DOCUMENTS DE TRAVAIL 2013
2013-42
Current account sustainability in Sub-Saharan Africa: Does the exchange rate regime matter?
Issiaka Coulibaly, Blaise Gnimassoun
- Résumé
- This paper aims at studying the sustainability of current accounts in Sub-Saharan Africa and determining whether this sustainability depends on the exchange rate regime. Relying on a formal theoretical framework and recent panel cointegration techniques, our findings show that current accounts have been globally sustainable in Sub-Saharan Africa countries over the 1980-2011 period. However, this sustainability has been lower for countries operating a fixed exchange rate regime or belonging to a monetary union. We also find that the difference in the level of sustainability could be explained by a higher persistence in the current account
adjustment of countries operating under rigid exchange rate regimes. - Mot(s) clé(s)
- Current account, Exchange rate regime, Panel cointegration tests, Sub-Saharan Africa
2013-41
Réglementation et risques systémiques sur les marchés de dérivés de gré à gré
Henri Audigé
- Résumé
- L'effondrement du marché des subprimes en 2008 a déclenché l'une des crises nancières les plus destructrices depuis le crash boursier de 1929. Mis en cause dès le début de cette crise, les marchés de dérivés de gré à gré se distinguent par leur opacité et une absence de supervision à l'échelle nationale et internationale. En septembre 2009, les pays du G20 se réunissent à Pittsburgh et s'engagent à réformer en profondeur ces marchés. Dans cet article, nous analysons les limites de l'autorégulation des marchés de gré à gré avant la crise et les enjeux à venir pour la stabilité nancière après le sommet de Pittsburgh.
- Mot(s) clé(s)
- Réglementation financière, risque systémique, marchés de dérivés de gré à gré, contagion, chambres de compensation (CCP), réglementation transnationale.
2013-40
Offshore financial centers in the Caribbean: An overview
Michael Brei
- Résumé
- This paper investigates offshore financial centers in the Caribbean from the perspective of offshore economies, onshore economies, and international investors. Using multilateral data on the international positions of banks, we analyze the flow of funds that has been transferred from the major banking systems to offshore financial centers located in the Caribbean and vice versa. We highlight that Caribbean offshore financial centers have been predominantly used by persons, resident in the United States, which send and receive most of the offshore funds, a process called round-tripping. For the major player in the Caribbean, the United States, we find that increases in offshore funds have been associated with reductions in corporate income tax revenues. These costs, however, have to be put into relation with the potential benefits, in the form of higher lending by commercial banks located in the United States. Along with the empirical analysis, we analyze the advantages and disadvantages of offshore financial centers from the perspective of offshore and onshore governments, and international corporations and investors. In particular, we provide a review of the international tax legislation, focusing on activities and investments in traditional offshore centers, treaty heavens, and special concession havens. Although the vast majority of offshore transactions seem to be perfectly legal, there exist concerns that particular corporations and individuals might misuse offshore financial centers. For this reason, we discuss as well the major international initiatives on countering the harmful practices in offshore centers and tax havens.
- Mot(s) clé(s)
- Offshore financial centers, international finance, Caribbean
2013-39
L’apport de Robert TORRENS à la théorie Ricardienne du salaire naturel
Olivier Rosell
- Résumé
- Cet article reconsidère l’antériorité de Robert Torrens sur David Ricardo concernant la question du salaire naturel. L’attention portée à Torrens s’explique par l’influence qu’il a exercée sur Ricardo au moment de la rédaction de ses Principes. Pour beaucoup d’historiens de la pensée économique, cette influence concerne l’accent mis par Torrens sur le caractère socioculturel des biens de nécessité mesurant le prix naturel du travail. Cette appréciation est conforme au jugement de Ricardo, lequel rend hommage à Torrens pour cette contribution. Dans cet article, nous montrons que l’antériorité de Torrens sur Ricardo peut toutefois être réévaluée. Celle-ci porte plus généralement sur la méthode utilisée par Ricardo pour justifier, contre Malthus, l’indexation du salaire monétaire sur le prix monétaire des biens de subsistance. En définitive, l’article montre que l’hommage rendu par Ricardo à Torrens a conduit paradoxalement à une méconnaissance de sa théorie.
- Mot(s) clé(s)
2013-38
Salaire, concurrence et surtravail : Une contribution classique à l’explication du profit
Olivier Rosell
- Résumé
- Cet article propose une reconstruction moderne d’un écrit méconnu de R. Torrens portant sur la formation et la répartition du revenu entre les classes sociales. Le cadre analytique de ce modèle est celui d’une économie à bien unique où les coefficients techniques sont supposés fixes. Par rapport à l’approche contemporaine de la théorie ricardienne (i.e. celle de Sraffa), notre interprétation conduit principalement : 1) à représenter le salaire comme l’expression économique du jeu concurrentiel sur le marché du travail, 2) à proposer un mode de détermination du partage du produit net entre salaires et profits sans présupposer la fixation exogène de l’une de ces variables, 3) à concevoir un concept original de surtravail pour l’explication du profit en dehors du cadre analytique de la valeur-travail. Au final, il apparaît que l’approche de Torrens jette les bases d’une conception originale du profit en tant que prélèvement effectué sur la base d’une transaction marchande spécifique aux économies capitalistes.
