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Accueil > Séminaires réguliers > Séminaires Rennes Fac Sc. éco. > Archives

2015-2016

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PROGRAMME 2015-2016

 

  • Séminaire du jeudi 9 juin 2016
    Amphi Krier
Intervenant Olivier Darné - Université de Nantes, LEMNA
Titre / title «  International Stock Return Predictability : Evidence from New Statistical Tests  »
co-écrit avec / co-authored with Amélie Charles, Jae H. Kim
Abstract We investigate whether stock returns of international markets are predictable from a range of fundamentals including key financial ratios (dividend-price ratio, dividend-yield, earnings-price ratio, dividend-payout ratio), technical indicators (price pressure, change in volume), and short-term interest rates. We adopt two new alternative testing and estimation methods : the improved augmented regression method and wild bootstrapping of predictive model based on a restricted VAR form. Both methods take explicit account of endogeneity of predictors, providing bias-reduced estimation and improved statistical inference in small samples. From monthly data of 16 Asia-Pacific (including U.S.) and 21 European stock markets from 2000 to 2014, we find that the financial ratios show weak predictive ability with small effect sizes and poor out-of-sample forecasting performances. In contrast, the price pressure and interest rate are found to be strong predictors for stock return with large effect sizes and satisfactory out-of-sample forecasting performance.
Lien / download Lien SSRN

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  • Séminaire exceptionnel du vendredi 3 juin 2016
    Amphi Krier
Intervenant Han Bleichrodt - Erasmus University Rotterdam
Titre / title «  Searching for the Reference Point  »
co-écrit avec / co-authored with Aurélien Baillon, Vitalie Spinu
Abstract Reference-dependence plays a key role in explaining people’s choices. A fundamental problem of reference-dependent theories, like prospect theory, is that they do not tell us what the reference point is. Our paper addresses this problem. We assume a comprehensive reference-dependent model that includes the main reference-dependent theories as special cases and that allows isolating the reference point rule from other behavioral parameters. We use Bayesian hierarchical modeling to estimate the (posterior) probability that a specific reference point rule was used. In a high-stakes experiment with payoffs up to a weekly salary, we found that most subjects used the status quo or MaxMin (the maximum of the minimal outcomes of the prospects in a choice) as their reference point. Twenty percent of the subjects used an expectations-based reference point as in the influential model of Köszegi and Rabin (2006, 2007).
Lien / download Paper

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  • Séminaire du jeudi 26 mai 2016 - ANNULÉ
    Amphi Krier, de 12h30 à 14h00
Intervenant Laetitia Lepetit - LAPE, Université de Limoges

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  • Séminaire du jeudi 12 mai 2016
    Amphi Krier, de 12h30 à 14h00
Intervenant Paolo Crosetto - INRA-GAEL, CNRS
Titre / title «  The Cost of Dominance : A New and Robust Measure of the Attraction Effect  »
co-écrit avec / co-authored with Alexia Gaudeul
Abstract The Attraction or Asymmetric Dominance Effect has been studied in conditions of indifference among options and measured at the aggregate level. We introduce a new experimental design that yields an individual measure of the attraction effect when indifference does not hold. By inducing preferences and using psychometric measures in a within-subjects task, we compute two individual-level measures : a traditional, frequency measure and a new, monetary indicator of the robustness of the effect to decreases in the relative profitability of the target. Most participants are subject to the attraction effect, which leads them to choose options that are on average 6% more expensive than the optimal choice.
Lien / download 16-05-12_Crosetto_Gaudeul_ADE_measuring.pdf

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  • Séminaire du jeudi 28 avril 2016
    Amphi Krier, de 12h30 à 14h00
Intervenant Guillaume Bagnarosa - ESC Rennes
Titre / title «  Understanding the Interplay Between Covariance Forecasting Factor Models and Risk Based Portfolio Allocations in Currency Carry Trades  »
co-écrit avec / co-authored with Matthew Ames, Gareth W. Peters and Pavel Shevchenko
Abstract With the exception of naive methods for portfolio selection, such as the equal weighted approaches, all other methods of portfolio allocation are more or less sensitive to the quality of the inputs considered in constructing the models and risk measures utilised in the allocation framework. The extensively used factor model proposed initially by Sharpe (Sharpe (1963)) has provided a robust backdrop for development of relevant, micro, macro and context specific or asset specific explanatory variables to be incorporated in a statistical manner as inputs to forecasting models that can then be used to obtain risk measures upon which portfolio allocations are based. However, like all statistical models a set of statistical assumptions accompany this factor model regression framework, one of which has recently been highlighted as seemingly non-validated in financial data. This is of course the assumption such factor models make on homoskedascity or weak sense covariance stationarity of the returns processes being modelled. Such factor models, therefore have typically failed to cope with an important and ubiquitous feature of financial assets data which often demonstrates heteroskedasticity of the returns variances and covariances. We propose a novel generalised multi-factor forecasting structure utilizing a covariance regression model which allows us to incorporate the required heteroskedasticity effects whilst also admitting potential dependence in the idiosyncratic error terms. We argue that such a modelling approach allows for more explicit relationships to be interpreted between the driving factors and the conditional responses of the portfolio returns. We then compare the forecasting performances of our model with the multi-factor model and the time series DCC (Engle (2002)) model through a currency portfolio application.
Lien / download 16-04-23_Bagnarosa - Covariance Forecasting Factor Models and Currency Carry Trades.pdf

