Séminaires de recherche

Mardi | 2018-04-17
Salle des thèses 16h – 17h20

Olivier BOS

We study the relative performance of the first-price sealed-bid auction and the second-price sealed-bid auction in a laboratory experiment where bidders can signal information through their bidding behaviour to an outside observer. We consider two different information settings: the auctioneer reveals either the identity of the winning bidder only, or she also reveals the winner’s payment to an outside observer. We find that the first-price sealed-bid auction in which the winner’s payment is revealed outperforms the other mechanisms in terms of revenue and efficiency. Our findings may have implications for the design of charity auctions, art auctions, and spectrum auctions.

Mardi | 2018-04-10
Salle des thèses 16h – 17h20

Pierre-Charles PRADIER

Que valent les jetons virtuels comme les Bitcoins ou les centaines de nouvelles variétés émises à l’occasion des Initial Coin Offerings qui se sont multipliées depuis 2017 ? En tant qu’actif immatériel, un jeton devrait valoir la somme actualisée des flux futurs qu’il promet. Mais cette valeur fondamentale est difficile à déterminer concrètement, et il faut pouvoir rendre compte des écarts sans considérer chacun d’eux comme des bulles. Pour cela, nous proposons quelques hypothèses. Toutefois, l’idée que les jetons seraient des options d’achat sur des services futurs semble poser un problème fondamental de conflit d’intérêts entre les parties, qu’il n’est pas certain que la réglementation puisse corriger. On peut alors considérer les jetons comme des substituts à la monnaie, ce qui permet de rendre compte de leur valeur de long terme ; toutefois celle-ci semble compromise par la dynamique même du développement technique des jetons. La piste la plus satisfaisante, car exempte de contradictions internes, est finalement de considérer que les jetons offrent des avantages indirects, sous la forme de possibilités d’implication dans le fonctionnement d’organisations qui offrent des services. Si l’évaluation apparaît incertaine a priori, elle peut être confiée au marché, ce qui est le sens des ICOs : les jetons répondent ainsi aux insuffisances des stock options dans les entreprises non cotées. Leur développement constitue donc un phénomène intéressant du point de vue de la finance d’entreprise.

Mardi | 2018-04-03
Salle des thèses 16h – 17h20

François PANNEQUIN

This paper compares the Holt and Laury’s risk attitude elicitation with a risk attitude classification associated with insurance behavior. The standard Holt and Laury’s procedure (2002) is implemented in the loss domain, while the second tool is based on contextualized experimental hedging choices for insurance and loss reduction (secondary prevention). Our findings highlight the high consistency between the two procedures for more than two-thirds of the subjects, both measures leading to the same risk-attitude assignment. Interestingly, cases where the two measures do not coincide concern the only subjects whose Holt and Laury’s risk aversion coefficient is borderline. For these participants, using both measures allows for a more accurate assessment. Finally, the HL-irrational behavior of participants uncovers specific risk-averse behavior signature, while contextualized-irrational behavior reveals a risk-loving behavior.

Mardi | 2018-03-27
Salle des thèses 16h – 17h20

Marine DE TALANCé

This paper explores the relationship between compulsory education, educational attainment and fertility. More specifically, we focus on a law implemented in Indonesia that lengthened compulsory education by three years and we use the IFLS database. Empirically, we rely on a difference-in-differences model with a continuous treatment defined by the initial level of education in the individual’s region of birth. We find that the law increased junior secondary school attainment mainly in regions where the initial level was low. By changing the educational norms and behaviours in these regions, the law helped reduce geographical inequalities. Although the compulsory education law changed attitudes towards enrolment, it did not have any impact on learning outcomes. Given that it changed educational attainment, at least in regions that were initially lagging behind, it could also have had an impact on fertility behaviours. To identify the causal impact on fertility choices, we rely on an instrumental variables model where the instrument is the difference-in-differences variable. Our results suggest that increases in education caused by the compulsory education law led to a decrease in childlessness and to delay first birth. We observe no effect on achieved or desired fertility. Concerning the mechanisms, the negative effect on childlessness is explained by the positive relationship between marital status and education. On the contrary, we find no effect on the labour market and quite a small impact on sexual behaviours.

Mardi | 2018-03-20
Salle des thèses 16h – 17h20

Defining retirement as a discontinuity in the labor supply of the agent, this paper resolves the retirement consumption puzzle in a very general model of intertemporal choice of consumption and savings of a fully rational, forward looking, agent. Building on a specific version of Bellman (1957) principle of optimality, it provides a very general and parsimonious formula for determining the optimal age of retirement taking into account the possible discontinuity of the optimal consumption profile at the age of retirement.