- Mot(s) clé(s)
2013-37
Damage rules and the patent hold-up problem : An analysis of Article L. 615-7
Bertrand Chopard, Thomas Cortade, Eric Langlais
- Résumé
- This paper provides an analysis of two damage rules (Lost Profi t versus Unjust Enrichment) introduced in the French Code de la Propriété Intellectuelle in 2007 (Loi du 27 Octobre 2007, Art. L. 615-7). We use a simple sequential game where both the decisions to infringe and to enforce the patent, as well as the decisions to accomodate, settle or litigate the case, and the outputs decisions (Cournot competition) are endogenous. We characterize the equilibria associated with each rule, and compare their properties. We show that: 1/ the Unjust Enrichment rule provides Patentees with higher damages compensation than the Lost Pro fit one; however, 2/ Lost Profi t induces more deterrence of infringement, and is associated with less trials than Unjust Enrichment; 3/ Unjust Enrichment may deter the Patentee to enforce his right; 4/ when there is a positive probability that the case settles, Patentee's expected utility is higher under Lost Profi t than under Unjust Enrichment.
- Mot(s) clé(s)
- lost profi t rule, unjust enrichment rule, intellectual property rights, patent litigations, pretrial negotiations
2013-36
Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data
Sylvie Lecarpentier-Moyal, Georges Prat, Patricia Renou-Maissant, Remzi Uctum
- Résumé
- Nous proposons une analyse économétrique des effets d’annonce sur la volatilité intrajournalière de quatre actions du CAC40 : Alcatel, Axa, Renault et Société Générale. Les séries horodatées des cours boursiers et les données qualitatives d’événements sont respectivement extraites de SBF-Euronext et de Bloomberg. La composante journalière de la volatilité est estimée par un modèle FIGARCH tandis que la saisonnalité intra-journalière par la Forme Flexible de Fourier. Il ressort que les volatilités individuelles sont affectées par un effet de marché systématique, des effets-jours et des annonces concernant la conjoncture macroéconomique, les opérations financières et stratégiques et les résultats d’exercice, ces deux dernières événements relevant de la firme en question ou de ses concurrents. Les volatilités décrivent des réponses retardées et progressives avec des horizons de persistance allant de une à trois heures, suggérant que les agents n’accèdent que graduellement à l’information complète.
- Mot(s) clé(s)
- volatilité intra-journalière, mémoire longue, persistance des effets d’annonces
2013-35
Elected vs appointed public law enforcers
Eric Langlais, Marie Obidzinski
- Résumé
- This paper revisits the issue of law enforcement and the design of monetary sanctions when the public law enforcer's incentives depart from those of a benevolent authority, which is the most frequent assumption made in the literature on crime deterrence. We rst consider the case of an elected enforcer. We nd that when the harm generated by offenses is quite small relative to the average private bene ts, equilibrium with weak enforcement/low sanction prevails. Instead, when the harm generated by offenses is high relative to the average private bene ts, it is the equilibrium with strong enforcement/high sanctions that prevails. Therefore, we provide an explanation for the empirical puzzle highlighted by Lin(2007): elected enforcers punish major (minor) crimes more (less) severely than the benevolent social planer. The case of an appointed enforcer prone to rent seeking is also considered. The monetary sanction under rent seeking is closer to the utilitarian level, as compared with the one under election.
- Mot(s) clé(s)
- law enforcement, deterrence, monetary sanctions, punishment, electoral competition, democracy, rent seeking, dictature
2013-34
Chinese Outward Foreign Direct Investment in Developed and Developing Countries: Converging Characteristics?
Christian Milelli, Alice Nicole Sindzingre
- Résumé
- The spectacular surge in Chinese outward foreign direct investment (OFDI) has been reinforced by China’s accession to the WTO (2001). The understanding of their determinants remains a key theoretical question, in particular whether they confirm the standard conceptual framework - ‘ownership’, ‘location’, ‘internalisation’ (OLI) and ‘linkages’ (augmenting competences by learning). The paper argues that the determinants of Chinese OFDI change over time and converge toward global strategies, via a comparison between Chinese OFDI in developed countries (based on an original database of 1800 investment operations in Europe from 2002 onwards) and in developing countries (Sub-Saharan Africa, Latin America). While their impacts indeed vary according to countries’ contexts, Chinese OFDI in developed and developing countries converges toward complex and similar motives, become more mature through the combination of various modes of entry (greenfield and mergers-and-acquisitions), and exhibit more commonalities than differences. The comparison thus demonstrates that while the determinants of Chinese OFDI in developed countries were initially access to their markets, they now include efficiency-seeking motives (dispersing design, R&D and production) and assets-seeking (or augmenting assets) motives, the latter’s prevalence in developed countries (e.g., patents, skills, brands) remaining a contrast with developing countries. Chinese OFDI in developing countries is mostly driven by resource-seeking motives (strategic inputs for China’s growth), but also in resource-endowed developed countries (Australia, Canada). Large investments are driven by Chinese state-backed firms both in developed and developing countries. The growing number of Chinese small and medium private enterprises which invest in developing countries (e.g., Sub-Saharan Africa) shows that market access has increasingly become a determinant of OFDI, together with efficiency - and assets-seeking motives - rising labour costs in China being incentives for relocating abroad, in particular in labour-intensive sectors where competitiveness is driven by prices. Chinese firms often conduct these various strategies simultaneously.