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  • Séminaire du jeudi 21 avril 2016
    Amphi Krier, de 12h30 à 14h00
Intervenant Ingela Alger - TSE, Université de Toulouse 1 Capitole
Titre / title «  Evolution leads to Kantian morality  »
co-écrit avec / co-authored with Jörgen W. Weibull
Abstract What preferences should one expect evolution to favor ? We propose a definition of evolutionary stability of preferences in arbitrarily large symmetric aggregative in-teractions under random matching that may be assortative. We establish stability and instability results for interactions in which each player’s preferences are private information. We show that certain moral preferences with a Kantian flavor are evo-lutionarily stable, and that preferences resulting in other behaviors are evolutionarily unstable. We also establish a connection between evolutionary stability of preferences with that of strategies.
Lien / download 16-04-21_Alger_Weibull_WPTSE15504.pdf

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  • Séminaire du jeudi 7 avril 2016
    Amphi Krier, de 12h30 à 14h00
Intervenant Luc Arrondel - PSE, Paris-Jourdan Sciences Economiques, ENS
Titre / title «  French savers in the “great recession” : Preferences, financial expectations, and portfolio choice  »
co-écrit avec / co-authored with André Masson
Abstract Our basic objective is to relate the observed changes in saving and portfolio behaviours of French savers during the ongoing economic crisis to the corresponding variations in their future income and asset prices expectations, in their “cash in hand”, and in their preferences towards risk and time. Four representative waves of the Pater survey were conducted (with TNS-Sofres) in mid 2007, mid 2009, end 2011 and end 2014. The new wave, run in November-December 2014, has again a strong panel dimension which allows to analyse the joint changes in individual income and price expectations as well as in preferences of the same households between four crucial dates : May 2007, before the ongoing crisis ; June 2009, after the 2008 subprime crisis ; end of 2011, after the attacks on sovereign debts of last summer, and end of 2014, just before the beginning of the Greek-euro crisis. As far as behaviours are concerned, French savers in 2009 show clearly a greater reluctance than in 2007 to take risks in their behaviours, in favour of increased precautionary savings and safer assets, and slightly in favour of more long-term investments (see Arrondel and Masson, 2014). Between 2009 and 2014 (via 2011), we obtain the same qualitative, but less pronounced variations. We show that this observed reduced willingness of French households to take risks in their saving and portfolio choices can be mainly attributed to more pessimistic income and asset price expectations (and also to lower cash in hand for a third of households). The popular view of increasing risk aversion during the crisis is not warranted.
Lien / download 16-04-07_Arrondel_Masson.pdf

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  • Séminaire du jeudi 31 mars 2016 - ANNULÉ
    Amphi Krier
Intervenant Olivier Darné - Université de Nantes, LEMNA

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  • Séminaire du mardi 29 mars 2016
    Amphi Krier, de 12h30 à 13h45
Intervenant Marc Jegers - Free University Brussels (VUB)
Titre / title «  A theory of social finance  »
co-écrit avec / co-authored with Simon Cornée, Ariane Szafarz
Abstract A myriad of different types of institutions participate to social finance. This paper attempts to make sense of the diverse ways of operationalizing the delivery of funds to social enterprises by socially-motivated financial institutions. It explores the continuum of feasible funding that goes from pure grants to loans at market conditions. All these face information asymmetries, and subsequently arbitrate costly social screening against social contribution. We analyze in analytical and numerical ways the optimizing behavior of the different categories of social funders, concluding that establishing ‘quasi-foundations’ (owned by funders requiring only part of loans to be repaid) would increase the amount of social contributions generated.

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  • Séminaire du jeudi 24 mars 2016
    Amphi Krier, à 14h45
Intervenant Karine Constant - Université de Paris 10
Thème / Thema Economie de l’environnement
Titre / title «  Environmental Policy and Inequality : a Matter of Life and Death  »
Abstract This paper analyzes the economic implications of an environmental policy when we take into account the life expectancy of heterogeneous agents. In a framework where everyone su˙ers from pollution, but health status depends also on individual human capital, we find that the economy may be stuck in a trap where inequalities persistently grow, when the initial pollution intensity is too high. Moreover, it is emphasized that such inequalities are costly in the long run for the economy, notably in terms of health and growth. Therefore, we study whether a tax on pollution associated with an investment in pollution abatement can be used to overcome this situation. We show that a tighter environmental policy may allow the economy to escape the inequality trap, while it enhances its long-term growth rate, when initial inequalities are not too large.
Lien / download 16-03-25_Constant15.pdf

