DOCUMENTS DE TRAVAIL 2009

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2009-47

A Century of Bond Ratings as a Business

Ludovic Moreau

VOIR TÉLÉCHARGER
Résumé
Historical accounting datasets about a leader of the bond rating industry have been gathered in order to provide an unprecedented long term view on this business. To better judge of the dynamics at play, similar data for representatives of older and broader business fields is also introduced. Overall, this empirical discussion plays down the importance of regulatory « licenses » given to bond rating firms and puts forward the coming of a « modern » business model where issuers pay for ratings.
Mot(s) clé(s)
Industry study, bond ratings, financial regulation
2009-46

Evaluation of Hedge Fund Returns Value at Risk Using GARCH Models

Sabrina Khanniche

VOIR TÉLÉCHARGER
Résumé
The aim of this research paper is to evaluate hedge fund returns Value-at-Risk by using GARCH models. To perform the empirical analysis, one uses the HFRX daily performance hedge fund strategy subindexes and spans the period March 2003 – March 2008. I found that skewness and kurtosis are substantial in the hedge fund returns distribution and the clustering phenomenon is pointed out. These features suggest the use of GARCH models to model the volatility of hedge fund return indexes. Hedge fund return conditional variances are estimated by using linear models (GARCH) and non-linear asymmetric models (EGARCH and TGARCH). Performance of several Value at Risk models is compared; the Gaussian VaR, the student VaR, the cornish fisher VaR, the normal GARCH-type VaR, the student GARCH-type VaR and the cornish fisher GARCH-type VaR. Our results demonstrate that the normal VaR underestimates accurate hedge fund risks while the student and the cornish fisher GARCH-type VaR are more reliable to estimate the potential maximum loss of hedge funds.
Mot(s) clé(s)
Hedge Fund, Value at Risk, GARCH models.
2009-45

Évaluation de la prime de risque de change dans un contexte régional : une analyse multi-variée du MEDAFI

Khaled Guesmi

VOIR TÉLÉCHARGER
Résumé
In this paper, we use the segmented conditional ICAPM (International Capital Asset Pricing Model) to study the emerging stock markets integration. To address this issue, we apply the asymmetric multivariate version of GARCH-BEKK with structural break of the variance. It allows to specify the dynamics of conditional second moments and determinates the contribution of each risk factor in establishing the total premium. The model is estimated for the period March 1996-June 2008, simultaneously for five markets: the world market and four emerging markets. Our results support the partial segmentation of the market studied. In fact, local risk factors contribute significantly in explaining stock market returns.
Mot(s) clé(s)
International asset pricing, equity risk premium, financial integration, Emerging Markets, Asymmetric Multivariate GARCH.
2009-44

Une méta-analyse de l’impact des subventions sur le prix mondial du coton

David Guerreiro

VOIR TÉLÉCHARGER
Résumé
Malgré le nombre relativement important d'études sur les impacts des subventions sur le prix mondial du coton, il n’existe pas de consensus concernant la quantification de ces effets. L'objectif de cet article est, par le biais de la méta-analyse, d'expliquer la source de l'hétérogénéité de ces résultats, de donner des indications quant aux variables à inclure afin de modéliser la dynamique du prix mondial, mais aussi de présenter le chiffrage des effets des subventions qu'apporte notre méta-analyse. Nous montrons que les principales sources de variations entre les études se trouvent dans les valeurs retenues pour les élasticités de l’offre et la demande, dans le montant retenu pour les subventions, ainsi que dans la prise en compte (ou non) de certains caractères indispensables. Une modélisation appropriée requiert ainsi une estimation précise des élasticités et la prise en compte de certains facteurs constitutifs du prix mondial du coton tels que les niveaux de stocks ou le prix du polyester.
Mot(s) clé(s)
Meta-regression analysis (MRA), cotton, subsidies, agriculture.
2009-43

Slow oil shocks and the “weakening of the oil price macroeconomy relationship”

Théo Naccache

VOIR TÉLÉCHARGER
Résumé
Many papers have been documenting and analysing the asymmetry and the weakening of the oil price – macroeconomy relationship as off the early eighties. While there seems to be a consensus about the factors causing the asymmetry, namely adjustment costs which offset the benefits of low energy prices, the debate about the weakening of the relationship is not over yet. Moreover, the alternative oil price specifications which have been proposed by Mork (1989), Lee et al. (1995), and Hamilton (1996) to restore the stability of the relationship fail to Granger cause output or unemployment in post-1980 data. By using the concept of accelerations of the oil price, we show that the weakening of this relationship corresponds to the appearance of slow oil price increases, which have less impact on the economy. When filtering out these slow oil price variations from the sample, we manage to rehabilitate the causality running from the oil price to the macroeconomy and show that far from weakening, the oil price accelerations – GDP relationship has even been growing stronger since the early eighties.
Mot(s) clé(s)
Oil prices, Gross Domestic Product, recursive causality tests.
2009-42