- Mot(s) clé(s)
- China; foreign direct investment, Europe; Sub-Saharan Africa
2013-33
Energy prices and the real exchange rate of commodity-exporting countries
Magali Dauvin
- Résumé
- This paper investigates the relationship between energy prices and the real effective exchange rate of commodity-exporting countries. We consider two sets of countries: 10 energy-exporting and 23 non-fuel commodity-exporting countries over the period 1980-2011. Estimating a panel cointegrating relationship between the real exchange rate and its fundamentals, we provide evidence for the existence of "energy currencies". Relying on the estimation of panel smooth transition regression (PSTR) models, we show that there exists a certain threshold beyond which the real effective exchange rate of both energy and commodity exporters reacts to oil prices, through the terms-of-trade. More specifically, when oil price variations are low, the real effective exchange rates are not determined by terms-of-trade but by other usual fundamentals. Nevertheless, when the oil market is highly volatile, currencies follow an "oil currency" regime, terms-of-trade becoming an important driver of the real exchange rate.
- Mot(s) clé(s)
- energy prices, terms-of-trade, exchange rate, commodity-exporting countries, panel cointegration, nonlinear model, PSTR
2013-32
In the Shadow of François Quesnay: The Political Economy of Charles Richard de Butré
Loïc Charles, Christine Théré
- Résumé
- From 1759 to 1762, François Quesnay had systematically appealed to an obscure physiocrat, Charles Richard de Butré, when he had to make a numerical estimate or to do a nonelementary
computation. In the present article, we use two important unpublished writings by Butré to discuss and assess the extent of his contribution to physiocratic theory. In these two works written at the end of 1766 and the beginning of 1767, Butré set himself to the task of deepening Quesnay’s political economy. Although he was, besides Quesnay, the only physiocrat who mastered the Tableau économique, he chose to develop his own analytical devices. In order to provide a more satisfactory presentation of the doctrine of the exclusive productivity of agriculture, Butré modified significantly the social classification adopted by Quesnay and all the other physiocrats. Finally, he imagined and drafted a theoretical system of public accounting that would measure and account for all kinds of economic activities, including those Quesnay had left out in his Tableau économique, such as external trade. We argue that the study of his work offers us an ideal vantage point to broaden our understanding of the nature and the history of Quesnay’s political economy. - Mot(s) clé(s)
- Physiocracy ; Physiocratic Theory ; François Quesnay ; Charles Richard de Butré ; Tableau économique
2013-31
Current-account adjustments and exchange-rate misalignments
Blaise Gnimassoun, Valérie Mignon
- Résumé
- This paper aims at studying current-account imbalances by paying a particular attention to exchange-rate misalignments. We rely on a nonlinear model linking the persistence of current-account imbalances to the deviation of the exchange rate to its equilibrium value. Estimating a panel smooth transition regression model on a sample of 22 industrialized countries, we show that persistence of current-account imbalances strongly depends on currency misalignments. More specifically, while there is no persistence in cases of currency undervaluation or weak overvaluation, persistence tends to augment for overvaluations higher than 11%. In addition, whereas disequilibria are persistent even for very low overvaluations in the euro area, persistence is observed only for overvaluations higher than 14% for non-eurozone members.
- Mot(s) clé(s)
- current-account imbalances, current-account persistence, exchange-rate misalignments, panel smooth transition regression models
2013-30
Illiquid Life Annuities
Johanna Etner, Hippolyte d'ALBIS
- Résumé
- In this article, we consider illiquid life annuity contracts and show that they may be preferred to Yaari (1965)'s liquid contracts. In an overlapping-generation economy, liquid life annuities are demanded only if the equilibrium is dynamically inefficient. Alternatively, an equilibrium displaying a positive demand for illiquid life annuities is efficient. In this latter case, the welfare at steady-state is larger if illiquid life annuity contracts are available.
- Mot(s) clé(s)
- annuity, overlapping generation model
2013-29
Current accounts and oil price fluctuations in oil-exporting countries: the role of financial development
Jean-Pierre Allegret, Cécile Couharde, Dramane Coulibaly, Valérie Mignon
- Résumé
- Oil-exporting countries usually experience large current account improvements following a sharp increase in oil prices. In this paper, we investigate this oil price-current account relationship on a sample of 27 oil-exporting economies. Relying upon the estimation of panel smooth transition regression models over the 1980-2010 period, we provide evidence that refines the traditional interpretation of oil price effects on current accounts. While current accounts are positively affected by oil price variations, this effect is nonlinear and depends critically on the degree of financial development of oil-exporting economies. More specifically, oil price variations exert a positive impact on the current account position for less financially developed countries, while this influence tends to diminish when the degree of financial deepness augments.
- Mot(s) clé(s)
- current account; oil price; financial development; panel smooth transition regression models
2013-28
Minimum Variance Portfolio Optimisation under Parameter Uncertainty: A Robust Control Approach
Bertrand Maillet, Sessi Tokpavi, Benoit Vaucher
- Résumé
- The global minimum variance portfolio computed using the sample covariance matrix is known to be negatively affected by parameter uncertainty. Using a robust control approach, we introduce a portfolio rule for investors who wish to invest in the global minimum variance portfolio due to its strong historical track record but seek a rule that is robust to parameter uncertainty. Our robust portfolio theoretically corresponds to the global minimum variance portfolio in the worst-case scenario, with respect to a set of plausible alternative estimators of the covariance matrix, in the neighbourhood of the sample covariance matrix. Hence, it provides protection against errors in the reference sample covariance matrix. Monte Carlo simulations illustrate the dominance of the robust portfolio over its non-robust counterpart, in terms of portfolio stability, variance and risk-adjusted returns. Empirically, we compare the out-of-sample performance of the robust portfolio to various competing minimum variance portfolio rules in the literature. We observe that the robust portfolio often has lower turnover and variance and higher Sharpe ratios than the competing minimum variance portfolios.