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Intervenant Xavier D’Haultfoeuille - CREST, ENSAE xavier.dhaultfoeuille@ensae.fr
Titre / title «  Fuzzy Differences-in-Differences  »
co-écrit avec / co-authored with Clément de Chaisemartin
Abstract In many applications of the differences-in-differences (DID) method, the treatment increases more in the treatment group, but some units are also treated in the control group. In such fuzzy designs, a popular estimator of treatment effects is the DID of the outcome divided by the DID of the treatment, or OLS and 2SLS regressions with time and group fixed effects estimating weighted averages of this ratio across groups. We start by showing that when the treatment also increases in the control group, this ratio estimates a causal effect only if treatment effects are homogenous in the two groups. Even when the distribution of treatment is stable, it requires that treatment effects be constant over time. As this assumption is not always applicable, we propose two alternative estimators. The first estimator relies on a generalization of common trends assumptions to fuzzy designs, while the second extends the changes-in-changes estimator of Athey & Imbens (2006). When the distribution of treatment changes in the control group, treatment effects are partially identified. Finally, we prove that our estimators.
Lien / download 16-03-17_Dhaultfoeuille.pdf

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  • Séminaire du jeudi 10 mars 2016
    Amphi Krier, de 12h30 à 14h00
Intervenant Séverine Chedor - RITM, Université Paris Sud
Titre / title «  The determinants of international trade of disembodied technology : a gravity approach  »
co-écrit avec / co-authored with Nathalie Avallone - Université François Rabelais/LEO-Tours UMR CNRS 7322
Abstract In the current context of increasing globalisation, innovation is crucial. Several facts confirm the growing international trade in technology. Indeed firms are not only developing innovations internationally, they are also exploiting their innovations on world markets by licensing their technologies or by selling their innovations to foreign purchasers or inside their networks (Gassler & Nones, 2008). This raises the question of how mobile knowledge is. In a different way, what are the factors that explain international trade in technology ? Are the determinants of international trade of technology different to the determinants of the traditional goods’ trade ? In this perspective, the objective of our paper is to study the determinants of international bilateral trade of technology by using a gravity approach. Our first econometrics results indicate that technological trade is specific and different to goods’ trade.

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  • Séminaire du mardi 8 mars 2016
    Amphi Krier, de 12h30 à 13h45
Intervenant Alexandre Berthe - GREThA, Université de Bordeaux
Titre / title «  Mechanisms explaining the impact of economic inequality on environmental deterioration  »
co-écrit avec / co-authored with Luc Elie
Abstract Rising economic inequality, often considered intrinsically harmful, is increasingly being viewed as having a num-ber of secondary impacts as well, including impacts on health and economic growth. The ongoing nature of today’s environmental crisis also raises questions about inequality’s role in environmental deterioration. Despite the large number of papers that have been written on this topic, no theoretical or empirical consensus presently exists. Firstly, our article identifies that authors’ conclusions in this area depend on their hypotheses regarding 1) the relationship between individual income and individual environmental pressure, 2) the impact of inequal-ity on the social norms that influence individual environmental pressure, 3) the interests that social groups have in degrading or protecting the environment, 4) how these interests play out in terms of political demands, and 5) how these political demands translate into political decisions. Secondly, the study shows that, despite enabling a general test of the causal relationship between inequality and the environment, the empirical methods utilised do not account for the full range of theoretical mechanisms in play. Hence the suggestion that a research pro-gramme be launched to conduct empirical studies of the five aforementioned hypotheses by applying a recursive approach.
Lien / download 16-03-08_Berthe_Elie.pdf

 

Intervenant Kevin Spinassou - Université de Limoges
Thème / Thema Economie Bancaire
Titre / title «  Bank capital regulation : are local or central regulators better ?  »
co-écrit avec / co-authored with Carole Haritchabalet, Laetitia Lepetit, Frank Strobel
Abstract Using a simple two-region model where local or central regulators set capital require-ments as risk sensitive capital or leverage ratios, we demonstrate the importance of capital requirements being set centrally when cross-region spillovers are large and local regulators suffer from substantial regulatory capture. We show that local regulators may want to surrender regulatory power only when spillover effects are large but the degree of supervisory capture is relatively small, and that capital regulation at central rather than local levels is more beneficial the larger the impact of systemic risk and the more asymmetric is regulatory capture at the local level.
Lien / download 16-03-08_Spinassou.pdf

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  • Séminaire du jeudi 3 mars 2016
    Amphi Krier, de 12h30 à 13h45
Intervenant Mireille Chiroleu-Assouline - PSE, Université Paris 1
Titre / title «  Environmental Tax Reform and Income Distribution with Imperfect Heterogenous Labor Markets  »
co-écrit avec / co-authored with Diane Aubert
Abstract This paper investigates the distributional and eÿciency consequences of an environ-mental tax reform, when the revenue of the green tax is recycled by a variation of labor tax rates. We build a general equilibrium model with heterogeneous imperfect labor mar-kets, pollution consumption externalities, and non homothetic preferences (Stone-Geary utility). We show that whereas the uses side of green taxes impacts are unambiguously regressive, the sources side e˙ects could appear progressive depending on the di˙erences between low-paid and high-paid employment responses to taxes. In the case where the reform appears to be regressive, the gains from the double dividend can be made Pareto improving by using a redistributive non-linear income tax if redistribution is initially not too large. Moreover, the increase of progressivity acts on unemployment and can moder-ate the trade-o˙ between equity and eÿciency. We finally provide numerical illustrations for the French case.
Lien / download 16-03-01_Aubert_Chiroleu-Assouline.pdf

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  • Séminaire du mardi 1 mars 2016
    Amphi Krier, de 12h30 à 13h45