Mardi | 2018-02-27
Salle des thèses 16h – 17h20

Laura HERING – Julien GOURDON – Stéphanie MONJON – Sandra PONCET

Compared to most countries, China’s value-added tax (VAT) system is not neutral and makes it less advantageous to export a product than to sell it domestically. However, the large and frequent changes to the VAT refunds which are offered to exporters have led China to be accused of providing its firms with an unfair advantage in global trade. We use city-specific export-quantity data at the HS6-product level over the 2003-12 period to assess how changes in the VAT export tax have affected China’s export performance. Our identification strategy exploits an eligibility rule disqualifying a specific trade regime from the rebates. We find that the VAT rebate system is indeed an effective industrial policy and can improve China’s international competitiveness. Eligible export quantity for a given city-HS6 pair declines by 7% relative to non-eligible exports following a one percent rise in the VAT export tax. We show that the efficiency of this export tax policy is magnified when it applies to products with denser links with the local productive structure. Hence export benefits from VAT rebates are greater for activities for which the necessary capabilities and resources are available.

Mardi | 2018-02-20
Salle des thèses 16h – 17h20

Marie-Pierre HORY – Grégory LEVIEUGE – Daria ONORI

This paper aims at explaining why the public spending multiplier is generally low, even close to zero, in emerging economies (EMEs). We claim that this can be related to the foreign currency denominated debt borne by private agents. Indeed, according to a recent literature, the real exchange rate can depreciate following an increase in public spending. In this case, the debt burden denominated in foreign currency increases. Thus, the domestic firms’ balance sheet structure deteriorates, which raises their external finance premium and pushes private investment down. Finally, this may offset the stimulating impact of the initial public spending shock. In this paper, we first show that this explanation is empirically valid: the impulse response functions from a PCH-VAR indicate that the the higher the share of the external debt denominated in foreign currency, the lower the public spending multiplier. Then, we demonstrate that such an explanation and its underlying mechanisms are theoretically valid in a two-country DSGE model with incomplete and imperfect international financial markets, sticky prices, financial frictions and external indebtedness.

Mercredi | 2018-02-15
Salle B103 – 12h00

Delchande DIBI

Cette étude vise à déterminer la relation entre la politique d’ouverture commerciale et la croissance économique de 33 pays issus de 3 communautés régionales africaines à savoir l’UEMOA, la CEMAC et le COMESA sur la période 1990-2015. Pour ce faire, nous utilisons le test de causalité développé par Dumitrescu et Hurlin (2012) dans le cas d’un panel hétérogène. La croissance économique est mesurée par le logarithme du PIB par tête. Quant à l’ouverture commerciale, elle, est mesurée par deux indicateurs : le ratio d’ouverture (modèle 1) et la part des exportations dans le PIB (modèle 2). Les résultats révèlent une relation d’équilibre de long terme entre la croissance économique et les indicateurs d’ouverture considérés. Relativement à la relation causale, les tests de DH5 montrent une causalité bidirectionnelle dans les deux modèles. Autrement dit il existe un feedback entre la croissance économique et l’ouverture au commerce.

Mardi | 2018-02-13
Salle des thèses 16h – 17h20

Gerhard TOWENS – Pierre-Louis VéZINA

We show that giant and unpredictable oil and gas discoveries in developing countries trigger FDI bonanzas. Across countries, we document a 58% increase in FDI in the 2 years following a giant discovery. This effect is driven by new projects in non-resource sectors such as manufacturing, retail, business services and construction. We illustrate this mechanism using Mozambique’s recent post-discovery FDI boom. We combine concurrent waves of household surveys and firm censuses to estimate the local job multiplier of FDI projects. Our estimates suggest that each FDI job results in 6.2 additional jobs, of which 3.3 are informal. Our results thus link the offshore gas discovery in Mozambique to widespread job creation via a diversified FDI boom and a large local multiplier.

Mercredi | 2018-02-08
Salle B103 – 12h00

Sullivan HUE – Elena-Ivona DUMITRESCU – Christophe HURLIN – Sessi TOKPAVI

Decision trees and related ensemble methods like random forest are state-of-the-art tools in the eld of machine learning for predictive regression and classi cation. However, they lack interpretability and can be less relevant in credit scoring applications, where decision-makers and regulators need a transparent linear score function that usually corresponds to the link function in logistic regressions. In this paper, we propose to improve the framework of logistic regression by using information from decision trees. Formally, rules extracted from various short-depth decision trees built with different sets of predictive variables (singletons and couples) are considered as predictors in a penalized or regularized logistic regression. By modeling such univariate and bivariate threshold effects we achieve significant improvement in model performance. Applications using simulated and real data sets for credit scoring show that the new method outperforms traditional logistic regression. Moreover, it compares competitively to random forest, while providing an interpretable scoring function.