Séminaires de recherche

Mercredi | 2017-03-29
B103 12h30

Leonardo Eric CALCAGNO

In recent years, Argentina has reached nearly universal retirement benefits coverage. This was achieved through two successive pension moratoriums, implemented in the third quarter of 2006 and the third quarter of 2014, which allowed buying back missing contribution years and retire even with incomplete careers. In principle, the effect of moratoriums on unregistered employment is unclear: they may discourage retirement contributions by opening an alternative way for retiring, but they also may be an incentive for senior workers with incomplete careers to contribute more years before retiringand thus reduce the social security debt they will buy back with the moratoriums. In this paper, we ascertain the impact of these pension moratoriums on senior workers’ transitions between formal and informal employment. We first use a dynamic microsimulation framework to simulate careers and tellapart elderly workers needing a moratorium to retire (our treatment group) from elderly workers who may yet retire normally (our control group). We then compare the transitions between unregistered employment and registered labour of the treatment and control group before and after each of thesemoratoriums. Our first results suggest the first moratorium did not have any significant effect on transitions to formal employment or unregistered labour. Nevertheless, the 2014 moratorium seems to have both encouraged elder workers formalisation and to have discouraged senior workers from leaving the formal sector before reaching retirement age.

Mardi | 2017-03-28
16h00-17h20 salle des thèses

Joroen RAMBOUTS – Lars STENTOFT – FRANCESCO VIOLANTE

We develop a joint framework linking the physical variance and its risk neutral expectation implying variance risk premia that are persistent, appropriately reacting to changes in level and variability of the variance and naturally satisfying the sign constraint. Using option market data and realized variances, our model allows to infer the occurrence and size of extreme variance events, and construct indicators signalling agents sentiment towards future market conditions. Our results show that excess returns are to a large extent explained by fear or optimism towards future extreme variance events and only marginally by the premium associated with normal price fluctuations.

Mardi | 2017-03-21
16h00-17h20 salle des thèses

Olivier BEAUMAIS – Dominique PRUNETTI

Although the opportunity cost of time spent recycling has long been recognized as a key determinant of household recycling participation, very few empirical studies have attempted to provide estimates of it. In this paper, we propose a model of household recycling that, while including pecuniary and non pecuniary motives for decisions, such as social and moral norms or warm-glow, reveals heterogeneous values of saving time from recycling (VSTR). The predictions of our model are being tested, extending the basic latent-class logit model to the latent-class ranked ordered model and using data from a discrete choice experiment on waste management conducted in 2008 in Corsica. We find VSTR clearly heterogeneous across individuals, ranging from 8% to 76% of one’s income.

Mardi | 2017-03-14
16h00-17h20 salle des thèses

Rachidi KOTCHONI – Marine CARRASCO

Generalized Empirical Likelihood (GEL) estimators are solved by converting a high dimensional primal optimization problem into a dual Minimum Discrepancy problem with fewer parameters. When the GEL problem is subject to a continuum of restrictions, the duality relationships break down as the system of constraints becomes ill-posed. Duality is restored by solving a relaxed problem that leads to a family of Regularized GEL (RGEL) estimators. We show that the RGEL estimator is asymptotically normally distributed and efficient. An implementation strategy in one step inspired from the Three-Steps Empirical Likelihood of Antoine, Bonnal and Renault (2007) is proposed. Monte Carlo simulations based on a linear heteroskedastic model shows that the RGEL and the efficient two-steps CGMM of Carrasco and Florens (2000) have quite similar performances. However, the optimal regularization parameter of the RGEL converges to zero at a slower rate than the one of the CGMM estimator.

Mercredi | 2017-03-08
B103 12h

Nicolas CLOOTENS

This paper studies the behavior of cross-country growth rates with respect to resource abundance and dependence. We reject the linear model commonly used for growth regressions in favor of a multiple regime alternative. Using a proper sample splitting methodology, we show that countries exhibit different behavior with respect to natural resources depending on their initial development. In high-income economies, natural resources play a minor role in explaining the differences in national growth rates. In low-income economies, abundance seems to be a blessing, but dependence hampers growth possibilities.