Intervenant Julien Albertini - Humbolt University, Berlin
Thème / Thema Economie du travail, Business Cycle
Titre / title «  The importance of time-varying parameters in new Keynesian model with zero lower bound  »
Co-authored with Hong Lan - CES, Université de Paris 1
Abstract In this paper we question the ability of New Keynesian models to reproduce the behavior of the nominal interest rate. In particular, we wonder if the model is able to reproduce infrequent but long ZLB spells as observed in the data. Starting from the canonical model, we compare alternative specifications like exogenous and endoge-nous time-varying parameters. We solve the different models with global approxima-tion methods and estimate them using the simulated method of moments. While the canonical model fails to reproduce typical ZLB spells, the endogenous time-varying parameters specification seems to be a promising avenue for research. We draw the implications of the alternative model’s specifications for the understanding of the mon-etary policy during ZLB episodes.
Lien / download 16-03-01_Albertini.pdf

 

Intervenant David Desmarchelier - Université de Paris 10
Thème / Thema Economie de l’environnement
Titre / title «  Limit cycles under a negative effect of pollution on consumption demand : the role of an environmental Kuznets curve  »
Abstract Since Heal (1982), there is a theoretical consensus about the occurrence of limit cycles (through a Hopf bifurcation) under a positive effect of pollution on consumption demand (compensation effect) and about the impossibility under a negative effect (distaste effect). However, recent empirical evidence advocates for the relevance of distaste effects. Our paper challenges the conventional view on the theoretical ground and reconciles theory and evidence. The Environmental Kuznets Curve (pollution Þrst increases in the capital level then decreases) plays the main role. Indeed, the standard case à la Heal (limit cycles only under a compensation effect) only works along the upward-sloping branch of the curve while the opposite (limit cycles only under a distaste effect) holds along the downward-sloping branch. Welfare effects of taxation also change according to the slope of the EKC.
Lien / download 16-03-01_Bosi-Desmarchelier-2015.pdf

 

  • Séminaire du jeudi 25 février 2016
    Amphi Krier, de 12h30 à 13h45

Intervenant Lise Clain-Chamosset-Yvrard - Université de Cergy
Titre / title «  Asset Price Volatility, Wealth Distribution and Spirit of Capitalism : The Role of Heterogeneity  »
Abstract We are interested in the role of investors’ heterogeneity on asset price volatility in a spirit-of-capitalism model. Our paper extends the asset pricing model developed by Lucas (1978) by introducing prefer-ences for wealth and heterogeneity in preferences, income and initial wealth. Our model provides an explanation for a non-degenerate sta-tionary wealth distribution and the occurrence of asset price fluctu-ations, driven by the volatility of agents’ expectations. Investigating the role of heterogeneity, we show that heterogeneity in preferences, but also in income, can heighten social inequalities in the long run, and asset price volatility in the short run by promoting local indeter-minacy.
Lien / download 16-02-25_Clain-Chamosset-Yvrard.pdf

 

Intervenant Sylvia Concettini - Ecole Polytechnique
Titre / title «  Merit order effect and strategic investments in renewable generation technologies : a theoretical framework  »
Abstract We introduce a theoretical framework for the analysis of competition between a traditional and a renewable generator in a spot electricity market where the electricity from renewable sources is always the first to be dispatched. The model accounts for randomness in the availability of renewable capacity due to the partial unpredictability of weather conditions. Competition is studied through a model of strategic investments for entry deterrence with two post entry competition settings : the Cournot framework in a two stage game and the dominant firm-competitive fringe setting in a three stage game. Both models show that the renewable producer exploits merit order rule by strategically investing in a large generation capacity in order to crowd out the production of its rival. The analysis has important implications for electricity market design.
Lien / download 16-02-25_Concettini_Sylvia.pdf

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  • Séminaire du mardi 23 février 2016
    Amphi Krier, de 12h30 à 13h45

Intervenant Audrey Ménard - BETA, Université de Strasbourg
Thème / Thema Economie du développement
Titre / title «  Aid, Trade and Migration : How are OECD countries policies connected in times of crisis ?  »
co-écrit avec / co-authored with Aurore Gary
Abstract This paper aims at explaining how aid, trade and migration in developed na-tions are interdependent, in particular in times of economic crisis. It relates to a new strand of the aid allocation literature, which aims at determining how donors’ domestic policies and their political environment can delineate bilateral aid alloca-tions. We use a gravity model framework to jointly determine aid, trade and migration between pairs of developed and developing countries as well as their relation to unemployment in OECD nations. We apply a three-stage least squares method on a data set covering 22 Development Assistance Committee (DAC) countries and 153 recipient countries from 2000 and 2010. Our data reveal that aid, trade and migration flows a˙ect each other. Likewise, aid and migration flows depend on the rate of unemployment in developed nations.
Lien / download 16-02-23_Menard.pdf

 

