Nos tutelles



Accueil > Travaux de recherche > Working papers

Année 2017

publié le


Derniers documents de travail


Working papers du CREM sur RePEc
Working papers du Condorcet Center sur RePEc


  • Prudence and preference for flexibility gain
Creation-Date March 2017
Auteur /Author Daniel Danau, University of Caen Normandy, CREM-CAEN, UMR CNRS 6211, France
Mots clés / Keywords Risk aversion ; Sequential screening ; Real Options
Classification-JEL : D81
Abstract Under the expected utility paradigm, prudence (u’’’ > 0) is usually associated with the amount of risk premium an individual requires in order to renounce to a certain current outcome in favour of an uncertain future outcome. A prudent individual requires a higher premium the lower her initial wealth. However, when the individual has to make a costly investment before obtaining the outcome, she may prefer to delay that investment. This translates into a preference for latter, not earlier outcome. Consequently, prudence cannot be associated with a risk premium. In this paper we show that, for an individual who prefers to delay the investment, prudence is actually associated with the economic bene…t granted by that delay. Speci…cally, a lower expected unit cost of acquiring the good is associated with a greater bene…t of the investment delay if and only if u’’’ is high, and, with a uniform distribution, u’’’ > 0. We also show that the preference for facing a lower expected unit cost and/or a wider support of the unit cost increases with u’’’. We describe two applications of this result, namely, sequential learning in the delegation of a task and timing of investment decisions under multiperiod uncertainty.
Lien / download 2017-05.pdf

retour liste WP2017

  • Impact of QE on European sovereign bond market
Creation-Date March 2017
Auteur /Author Franck Martin, Université de Rennes 1, CREM CNRS, France
Auteur /Author Jiangxingyun Zhang, Université de Rennes 1, CREM CNRS, France
Mots clés / Keywords QE impact, Term structure interest rates
Abstract This paper tries to evaluate the impact of the ECB’s QE programs on the equilibrium of European sovereign bond markets. For this purpose, we develop an original theoretical model to understand the formation of long-term sovereign rates in the euro area. Precisely, it’s an international bond portfolio choice model with two countries which generalizes the traditional results of the term structure interest rates theory. Particularly, except for traditional properties, long-term equilibrium rates depend as well as on the anticipated variances and covariances, considered as a component of a volatility risk premium, of future bond yields. By using CDS as a variable to control default risks, the model is tested empirically over the period January 2006 to September 2016. We can conclude that the ECB’s QE programs beginning from March 2015, have accelerated the « defragmentation process » of the European bond markets, already initiated since the OMT. However, according to the test à la Forbes and Rigobon, it seems difficult to affirm that QE programs have led to a significant increase in the conditional correlations between bond markets. In a supplementary empirical test, we show that QE has significantly reduced the sensitivities of bond yield spreads to the premiums paid on sovereign CDS.
Lien / download 2017-04.pdf

retour liste WP2017

  • Entrepreneurship, Economic Development and Institutional Environment : Evidence from OECD countries
Creation-Date January 2017
Auteur /Author Rafik Abdesselam, University of Lyon, Lumière Lyon 2, COACTIS, EA 4161, France
Auteur /Author Jean Bonnet, University of Caen Normandy, CREM-CAEN, UMR CNRS 6211, France
Auteur /Author Patricia Renou-Maissant, University of Caen Normandy, CREM-CAEN, UMR CNRS 6211, France
Auteur /Author « Mathilde Aubry, Management School of Normandy, METIS Research Department, France »
Mots clés / Keywords Entrepreneurship, Data analysis methods, Entrepreneurial/Managerial economies
Classification-JEL : L26, C38, O1
Abstract The purpose of this article is to establish a typology of entrepreneurship for OECD countries over the 1999-2012 period. Our aim is to make a distinction between managerial and entrepreneurial economies, to identify groups of countries with similar economic and entrepreneurial activity variables and to determine the economic and institutional drivers of entrepreneurial activities in each group. We show that the level of development, sectoral specialization, and institutional variables related to entrepreneurship, functioning of the labor market and openness of the country are decisive to understand differences in entrepreneurship activity across countries. Results show that the pre-crisis period, from 1999 to 2008, is a period of growth favorable to entrepreneurship. The financial crisis involved a break in entrepreneurial dynamism with agricultural economies withstanding the financial crisis better. The 2010-2012 period of recovery is a period of a sharp slowdown in entrepreneurial activity, during which the countries that are less dependent on the financial sector proved to be the most resilient in terms of entrepreneurial activity. Nevertheless, it is the advanced economies of knowledge with developed financial markets, fewer institutional regulatory constraints and qualitative entrepreneurship that show the weaker unemployment rates. These findings have important implications for the implementation of public policy in order to promote entrepreneurial activity and reduce unemployment.
Lien / download 2017-03.pdf