- Mot(s) clé(s)
- Global minimum variance portfolio, Parameter uncertainty, Robust control approach, Robust portfolio
2013-27
Testing for the Systemically Important Financial Institutions: a Conditional Approach
Sessi Tokpavi
- Résumé
- We introduce in this paper a testing approach that allows checking whether two financial institutions are systemically equivalent, with systemic risk measured by CoVaR (Adrian and Brunnermeier, 2011). The test compares the difference in CoVaR forecasts for two financial institutions via a suitable loss function that has an economic content. Our testing approach differs from those in the literature in the sense that it is conditional, and helps evaluating in a forward-looking manner, the extent to which statistically significant differences in CoVaR forecasts can be attributed to lag values of market state variables. Moreover, the test can be used to identify systemically important financial institutions (SIFIs). Extensive Monte Carlo simulations show that the test has desirable small sample properties. With an application on a sample including 70 large U.S. financial institutions, our conditional test using market state variables such as VIX and various yield spreads, reveals more (resp. less) heterogeneity in the systemic profiles of these institutions compared to its unconditional version, in crisis (resp. non-crisis) period. It also emerges that the systemic ranking provided by our testing approach is a good forecast of a financial institution's sensitivity to a crisis. This is in contrast to the ranking obtained directly using CoVaR forecasts which has less predictive power because of estimation uncertainty.
- Mot(s) clé(s)
- Systemic Risk, SIFIs, CoVaR, Estimation Uncertainty, Conditional Predictive Ability Test
2013-26
The determinants of international mobility of students
Michel Beine, Romain Noël, Lionel Ragot
- Résumé
- This paper analyzes the determinants of the choice of location of international students. Building on the documented trends in international migration of students, we develop a small theoretical model allowing to identify the various factors associated to the attraction of migrants as well as the costs of moving abroad. Using new data capturing the number of students from a large set of origin countries studying in a set of 13 OECD countries, we assess the importance of the various factors identified in the theory. We find support for a significant network effect in the migration of students, a result so far undocumented in the literature. We also find a significant role for cost factors such as housing prices and for attractiveness variables such as the reported quality of universities. In contrast, we do not
find an important role for registration fees. - Mot(s) clé(s)
- Student mobility, network effect, migration costs, higher education policy
2013-25
On the optimal control of pollution in a human capital growth model
Stefano Bosi, Lionel Ragot
- Résumé
- On the one hand, the adoption of polluting technologies can enhance the factor productivity; on the other hand, pollution lowers the stock of human capital by weakening physical and mental performances, and short-ening the life expectancy at the end. To capture the impact of pollution on economic growth, we compute the optimal policy in an endogenous growth model `a la Lucas (1988) and we study the effects of pollution in the short and the long run.
- Mot(s) clé(s)
- pollution, human capital, endogenous growth
2013-24
Interactions Between Risk-Taking, Capital, and Reinsurance for Property-Liability Insurance Firms
Aymen Belgacem, Selim Mankai
- Résumé
- Theory and empirical evidence suggest short-run interactions between capital and risk. This paper analyzes the effects of reinsurance, as a new endogenous decision variable, on this policy mix. We examine this issue using a system of simultaneous equations applied to the U.S. property-liability insurance industry. The results identify significant interactions between capital, risk and reinsurance. The relationship between risk and capital is positive, indicating the effectiveness of regulatory mechanisms. Reinsurance is negatively associated with capital, for which it appears to act as a substitute. These results are sensitive to the level of capital held in excess of the regulatory minimum requirements. Weakly capitalized firms adjust their reinsurance and risk levels more quickly and try to rebuild an appropriate capital buffer. Unlike other decision variables, the capital ratio converges toward a long-run target level.
- Mot(s) clé(s)
- Risk-taking, Capital based Regulation, Insurance, Simultaneous Equations, Instrumental Variables
2013-23
The 90% public debt threshold: The rise and fall of a stylised fact
Balázs Egert
- Résumé
- This paper analyses the original Reinhart-Rogoff dataset, made public by Herndon et al. (2013), on the basis of descriptive statistics and formal econometric testing. First, based on the public debt thresholds(30%, 60% and 90%) proposed by Reinhart and Rogoff (2010), descriptive statistics reveal that real GDP growth slows considerably as the central government debt-to-GDP ratio goes beyond the 30% threshold and that no further slowdown can be observed in the data as the debt-to-GDP ratio rises above 60% and 90% during the periods 1790-2009 and 1946-2009. For the United States (1946-2009), the negative nonlinear finding completely disappears for any level of public debt, once reverse causality and influential outliers are accounted for. Looking at general (and central) government debt during the more recent period of 1960-2009 suggests that economic slowdown occurs when public debt moves above 60% or 90% of GDP. But it seems more appropriate to determine nonlinearity and the associated debt threshold endogenously. Therefore, in a second stage, we put the Reinhart-Rogoff dataset to a formal econometric test by employing nonlinear threshold models. Overall, our estimation results indicate that the nonlinear relation from debt to growth is not very robust. Taken with a pinch of salt, our results suggest, however, that there may be a tipping point at around 20% of GDP, beyond which central government debt has a negative influence on growth. Further (and greater) thresholds may exist but their magnitude is highly uncertain. For general government debt (1960-2009), the threshold beyond which negative growth effects kick in is considerably higher at about 50%. Finally, individual country estimates reveal a large amount of cross-country heterogeneity. For some countries including the United States, a nonlinear negative link can be detected at about 30% of GDP. For others, the thresholds are surrounded by a great amount of uncertainty or no nonlinearities can be established. This instability may be a result of threshold effects changing over time within countries and depending on economic conditions, not captured in our estimations. Overall, our results can be seen as a formal econometric confirmation that the 90% public debt threshold is not in the data. But our results also seem to suggest that public debt might have a negative effect on economic performance kicking in at already fairly moderate public debt levels. Furthermore, the absence of threshold effects or low estimated thresholds may not preclude the emergence of further threshold effects, especially as public debt levels are rising to unprecedentedly high levels.