Intervenant Urbain Thierry Yogo - Université de Paris 10
Thème / Thema Economie du développement
Titre / title «  The Curse of Conflict : understanding the e˙ect of terrorism on fiscal policy volatility  »
Abstract This paper investigates the effect of terrorism on fiscal policy volatility in developing countries. Using panel data analysis of 66 countries from 1970 to 2012, we find that an increase in the number of terrorist incidents raises the volatility of the discretionary component of fiscal policy. In addition, the analysis shows that investment is more responsive to terrorist attacks than consumption. We then turn to the role played by fiscal rules which appears to reduce the effect of terrorism on fiscal policy volatility. Our results are robust to reverse causality, endogeneity bias and the presence of various controls. This paper complements and extends the previous literature by providing the evidence that terrorism substantially increases the uncertainty surrounding the conduct of fiscal policy in developing countries.
Lien / download 16-02-23_Yogo_papier.pdf
Lien / download 16-02-23_Yogo_presentation.pdf

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  • Séminaire du jeudi 4 février 2016
    Amphi Krier, de 12h30 à 14h00

Intervenant Alan Kirman - GREQAM, Université Aix-Marseille
Titre / title «  Counter intuitive learning : an exploratory experiment  »
Co-authored with Nobuyuki Hanaki et Paul Pezanis-Christou
Abstract Most of the emphasis in the learning literature is on reinforcing actions which produce positive results. But, in some cases, the success of an endeavor depends on shifting from a currently successful actions to others. Thus, a question arises as to how people learn to discover whether there is an inter-temporal dependency in the successful choices. We report results of a very simple experiment where subjects repeatedly choose one of four options among three of which a hidden deterministic cycle existed in the way payoffs are generated. The subjects are not aware of the structure of the pay-offs and do not know that there is a « solution » to the problem they are facing. We investigate how quickly they manage, if they do, to obtain the best pay-off attainable and in effect, discover the hidden mechanism correctly. In the experiments, some of our subjects were surprisingly fast to _find it and behaved accordingly. We present a simple model to explain how subjects might learn to change their behaviour and get to the maximum pay-off. We also ran additional experiments in which subjects had information on what another player did, though we did not model this, more complicated, situation. Observing the choices, the resulting payoffs, or both made by another subject after each choice in addition to the outcome of own choice signi_cantly facilitated the discovery of the correct pattern only when the other had already discovered the pattern, but not when the other had not.

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  • Séminaire du jeudi 28 janvier 2016
    Amphi Krier, de 12h30 à 14h00
Intervenant Franck Martin - CREM, Université Rennes 1
Titre / title «  Dynamics of bond markets during the EMU crisis : theoretical and empirical approaches in a portfolio theory framework  »
Co-authored with Jiangxingyun Zhang - CREM, Université Rennes 1
Abstract This paper aims to provide a relevant analytical framework for understanding of the formation of bond interest rates during the different episodes of the EMU debt crisis.We propose a portfolio choice model with two bond markets which generalizes the results of the traditional term structure of interest rates theory and justifies the presence of the conditional variance and covariance as two essential components of the volatility risk premiums on the long-term equilibrium. In this framework, the paper shows that the scenario of contagion on the bond markets is self-fulfilling. On the contrary, in the scenario of flight to quality, we find only the markets that benefit from this phenomenon are self-fulfilling. The theoretical model is estimated by applying a bivariate GARCH-In-Mean model of 6 country pairs in the euro zone. It shows that it is mainly Greek and Italian markets which have a sharp increase of incertitude on the returns from the beginning of the crisis. The paper finally shows that the portfolio choice mechanisms play an intermediary role between fundamental financial contagion and pure financial contagion.
Lien / download 16-01-28_Martin_Zhang.pdf

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  • Séminaire du jeudi 21 janvier 2016
    Amphi Krier, de 12h30 à 14h00
Intervenant Emmanuelle Taugourdeau - CNRS, CES, Paris School of Economics
Titre / title «  Location and clustering of research activities : The role of publics subsidies  »
Co-authored with Marie-Laure Cabon-Dhersin - Université de Rouen
Abstract This paper investigates the factors underlying the emergence of Research Cluster (RC) i.e. cooperation of research efforts through spatial proximity between public and private research teams. A ’public lab’ and a ’private lab’ interact in a three-stage game to decide on ’size’, ’location’ and ’research effort’. A sufficiently high level of public subsidies is necessary for the formation of a cluster but a too high level of the ublic subsidy. We find that ’RC’ performs better than non-cooperation in terms of total research efforts, particulary in the ’public lab’ (but not in the ’private lab’) but not in terms of total output gains.

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  • Séminaire du jeudi 14 janvier 2016
    Amphi Krier, de 12h30 à 14h00
Intervenant Thibaud Cargoët - CREM, Université Rennes 1
Titre / title «  Politique monétaire non conventionnelle et zero lower bound  »
Abstract Depuis la crise économique de 2007, une large littérature s’est développée pour étudier les effets des chocs financiers sur l’économie, en particulier du côté des modèles DSGE. Nous nous intéressons ici à la question de la mise en place d’une politique monétaire non conventionnelle en réponse à l’instabilité financière dans le cadre de la zone euro. Plus spécifiquement, nous cherchons à déterminer l’impact d’une politique monétaire non conventionnelle (ici une credit policy), non seulement sur l’amplitude d’une crise due à un choc financier, mais également sur la durée de cette crise. La majeure partie des modèles existants considèrent la situation de crise comme exogène. Certains se focalisent sur l’impact des frictions financières en période de crise, d’autres sur l’impact des frictions financières en période normale. Notre apport principal consiste à endogénéiser le passage d’une situation « normale » à une situation de crise, de manière à capturer les effets de la credit policy non seulement sur l’amplitude mais également sur la durée de la crise. Nos résultats montrent que la mise en place d’une credit policy permet de diminuer l’amplitude d’une crise due à un choc financier, mais conduit également à une augmentation de la durée de cette crise.

