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Séminaires de recherche
The Choice of Adopting Inflation Targeting in Emerging Market Economies: Do Institutions Matter?
Mardi | 2010-02-23
B103
Yannick LUCOTTE – Grégory LEVIEUGE
Over the last decade, a growing number of emerging market economies has adopted inflation targeting as monetary policy framework. In a recent paper, Freedman and Laxton (2009) ask the question “Why Inflation Targeting?”. This paper empirically investigates this question by analyzing a large set of institutional and political factors potentially associated with a country’s choice of IT in a sample of 50 emerging countries over the period of 1986-2005. Using a panel probit model, our results suggest that central bank independence, policy-makers’ incentives and characteristics of political system (such as the number of veto players in government, the political stability, or the degree of federalism) play an important role in the choice of IT regime, while financial market development not matters.
Measuring Herding Intensity: a Hard Task
Mardi | 2010-02-09
B103
Raphaëlle BELLANDO – Mohamed AROURI
Ce travail s’intéresse à la mesure traditionnelle de mimétisme proposée par Lakonishok, Shleifer and Vishny (LSV) et remet en question sa construction. Frey, Herbst and Walter (2007) ont montré par des simulations de Monte Carlo que cet indicateur est biaisé en présence de mimétisme. Nous donnons uneexplication formelle à ce biais et proposons un indicateur corrigé de celui-ci. Nous examinons ensuite les propriétés de la nouvelle mesure proposée par Frey, Herbst and Walter (2007) pour montrer qu’elle n’est précise que dans certaines configurations très particulières. Nous en proposons une version corrigée qui autorise des configurations plus larges. En définitive, dans la mesure où les deux indicateurs corrigés dépendent de paramètres inconnus, nous concluons que mesurer le mimétisme est une tâche plus complexe qu’il n’y paraît.
Detecting Spurious Jumps in High Frequency Data
Mardi | 2010-02-02
B103
P. BAJGROWICZ – Olivier SCAILLET – libre
We propose a technique to avoid spurious detection of jumps in highfrequency data via an explicit thresholding on available test statistics. Weprove that it eliminates asymptotically all spurious jumps. Monte Carloresults show that it performs also well in nite samples. Our empiricalinvestigation of Dow Jones stocks reveals that the spurious detections representup to 50% of the jumps detected initially. After eliminating the spuriousdetections with our method, the average number of jumps amountsto around 40 a year. For the majority of Dow Jones stocks, we do notdetect clustering in time of jumps occurrences. During the three years ofour study, we nd no single cojump a ecting all Dow Jones constituents.However, if we consider industry sectors separately, we observe a number ofcojumps signi cantly larger than if the stocks were independent. Finally,we relate detected jumps to news releases.
Providing Adequate Incentives for Bioenergies with CO2 Capture and Geological Storage
Mercredi | 2010-01-27
B103
Olivia RICCI
With a large recognition that anthropogenic greenhouse gases (GHG) have a real impact on climate change, we propose to understand better the role and importance of biomass carbon capture and geological storage (BCCS) in stabilizing GHG emissions. To date carbon capture and storage (CCS) is not deployed at a commercial level, therefore policy instruments could be used to provide adequate incentives to firms in order to abate pollution with a CCS technology. The objective of this paper is to compare, in a dynamic general equilibrium model, the efficiency of several policy instruments needed to spur the adoption of CO2 capture and storage from fossil fuel as well as from biomass.
Impact of Climate Policy on Biomass Carbon Capture and Storage Investment
Mercredi | 2010-01-20
Sully 10
Audrey LAUDE
La Capture et Stockage du Carbone est une technologie qui permet de séquestrer des émissions de CO2 issues de l’industrie dans des strates géologiques profondes. Appliquée à une source de biomasse comme dans le cas de la production de biocarburants, le BCSC peut permettre de créer des puits artificiels de carbone. Cependant, l’incertitude importante pesant sur le marché du carbone incite les investisseurs à différer leur décision dans l’attente d’une meilleure information. La méthodologie des Options Réelles (OR) se révèle alors plus pertinente que le calcul de Valeur Actuelle Nette pour évaluer la valeur de ce type de projet. Nous montrons ici que l’incertitude politique quant à la cible de concentration atmosphérique en carbone a une influence supérieure sur la décision d’investir que la simple incertitude de marché.