- Mot(s) clé(s)
- public debt; economic growth; nonlinearity; threshold effects
2013-22
Ex post or ex ante? On the optimal timing of merger control
Andreea Cosnita-Langlais, Jean-Philippe Tropeano
- Résumé
- We study the optimal timing of merger control by comparing the pre-and post closing enforcement. Mergers have both pro- and anticompetitive effects, and the parties' (the agency and the merging firms) veri able information on them is endogenous: it depends on the timing of the merger control, as well as on some investment in evidence production. The ex post enforcement turns out optimal whenever the costs of providing veri able information on both efficiency gains and market power are sufficiently low, regardless of whether the fi rms know ex ante or not their true merger type.
- Mot(s) clé(s)
- merger control, competition policy, evidence production
2013-21
Compensating for environmental damages
Pascal Gastineau, Emmanuelle Taugourdeau
- Résumé
- This paper examines a situation where a decision-maker determines the appropriate compensation that should be implemented for a given ecological damage. The compensation can be either or both in monetary and environmental units to meet three goals: i) minimization of the cost associated with the compensation, ii) no aggregate welfare loss, iii) minimal environmental compensation requirement. The findings suggest that -in some cases - providing both monetary and environmental compensation can be the cost-minimizing option. Minimal compensation constraints can increase total compensation costs but reduce individual gains and losses relative to the initial situation that arise from heterogeneous tradeoffs between income and environmental quality
- Mot(s) clé(s)
- Environmental Damage, Compensation, Welfare, Inequity
2013-20
La Corse est-elle soluble dans le modèle méditerranéen ? Une analyse à partir d’une régression quantile sur données d’entreprises en panel entre 2004 et 2010.
Aziza Garsaa, Nadine Levratto, Luc Tessier
- Résumé
- Ce texte propose une analyse comparée des trajectoires de croissance d’entreprises implantées d’une part en Corse, de l’autre dans les départements semblables du pourtour méditerranéen. A travers cette étude il s’agit de mettre en évidence la spécificité d’une économie insulaire au regard de territoires continentaux considérés comme ses plus proches voisins et de voir en quoi les spécificités territoriales influent sur la croissance des entreprises. A partir de régressions quantiles sur données d’entreprises en panel au cours de la période 2004-2010, nos résultats montrent la plus forte sensibilité de la croissance des entreprises corses aux dettes et l’importance du crédit interentreprises dans leur fonctionnement. En revanche, alors que les entreprises des économies insulaires sont réputées prioritairement orientées vers le marché local, nous concluons à une sensibilité de la croissance des entreprises corses aux facteurs locaux différente de celle qui prévaut sur le pourtour méditerranéen.
- Mot(s) clé(s)
- croissance des entreprises, économie insulaires, régression quantile, territoire
2013-19
Forecasting US growth during the Great Recession: Is the financial volatility the missing ingredient?
Laurent Ferrara, Clément Marsilli, Juan-Pablo Ortega
- Résumé
- The Great Recession endured by the main industrialized countries during the period 2008-2009, in the wake of the financial and banking crisis, has pointed out the major role of the financial sector on macroeconomic fluctuations. In this paper, we reconsider macrofinancial linkages by assessing the leading role of the daily volatility of two major financial variables, namely commodity and stock prices, in their ability to anticipate US GDP growth. For this purpose, an extended MIDAS model is proposedthat allows the forecasting of the quarterly growth rate using exogenous variables sampled at various higher frequencies. Empirical results show that using both daily financial volatilities and monthly industrial production is helpful at the time of predicting quarterly GDP growth over the Great Recession period.
- Mot(s) clé(s)
- GDP forecasting; financial volatility; MIDAS approach
2013-18
Dynamique des territoires et création d’entreprises : une analyse des départements français en 2008. Local dynamics and firms creation: an analysis of French departments in 2008.
Denis Carré, Nadine Levratto, Messaoud Zouikri
- Résumé
- Ce texte cherche à déterminer si et dans quelle mesure le territoire fait partie des facteurs explicatifs de la création d’entreprises. Cette possibilité est étayée par le fait que le territoire est tout d’abord support d’infrastructures, de ressources et d’organisations. Il est également le lieu de concentration d’éléments plus invisibles et d’un milieu entrepreneurial qui orientent aussi les dynamiques de création. La nouveauté de la démarche proposée réside dans la comparaison entre le pouvoir explicatif de ces différents éléments pris isolément et l’effet géographique calculé à partir de la méthode structurelle-résiduelle. La démarche est appliquée à l’étude du taux de création d’entreprises des départements français en 2008. Elle montre qu’à côté des facteurs habituels liés aux caractéristiques de la population et des structures, la dynamique intrinsèque du territoire est un facteur explicatif de la performance entrepreneuriale et que son influence varie selon l’activité des entreprises nouvellement créées.