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  • Séminaire du jeudi 17 décembre 2015
    Amphi Krier, de 12h30 à 14h00
Intervenant Michal Burzynski - IRES, Université catholique de Louvain
Titre / title «  Time, Space and Skills in Designing Visa Policy  »
Abstract The paper proposes a multi-country model of international migration, in which skill-heterogeneous individuals decide about the destination country, preferred type of visa, the optimal duration of stay, and their legal status. With this multi-dimensional structure, the model provides a micro-foundation for multilateral resistance to migration. The application of this theory consists in investigating global demographic implications of introducing alternative visas by the EU. I consider a policy that resembles the European Blue Card program for high-skilled professionals. The former is compared with a policy of adding a short-term working permit for the low-skilled (targeted at reducing the number of overstayers). While the first policy seems to be relatively inefficient, the second could bring a significant decrease in the number of illegal stayers in the EU. The results are driven by the fact that an increase in the variety of visa types improves the match between immigrants’ preferences and countries’ visa offer. Moreover, a unilateral change in visa policy induces spillover effects for other destinations.
Lien / download 15-12-17_Burzynski.pdf

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  • Séminaire du jeudi 10 décembre 2015
    Salle IMAPP, de 12h30 à 14h00
Intervenant Fabien Prieur - TSE, professeur invité
Titre / title «  Stochastic petropolitics : The dynamics of institutions in resource-dependent economies  »
Co-authored with Raouf Boucekkine and Benteng Zou
Abstract We provide an analysis of institutional dynamics under uncertainty by means of a stochastic di-erential game of lobbying with two main ingredients. The -rst one is uncertainty inherent in the institutional process itself. The second one has to do with the crucial role of resource windfalls in economic and political outcomes, shaping lobbying power and adding a second source of uncertainty. We show that the main consequence of the -rst source of uncertainty is the existence of multiple equilibria with very distinct features. First, we obtain symmetric equilibria that allow the economy to reach almost surely a stable pointwise institutional steady state, which is exactly at the center of the political spectrum. Second, there exist asymmetric equilibria that only show up under uncertainty and do no allow for stochastic convergence to a steady state, meaning that any political position may be reached asymptotically with nonzero probability. With resource revenue-dependent lobbying power, the economy converges to a conservative position in the absence of uncertainty. When accounting for the two sources of uncertainty, we obtain that revenue volatility tends to stabilize institutional dynamics compared to the deterministic counterpart, which weakens the case for Friedman’s -rst law of petropolitics.
Lien / download 15-12-10_BPZ_petropolitics_oct 15-2.pdf

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Intervenant Eli Spiegelman - Vanier College à Montréal
Titre / title «  Evolution in the lab : an indirect evolutionary approach to emergent norms of trustworthiness  »
Co-authored with Sigrid Suetens
Abstract Indirect evolutionary models emphasize the « secret handshake » role of observable behavioral types in social dilemmas. To the extent that one believes the player opposite is hard-wired to pursue some efficient, but individually irrational course of action, one can trust her in a way that fully rational players cannot be trusted. It has been shown theoretically that the information required to perform this secret handshake is « forgiving » in the sense that any information at all is enough to destabilize inefficient equilibria in symmetric games, and something less than perfect information is required to stabilize efficient outcomes. But it is unclear how this works in practice. We adapt the theory to an asymmetric, specifically binary trust game, context to derive specific predictions for trustworthiness, and implement an experimental setting in which the Trustor has some probability to observe Trustee’s move before making her own choice in each of 60 rounds of play. In line with the theory, even low probabilities of observation result in significant efficient play, and trustworthiness converges towards 100% before observability is perfect, with greater efficiency reducing the necessary observability for the effect. In our setting, participants play three simultaneous games, differing in the efficiency of the cooperative outcome, against different opponents. This also allows us to compare the predictions of models of indirect evolution with models of direct evolution, as these vary in the predicted pattern of outcomes across games. We find support for the indirect over the direct model, which raises interesting questions about how some rationality encourages trust, but too much has the opposite effect.

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  • Séminaire du jeudi 19 novembre 2015
    Amphi Krier, de 12h30 à 14h00
Intervenant Anne Fournier - Post-Doc, SMART LERECO, INRA
Titre / title «  Direct-selling farming under urban pollution : what impact on competition, variety and goods quality ?  »
Abstract In this paper, we study how the proximity to cities a-ects the decision of farmers to enter the direct-selling market. We develop a spatial economic model which takes into account the externality of urban pollution on agricultural yields. We -nd that urbanization may foster direct-selling farming development provided that the market size e-ect dominates the net income e-ect. A corollary of this result is that regions hosting an intermediate-size city are more likely to supply a wider range of varieties. Additionally, we highlight that the greater the gap in productivity between the urban fringe and the right-hand side direct-selling boundary, the smaller the opportunities for farmers to engage in direct-selling, and the larger the quality di-erentiation between varieties. We -nally show that the market equilibrium always leads to a number of direct-selling farmers which is too low to fully satisfy urban households, but too much high from the farmers standpoint.
Lien / download 15-11-17_Fournier.pdf

