. La première identifie les facteurs de transmission de ces politiques tandis que la seconde aborde la problématique des conditions de crédit. Il ressort que les politiques d’assouplissement conduites par la BCE ont eu un impact significatif sur l’offre de crédit dans les pays analysés (Autriche, France et Allemagne). Toutefois, les effets ne sont pas homogènes d’un pays à l’autre et selon les catégories des banques analysées. Ces politiques ont occasionné des changements structurels dans la dynamique de croissance du crédit à court et à long terme. Par ailleurs, le capital, la liquidité et la taille des banques ont été des facteurs déterminants dans la transmission des politiques d’assouplissement. Selon les pays, ces facteurs n’ont pas toujours été des facteurs d’amplification des politiques. En ce qui concerne les conditions de crédit, tout laisse à penser qu’elles conditions de crédit se soient assouplies au cours de la période de mise en oeuvres des politiques d’assouplissement.