- Mot(s) clé(s)
- création d’entreprises, départements, effet géographique, facteurs invisibles
2013-17
Cliométrie du modèle WS-PS en France
Michel-Pierre Chélini, Georges Prat
- Résumé
- Le modèle Wage Setting – Price Setting (WS-PS, Layard - Nickel - Jackman (1991)) fondé sur les négociations salariés-employeurs fournit un cadre général théorique simple et opérationnel pour comprendre les évolutions macroéconomiques historiques du chômage et des salaires en France sur longue période. Dans ce cadre, nous montrons, d’une part, que le degré de rigidité du marché du travail est un phénomène devant être daté - une représentation espace-état semblant adaptée à cette nécessité (méthode du filtre de Kalman) – et, d’autre part, qu’il est nécessaire d’établir une distinction entre le prix de référence des salariés et celui fixé par les employeurs. En outre, moyennant des hypothèses additionnelles concernant la représentation de facteurs conjoncturels et structurels supposés mais non spécifiés dans WS-PS - nous montrons qu’il est possible de caractériser et de chiffrer par date les trois composantes du chômage d’équilibre : le chômage chronique (résultant d’un excès du coût réel du travail par rapport à la productivité), le chômage conjoncturel (résultant d’un niveau d’activité inférieur à la production potentielle), et le chômage structurel (résultant de facteurs volontaires, frictionnels et technologiques). Il apparaît qu’aucune de ces trois composantes ne peut être négligée par rapport aux deux autres. Le taux de salaire est quant à lui déterminé par une moyenne pondérée des équations WS et PS traduisant respectivement les exigences salariales des salariés et des employeurs, le coefficient de pondération de ces deux équations mesurant les forces de négociation respectives des deux parties. En moyenne sur l’ensemble de la période, les résultats suggèrent que les forces de négociation sont équilibrées entre les salariés et les employeurs. Le salaire nominal apparaît ainsi dépendre du niveau général des prix et de celui la productivité, du taux de marge des entreprises, et enfin du taux de chômage observé, l’influence de ce dernier pouvant changer de signe au cours du temps suivant l’importance relative que les salariés et les employeurs attribuent au sous-emploi au cours des négociations.
- Mot(s) clé(s)
- taux de chômage, salaires, économie française
2013-16
The endless quest to strategic assets by Chinese firms through FDI:From Inward to Outward Flows
Françoise Hay, Christian Milelli
- Résumé
- The paper highlights the major role played by foreign direct investment/ FDI flows in two ways – inflows or outflows – for Chinese firms by securing strategic assets to enhance their competitive advantage. The underlying rationale of the acquisition of such assets through FDI is specific to China. Therefore, we scrutinize the characteristics and determinants of FDI in its two dimensions
- Mot(s) clé(s)
- FDI, strategic assets, Chinese firms
2013-15
To what extent do exemptions from social security contributions affect firm growth? New evidence using quantile estimations on panel data
Aziza Garsaa, Nadine Levratto, Luc Tessier
- Résumé
- Targeted reductions in employers' social security contributions are conceived as a key policy instrument used to facilitate job creation when labour cost is so high that it may deter companies from hiring new employees. Among the different measures implemented in France, the set of instruments implemented in the West Indian departements (or administrative regions) is the most accomplished form as the rates of exemption as well as the base and scope of these measures have reached their maximum there. This paper seeks to determine to what extent these instruments contribute to job creation looking at the growth rate in the number of employees through the use of a balanced panel of business entities with at least one employee, drawn from a matching between several administrative data sources from 2004 to 2011. We studied the differentiated effects of the payroll tax using a quantile regression for panel data estimation technique. We show that the impact of the exemption rate and of the intensity of use of the various measures on changes in the number of employees differ according to the establishment growth rate. They tend to be negative on the left side of the distribution and positive on the right side. However,these effects may signifficantly differ according to the size class and the industry in which the business operates. Large ones tend to be advantaged compared to the ones whose total number of employees is fewer than eleven, whereas the estimated correlation between growth and exemption rate is higher for most of the entities in the manufacturing industry but only for a small part of those in business services
- Mot(s) clé(s)
- firm growth, job creation, reduced social security contributions, labour cost, quantile estimations on panel data
2013-14
Immigration, unemployment and GDP in the host country: Bootstrap panel Granger causality analysis on OECD countries
Ekrame Boubtane, Dramane Coulibaly, Christophe Rault
- Résumé
- This paper examines the causality relationship between immigration, unemployment and economic growth of the host country. We employ the panel Granger causality testing approach of K´onya (2006) that is based on SUR systems and Wald tests with country specific bootstrap critical values. This approach allows to test for Granger causality on each individual panel member separately by taking into account the contemporaneous correlation across countries. Using annual data over the 1980-2005 period for 22 OECD countries, we find that, only in Portugal, unemployment negatively causes immigration, while in any country, immigration does not cause unemployment. On the other hand, our results show that, in four countries (France, Iceland, Norway and the United Kingdom), growth positively causes
immigration, whereas in any country, immigration does not cause growth. - Mot(s) clé(s)
- Immigration, growth, unemployment, causality
2013-13
Immigration et croissance économique en France entre 1994 et 2008
Ekrame Boubtane, Dramane Coulibaly, Hippolyte d'ALBIS
- Résumé
- Cet article propose une évaluation quantitative des interactions entre d’une part, le Produit Intérieur Brut (PIB) par habitant et le taux de chômage, et d’autre part, l’immigration permanente en France métropolitaine sur la période 1994-2008. L’immigration est mesurée par les titres de séjour de plus d’un an accordés aux étrangers en provenance des pays tiers et est décomposée par motifs d’admission. L’estimation de modèles vectoriels autorégressifs (VAR) donne les résultats suivants. Le taux d’immigration, et en particulier d’immigration familiale, a un effet positif et significatif sur le PIB par habitant, tandis que les effets de l’immigration sur le chômage ne sont pas significatifs. Par ailleurs, le PIB par habitant a un effet positif et significatif sur le taux d’immigration et le taux de chômage à un effet négatif et significatif sur le taux d’immigration de travail.