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  • Séminaire ANNULE 12/11/2015
    Amphi Krier, de 12h30 à 14h00
Intervenant Marc Willinger - LAMETA, Université Montpellier 1

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  • Séminaire du jeudi 5 novembre 2015
    Amphi Krier, de 12h30 à 14h00
Intervenant Fabrice Le Lec - Centre d’économie de la Sorbonne, Université Paris 1
Titre / title «  Pricebo’ in the field ?The effect of price on quality assessment and hedonic experience among cocaine users  »
Abstract One of the core assumptions of economic theory is that preferences for goods are independent of prices. Research in marketing and more recently in experimental economics and neuroeconomics suggests that prices could affect the hedonic experience of consumers and by extension their preference or subjective valuation of goods. There could be a `pricebo’ effect : as for the well-known placebo effect, a higher price could make a product more effective in achieving consumers satisfaction. We test this hypothesis in the fi-eld based on a survey among French cocaine users in 2006 : For each drug user, the surveyor has to fill in a questionnaire and to purchase a small sample of the product. The questionnaire provides usual information about the users and the circumstances of the trade and consumption, as well as three post-consumption assessments of the quality of the drug. More crucially, it provides the toxicological composition of each drug sample that the surveyor experienced. Using this dataset, we assess the effect of price on satisfaction and quality assessment, controlling for the objective quality of the product (cocaine concentration). We find that the higher the price, the higher the perceived quality and performance. The effect is strongly significant and substantial, but not strictly linear : the marginal effect seems to decrease with the price. The result is robust to numerous controls and sensitivity checks and discuss a number of confound or limitations. We conclude that price impacts positively the hedonic experience of consumers, who may consequently prefer more expensive goods.

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  • Séminaire du mardi 3 novembre 2015
    Salle IMAPP, de 17h30 à 19h00
Intervenant Ujjayant Chakravorty - Tufts University, MA, USA
Titre / title «  Who is Buying ? Fuelwood Collection in Rural India  »
Co-authored with Martino Pelli and Anna Risch - CES, Université de Paris 1
Abstract Fuelwood collection is often cited as the most important cause of deforestation in many developing countries. There is a large literature on fuelwood markets but almost no studies on who is using the fuelwood collected. Is the fuelwood collected in rural areas used locally or by people living in nearby towns and cities ? The answer to this question has implications for both environment and energy policy. We study this issue by looking at the eff ect of reduced forest cover on the time allocation of buyers and sellers of fuelwood in rural India. We instrument time spent in fuelwood collection by the time it takes to travel from their home to the collection site. By matching two diff erent datasets, we can partition households that buy fuelwood for their own use from those who sell fuelwood in markets. We see a clear diff erence in the time allocation of these two groups in response to costlier access to forest resources, as measured by travel time. When the forest is further away, fuelwood is scarce and sellers decrease their time invested in self-employment activities. Buyers show no such trend in their behavior. Closer to town, sellers increase their collection e ffort, because fuelwood is likely to fetch higher prices. Again, buyers do not exhibit the same pattern. We -find that the number of fuelwood sellers rises closer to town and controlling for population, fuelwood sales increase. The main contribution of the paper is in disentangling fuelwood markets into buyers and sellers, and estimating an excess supply function of fuelwood as a function of distance from town. About a third of the fuelwood collected is shipped out of the village, equivalent to about one million barrels of crude oil per day. Since most of this fuelwood is used for cooking using low effi ciency stoves, this practice may have a signifi-cant eff ect on indoor air pollution in towns.

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  • Séminaire ANNULE jeudi 22 octobre 2015
    Amphi Krier, de 12h30 à 14h00
Intervenant Marc Léandri - Université Versailles St-Quentin-en-Yvelines
Titre / title «  Inertia in ecosystem services degradation : the case of assimilative capacity in pollution control problems  » - LAMETA, Université de Montpellier
Co-authored with Mabel Tiball - CES, Université de Paris 1
Abstract Dans les modèles formalisés d’économie de l’environnement, le niveau disponible d’un service écosystémique est très souvent déterminé par une relation bijective avec une variable de stock, ce qui ne permet pas de rendre compte des effets d’inertie qui pèsent sur leur dégradation. Nous proposons d’introduire ce phénomène d’inertie dans le modèle de contrôle optimal de la pollution avec capacité d’assimilation dynamique, introduisant ainsi une dépendance entre cette capacité d’assimilation et l’historique du stock de pollution. Nos résultats sur les états stationnaires confirment les intuitions de la littérature mais la complexité du modèle ne permet pas une résolution complète. Afin de pouvoir néanmoins évaluer l’importance relative de cette inertie dans les politiques environnementales, nous développons une méthode hybride entre optimisation et viabilité qui met en lumière certaines conditions de préservation du service écosystémique d’assimilation.