retour liste WP2017

  • Mission Drift in Microcredit and Microfinance Institution Incentives
Creation-Date January 2017
Auteur /Author Sara Biancini, Université de Caen-Normandie, CREM UMR CNRS 6211, France
Auteur /Author David Ettinger, Université Paris Dauphine, PSL, LEDa and CEREMADE, France
Auteur /Author Baptiste Venet, Université Paris Dauphine, PSL, IRD, LEDa, UMR225, DIAL, France
Mots clés / Keywords Microfinance, Donors, Poverty, Screening
Classification-JEL : O12, O16, G21
Abstract We analyze the relationship between Micro nance Institutions (MFIs) and external donors, with the aim of contributing to the debate on ``mission drift" in microfinance. We assume that both the donor and the MFI are pro-poor, possibly at different extents. Borrowers can be (very) poor or wealthier (but still unbanked). Incentives have to be provided to the MFI to exert costly effort to identify the more valuable projects and to choose the right share of poorer borrowers (the optimal level of poor outreach). We first concentrate on hidden action. We show that asymmetric information can distort the share of very poor borrowers reached by loans, thus increasing mission drift. We then concentrate on hidden types, assuming that MFIs are characterized by unobservable heterogeneity on the cost of effort. In this case, asymmetric information does not necessarily increase the mission drift. The incentive compatible contracts push efficient MFIs to serve a higher share of poorer borrowers, while less efficient ones decrease their poor outreach.
Lien / download 2017-02.pdf

retour liste WP2017

  • Composition, interprétation et mémorisation du savoir idiosyncrasique dans la banque solidaire
Creation-Date January 2017
Auteur /Author Amélie Artis, Sciences Po Grenoble, PACTE CNRS, France
Auteur /Author Simon Cornée, Université de Rennes 1, CREM CNRS, and CERMi, France
Mots clés / Keywords Social banking, Idiosyncratic Knowledge, Hierarchy, Organisational Memory, Decision
Classification-JEL : G21, L23, D8
Abstract Idiosyncratic knowledge, defined as the internal knowledge produced by a bank on each of its borrowers, is at the heart of the financial intermediation process. Nonetheless, the way bank managers use information in the credit-granting process remains a black box in the existing econometric studies. On the basis of a statistical textual analysis conducted on prior-to-credit-committee notices of 52 credit files stemming from a social bank, our paper offers three main contributions. First, we show that the social bank under scrutiny produces a rich idiosyncratic knowledge mainly composed of soft information. Second, we reveal how the qualitative and the quantitative dimensions of the idiosyncratic knowledge are used when credit conditions are determined ; hierarchy playing a key role in this process of interpretation. Third, our results indicate that the bank relies on an information system as well as on its agents’ cognitive abilities to memorise the idiosyncratic knowledge it produces. In this respect, our research points out deficiencies in the bank’s organisational memory and suggests some directions to remedy them.
Lien / download 2017-01.pdf

retour liste WP2017