- Mot(s) clé(s)
- Immigration, Croissance, Modèles VAR
2013-12
Post-recession US employment through the lens of a non-linear Okun’s law
Menzie Chinn, Laurent Ferrara, Valérie Mignon
- Résumé
- This paper aims at investigating the relationship between employment and GDP in the United States. We disentangle trend and cyclical employment components by estimating a non-linear Okun’s law based on a smooth transition error-correction model that simultaneously accounts for long-term relationships between growth and employment and short-run instability over the business cycle. Our findings based on out-of-sample conditional forecasts show that, since the exit of the 2008-09 recession, US employment is on average around 1% below the level implied by the long run output-employment relationship, meaning that about 1.2 million of the trend employment loss cannot be attributed to the identified cyclical factors.
- Mot(s) clé(s)
- Okun’s law, trend employment, non‐linear modeling
2013-11
Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries
Anna Creti, Zied Ftiti, Khaled Guesmi
- Résumé
- The aim of this paper is to study the degree of interdependence between oil price and stock market index into two groups of countries: oil-importer countries and exporter ones. To this end, we propose a new empirical methodology allowing a time-varying dynamic correlation measure between the stock market index and the oil price series. We use the frequency approach proposed by Priestley and Tong (1973), and developed by Ftiti (2010) that is the evolutionary co-spectral analysis. This method allows us to distinguish between short-run and long-run dependence. We find that interdependence between the oil price and the stock market is higher in exporters’ markets than the importers’ ones.
- Mot(s) clé(s)
- oil prices, stock markets, evolutionary co-spectral analysis
2013-10
Dutch Disease in the Post-Soviet Countries of Central and South-West Asia: How Contagious is it?
Balázs Egert
- Résumé
- This study seeks to determine the extent to which the former communist states of Central and South-West Asia are “infected” by the Dutch Disease. We take a detailed look at the functioning of the transmission mechanism of the Dutch Disease, i.e. the chains that run from commodity prices to real output in manufacturing. We complement this with two econometric exercises. First, we estimate nominal and real exchange rate models to see whether commodity prices are correlated with the exchange rate. Second, we run growth equations to analyse the possible effects of commodity prices and the dependency of economic growth on natural resources.
- Mot(s) clé(s)
- Oil price Dutch Disease; Real exchange rate Natural resource; Economic growth
2013-9
Interest Rate Pass-Through and Monetary Policy Asymmetry: A Journey into the Caucasian Black Box
Balázs Egert, Rustam Jamilov
- Résumé
- This paper analyses the interest rate pass-through for five economies of the Caucasus – Armenia, Azerbaijan, Georgia, Kazakhstan, and Russia. Employing an autoregressive distributed lag (ARDL) specification to monthly data, we find that the interest rate pass-through is systematically incomplete and sluggish, probably due to macroeconomic instability and low banking sector competition. It is not clear whether pass-through has improved over time and asymmetric adjustment is found to characterize the pass-through only occasionally. Overall, our results show a considerable degree of cross-country heterogeneity in the size and speed of the pass-through.
- Mot(s) clé(s)
- Interest Rate Pass-Through; Asymmetric Adjustment; Caucasus
2013-8
GETTING RID OF RENT?
Christian Bidard
- Résumé
- In order to extend the theory of value and the trade-off property to economic systems with lands, Ricardo reduced their study to that of productive systems without lands by considering the marginal agricultural methods. Sraffa generalised the analysis to prices of production and rejected the notion of order of cultivation. The strategy works sometimes for extensive cultivation, fails in most cases of intensive cultivation, and always when the net product of agriculture is increased by making use of corn saving methods in industry.
- Mot(s) clé(s)
- Land, rent, Ricardo, Sraffa, trade-off
2013-7
Food Prices and Inflation Targeting in Emerging Economies
Benjamin Carton, Dramane Coulibaly, Marc Pourroy
- Résumé
- The two episodes of food price surges in 2007 and 2011 have been particularly challenging for developing and emerging economies’ central banks and have raised the question of how monetary authorities should react to such external relative price shocks. We develop a new-Keynesian small open-economy model and show that non-food inflation is a good proxy for core inflation in high-income countries, but not for middle-income and low-income countries. Although, in these countries we find that associating non-food inflation and core inflation may be promoting badly designed policies, and consequently central banks should target headline inflation rather than non-food inflation. This result holds because non-tradable food represents a significant share in total consumption. Indeed, the poorer the country, the higher the share of purely domestic food in consumption and the more detrimental lack of attention to the evolution in food prices.