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  • Séminaire du jeudi 15 octobre 2015
    Amphi Krier, de 12h30 à 14h00
Intervenant Tovonony Razafindrabe - CREM, Université de Rennes 1
Titre / title «  Does the volatility of commodity prices reflect macroeconomic uncertainty ?  »
Co-authored with Marc Joëts, Valérie Mignon - CES, Université de Paris 1
Abstract This paper analyzes the impact of macroeconomic uncertainty on a large sample of 19 commodity markets. We rely on a robust measure of macroeconomic uncertainty based on a wide range of monthly macroeconomic and financial indicators, and we estimate a structural threshold VAR (TVAR) model to assess whether the effect of macroeconomic uncertainty on commodity price returns depends on the degree of uncertainty. Our findings show that whereas the safe-haven role of precious metals is confirmed, agricultural and industrial markets are highly sensitive to the variability and the level of macroeconomic uncertainty, respectively. In addition, we show that the recent 2007-09 recession has generated an unprecedented episode of high uncertainty in numerous commodity markets that is not necessarily accompanied by a subsequent volatility in the corresponding prices, highlighting the relevance of our uncertainty measure in linking uncertainty to predictability rather than to volatility.
Lien / download 15-10-15_Razafindrabe.pdf

 

Intervenants Nouveaux doctorants du CREM - CREM, Université de Rennes 1, site de la faculté des sciences économiques
Titre / title Présentation des sujets de thèses

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  • Séminaire du jeudi 8 octobre 2015
    Amphi Krier, de 12h30 à 14h00
Intervenant Laurent Gobillon - Institut National d’Etudes Démographiques (INED)
Titre / title «  Have women really a better access to best-paid jobs in the public sector ? Counterfactuals based on a job assignment model  »
Co-authored with Dominique Meurs et Sébastien Roux - CES, Université de Paris 1
Abstract We propose a job assignment model with individual heterogeneity and derive a measure of gender differences in the propensity to get job positions along the wage distribution. This measure is used to quantify gender disparities in the public and private sectors with a French exhaustive administrative dataset. We then show how the model can motivate decomposition and counterfactual exercises consistent with economic theory. Our approach constitutes an alternative to more descriptive methods such as Oaxaca decompositions and quantile counterfactual approaches. Gender differences in the propensity to get jobs along the wage distribution are found to be rather similar in the public and private sectors, although the gap is slightly larger in the public sector in the 0.4 - 0.8 rank interval (and slightly smaller at ranks above 0.8). The overall contribution of observables to explaining gender differences is small in the two sectors except for ranks below 0.5 in the public sector. Long part-time experience is the only factor with a sizable explanatory power. The gender wage gap in the public sector increases by only 0.7 points when workers are assigned to jobs according to the rules of the private sector, but the gender quantile gap at the last decile increases signi…cantly by 4.6 points.

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  • Séminaire du jeudi 1 octobre 2015
    Amphi Krier, de 12h30 à 14h00
Intervenant Benoît Tarroux - CREM - Université de Rennes 1
Titre / title «  Is more choice always preferred ? Experimental evidence  »
Co-authored with Fabrice Le Lec - CES, Université de Paris 1
Abstract This paper studies how people value freedom of choice. Our experiment consists of facing subjects a series of binary comparisons of opportunity sets. Once the subjects have chosen between sets of alternatives, one of their choices is randomly picked : in a first treatment, they have to choose one item among the selected opportunity set (choosing for myself) ; in a second treatment, the opportunity set is offered to other subjects (choosing for other). This experimental methodology allows us to assess whether people value wider and more diverse opportunity set as well as whether their choices depend on the preferences over items. The results differ according to the treatment. In choosing for other treatment, subjects tend to value larger opportunity sets, i.e., they are more likely to offer others additional option(s) even if more choice does not allow the other subject to choose an item which would give more satisfaction. To sum up, subjects are prone to offering some autonomy of choice. However we also find that subjects may sometimes be paternalists preventing other from choosing their preferred alternative. To contrary, when subjects choose what they can choose, they are more willing to select smaller opportunity set when they are not likely to choose the additional option. We argue that this result is in line with thinking aversion or decision-making hypothesis according to which subjects postpone a decision. Our results may have interesting implications related to the foundation of public policies as well as our understanding of individual decision-making.
Lien / download 15-10-01_Tarroux_Le-Lec.pdf

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  • Séminaire du jeudi 24 septembre 2015
    Amphi Krier, de 12h30 à 14h00
Intervenant Wolfgang Schultze - Université d’Augsburg, Allemagne
Titre / title «  Economic Consequences of Implementing and Communicating Value Based Management Systems  »
Co-authored with Bettina Schabert et Thomas List
Abstract We study the consequences of implementing and communicating Value Based Management (VBM) systems on information asymmetries, cost of capital and stock returns. We use the firms’ reporting on internal control systems as the source of information for market participants. Also, literature posits that improving communications with shareholders by providing additional information on value generation (Value Based Reporting, VBR) is considered an integral part of implementing VBM. We find that the implementation of VBM and the extent of VBR are, both individually and jointly, significantly related to lower information asymmetries, lower cost of capital and higher stock returns.

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  • Séminaire du jeudi 17 septembre 2015
    Amphi Krier, de 12h30 à 14h00
Intervenant Joeffrey Drouard - CREM - Université de Rennes 1
Titre / title «  Voter Turnout and the Intergenerational Conflict over Public Education  »

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