Mardi | 2017-03-07
16h00-17h20 salle des thèses

Patrick VILLIEU – Maxime MENUET – Alexandru MINEA

This paper presents a theoretical setup for studying nonlinear effects of pubic debt in an endogenous growth model with cycles. Our results are threefold. (i) From a long run perspective, our model exhibits multiplicity, i.e. a high-growth and a low-growth balanced growth path (BGP), due to the interaction between the government’s budget constraint and households optimal saving behavior. (ii) Turning to local dynamics, while the high equilibrium is saddle-path stable, the topological behavior of the low equilibrium is more complex. Indeed, the low BGP can be locally determined, over-determined, or under-determined. In the latter case, a supercritical Hopf bifurcation occurs, leading to limit-cycles. (iii) As regards global dynamics, three typical configurations arise: local and global determinacy; local determinacy and global indeterminacy; local and global indeterminacy. Specifically, global bifurcations can emerge, in relation with the degree of social acceptance to reduce non-distorsive components of government budget.

Mercredi | 2017-03-01
B103 12h

Nicolae-Bogdan IANC

We estimate, following a PVAR methodology, the fiscal multipliers of the E(M)U members and candidates. We perform our analysis on four groups of European countries, focusing specifically on CEE countries as Albania, Macedonia, Serbia and Turkey. Our results suggest that, in the short run, the EU candidates exhibit the highest values of their spending multipliers. Furthermore, being an EU member seems to affect in particular the spending multiplier, in the short run. Tax multipliers are stable within all groups of countries, and do not seem to be affected by the EU membership of the analyzed countries. They present only in the long run higher values in the EMU countries, which suggests a better tax collect in this group of countries comparing to the other E(M)U candidates.

Mardi | 2017-02-28
16h00-17h20 en salle des thèses

Daniel MIRZA – Rémi BAZILLIER – Francesco MAGRIS

This paper shows that policies which favor (im)-migration may actually provoke unexpected consequences by increasing the outflows of previously settled migrants. To do so, we set a 3-country theory where already settled migrants in one country of residence respond to economic and policy incentives making them move back to their country of origin or a third country. In particular, we show that outmigration from the residence country increases with a unilateral openness of that country to new migrants. Outmigration increases even further with a multilateral openness to migration of all countries. The theory has an important implication for Schengen agreements: it predicts that openness of borders through Schengen should unambiguously increase the exit of previously settled migrants. We use the implementation of these agreements as a quasi-natural experiment, exploiting the different timing in their implementation. We use recently available data on outmigration from the OECD and a difference-in-difference approach to show that the bilateral adoption of Schengen is estimated to increase out-migration by one-third.

Mercredi | 2017-02-15
B103 12h

This paper studies the impact of natural disasters on exports of agricultural products by developing countries. We first highlight many channels (domestic supply and demand, changes in relative costs/prices and changes in preferences of importers) through which disasters affect exports, making their relationship very ambiguous. We then run a series of regressions to see how disasters affects first, exports to the rest of world and second, exports across partners. Using different sets of disaster variables (occurrence and intensity) from EM-DAT and EOMET datasets, across different types of disasters, our estimates point indeed to a negative but, in most cases, statistically non-robust relation between disasters and agricultural exports to the rest of world. We then turn to bilateral exports’ specifications and there, could identify a positive and (very) robust relation with exports towards neighbouring partners (i.e sharing a common cultural trait) while the impact appears to be negative with the rest of the partners. This points to show that disasters are redistributing trade across partners. Besides, this finding appears to be consistent with changes in preferences of similar-culture countries through a solidarity act (altruism hypothesis) after a catastropher. However, the ’solidarity’-consistent effect does not seem to last over time.

Mardi | 2017-02-07
Salle des thèses de 16h00 à 17h20

Guillaume VUILLEMEY – Vincent BIGNON

We provide the first empirical description of the failure of a derivatives clearinghouse.We use novel, hand-collected, archive data to study risk managementincentives of the Paris commodity futures clearinghouse around its failure in 1974.We do not find evidence of lenient risk management during the commodity priceboom of 1973-1974. However, we show severe distortions of risk management incentives,akin to risk-shifting, as soon as prices collapsed and a large clearing memberapproached distress. Distortions persist during the recovery/resolution phase. Theoretically,these findings suggest that capitalization and governance were weak, butdo not imply that moral hazard was significant before the failure. Our results haveimplications for the design of clearing institutions, including their default managementschemes.