- Mot(s) clé(s)
- Monetary Policy, Commodities, Food prices, DSGE models
2013-6
Contagion effect due to Lehman Brothers’ bankruptcy and the global financial crisis - From the perspective of the Credit Default Swaps’ G14 dealers.
Irfan Akbar Kazi, Suzanne Salloy
- Résumé
- Ce papier s’intéresse aux corrélations conditionnelles dynamiques entre les credit default swap des 14 banques les plus actives sur le marché des CDS entre janvier 2004 et mai 2009. En recourant au modèle de corrélation conditionnelle asymétrique dynamique de Cappiello, Engle et Sheppard (2006), nous regardons s’il y a un effet de contagion durant la crise financière globale débutant avec la faillite de Lehman Brothers le 15 septembre 2008. La contribution principale de cet article est d’analyser si la structure d’interdépendance entre les banques G14 a changé significativement durant la période de crise financière. Nous identifions les banques les plus et les moins affectées par les pertes dues à la crise, ce qui nous conduit élaborer quelques hypothèses en termes de leur vulnérabilité face aux chocs financiers. Nos résultats montrent que toutes les banques sont devenues interdépendantes suite à la faillite de Lehman Brothers (impact à court terme), mais seulement quelques banques ont été contaminées durant la crise financière (impact à long terme). Les régulateurs qui essaient de renforcer la stabilité du système financier la réforme Bâle 3 devraient être intéressés par ces résultats.
- Mot(s) clé(s)
- Crise financière, Contagion, Credit Default Swap, Lehman Brothers, Corrélation Conditionnelle Asymétrique Dynamique
2013-5
Asymmetries in Rent-Seeking
Giuseppe Dari-Mattiacci, Eric Langlais, Bruno Lovat, Francesco Parisi
- Résumé
- In rent-seeking contests, players are seldom identical to one another. In this chapter, we examine the rent-seeking literature that explores the effects of specific forms of asymmetry between contestants. We consider Tullock’s rentseeking contests involving two players who differ in strength (marginal returns to effort), motivation (valuations of the sought-after rent) and cunning (bargaining power). We study the combined interaction of these three possible forms of asymmetry in rent-seeking. We examine how these asymmetries affect the rent-seeking contest and investigate the effect of ex post trading opportunities on the players’ efforts, on probabilities of winning and on the social costs of rent-seeking.
- Mot(s) clé(s)
- rent-seeking games, returns to effort, asymmetric rents, asymmetric strength, tradable rents
2013-4
Pension funds’allocations to hedge funds: an empirical analysis of US and Canadian defined benefit plans
Vincent Bouvatier, Sandra Rigot
- Résumé
- This paper investigates the characteristics of US and Canadian pension funds that allocate assets to hedge funds. The typical pension fund that invests in hedge funds is a large sophisticated pension fund that diversi es its portfolio across numerous classes of investments, private equity in particular, uses a core-satellite organization and has access to low delegation costs for alternative assets. Moreover, we find that pension funds investing in hedge funds signi ficantly obtained higher global returns.
- Mot(s) clé(s)
- pension funds, hedge funds, asset allocation, diversi cation
2013-3
The Impact of Market Regulations on Intra-European Real Exchange Rates
Agnès Bénassy-Quéré, Dramane Coulibaly
- Résumé
- We study the contribution of market regulations in the dynamics of the real exchange rate within the European Union. Based on a model proposed by De Gregorio et al. (1994a), we show that both product market regulations in nontradable sectors and employment protection tend to inflate the real exchange rate. We then carry out an econometric estimation for European countries over 1985-2006 to quantify the contributions of the pure Balassa-Samuelson effect and those of market regulations in real exchange-rate variations. Based on this evidence and on a counter-factual experiment, we conclude that the relative evolution of product market regulations and employment protection across countries play a very significant role in real exchange- rate variations within the European Union and especially within the Euro area, through theirs impacts on the relative price of nontradable goods.
- Mot(s) clé(s)
- Real exchange rate, Balassa-Samuelson effect, Product market regulations, Employment
2013-2
A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis
Henri Audigé
- Résumé
- The objective of this paper is to gauge how and to which extent the surge in Greek sovereign bond rates in 2010 and 2011 has spilled over the rest of the Euro-area. To this end, we rely on a new class of contagion tests based on Smooth Transition Conditional Correlation GARCH models (STCC-GARCH). Our results highlight the existence of contagion and “wake-up call” effects from Greece to Ireland and Portugal in 2010, and a decoupling in the correlations between Greece and other peripheral countries in 2011. Regarding the core countries, our findings suggest flight-to-quality effects from Greece to Germany and the Netherlands.
- Mot(s) clé(s)
- Bond market, contagion, European crisis, multivariate GARCH models
2013-1
Nonlinearity of the inflation-output trade-off and time-varying price rigidity
Antonia Lopez Villavicencio, Valérie Mignon
- Résumé
- Relying on the backward-looking Phillips curve, we estimate the level of inflation that erodes price rigidity and investigate its time constancy. To this end, we employ smooth transition regression models with rolling regressions to account for varying threshold inflation levels. Studying six advanced countries over the 1970-2012 period, our results show that both the slope of the Phillips curve and the threshold trend inflation that erodes price rigidity are time varying. These characteristics could not be captured by a static linear or nonlinear model, illustrating the rich flexibility embedded in our proposed model.
- Mot(s) clé(s)
- Phillips curve, inflation, price rigidity, nonlinearity, menu costs
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