Agent-based Computational Economics: a Methodological Appraisal

Paola Tubaro

VOIR TÉLÉCHARGER
Résumé
This paper is an overview of "Agent-based Computational Economics (ACE)", an emerging approach to the study of decentralized market economies, in methodological perspective. It summarizes similarities and differences with respect to conventional economic models, outlines the unique methodological characteristics of this approach, and discusses its implications for economic methodology as a whole. While ACE rejoins the reflection on the unintended social consequences of purposeful individual action which is constitutive of economics as a discipline, the paper shows that it complements state-of the-art research in experimental and behavioral economics. In particular, the methods and techniques of ACE have reinforced the laboratory finding that fundamental economic results rely less on rational choice theory than is usually assumed, and have provided insight into the importance of market structures and rules in addition to individual choice. In addition, ACE has enlarged the range of inter-individual interactions that are of interest for economists. In this perspective, ACE provides the economist‘s toolbox with valuable supplements to existing economic techniques rather than proposing a radical alternative. Despite some open methodological questions, it has potential for better integration into economics in the future.
Mot(s) clé(s)
Agent-based Computational Economics, Economic Methodology, Experimental Economics.
2009-41

Regulatory versus Informational Value of Bond Ratings: Hints from History ...

Ludovic Moreau

VOIR TÉLÉCHARGER
Résumé
A multivariate analysis can be used in order to investigate the relationship between bond yields, ratings and standard control variables. Replicating such a test on a number of cross-sections may evidence a possible impact of financial regulations relying on ratings. Datasets for American corporate bond issues allow a focus on two key events of the development of rating driven regulations: the valuation of bank and life insurance portfolios introduced in the 1930’s and the net capital requirements for broker dealers introduced in the 1970’s. The “value” of bond ratings does show some improvement once these regulations have been passed.
Mot(s) clé(s)
Bond ratings, bond yields, financial regulation.
2009-40

Who will go down this year ? The Determinants of Promotion and Relegation in European Soccer Leagues

Jean-Baptiste Dherbecourt, Bastien Drut

VOIR TÉLÉCHARGER
Résumé
Contributing to the lively debate on closed leagues (North American model) versus open leagues (European model) in professional sport league, this paper aims at determining the drivers of promotion and relegation in the major European soccer leagues. Using a large and original dataset (for example: club’s link with a billionaire, club listed in the stock market, etc.) and logistic regressions, our results show that institutional factors matter to settle in the elite. It also indicates that open leagues system in European soccer championships is de facto very similar to closed leagues system. Furthermore, our forecasting model can be of interest for soccer investors or bookmakers.
Mot(s) clé(s)
Economics of Sport, Organization of Sports Leagues, Soccer, Promotion and Relegation, Economic Forecasting, Regional Economy, Billionaires, Stock Market.
2009-39

The Balassa-Samuelson model in general equilibrium with markup variations

Romain Restout

VOIR TÉLÉCHARGER
Résumé
This contribution embeds the Balassa-Samuelson hypothesis in a general equilibrium model that combines monopolistic competition and markup variations to examine the determinants of relative prices of nontradables. The model emphasizes the role of markup variations as an important aspect driving relative price movements. Variations in the markup makes fiscal policy non-neutral and provides a strong magnification mechanism for shocks to productivity. The empirical evidence of these predictions are examined by using a panel cointegration framework. On the whole, the econometric findings support theoretical implications, suggesting that our model is more closely in line with data relative to the supply-side Balassa-Samuelson framework that abstracts from variations in the degree of competition.
Mot(s) clé(s)
Balassa-Samuelson effect, Monopolistic competition, Fiscal policy
2009-38

The effect of Sovereign Wealth Funds’ investments on stock markets

Hélène Raymond

VOIR TÉLÉCHARGER
Résumé
This study assesses the reaction of stock markets, when Sovereign Wealth Funds (SWFs) announce that they have taken a stake in a listed company. It adds useful empirical results to the debate on the effect of SWFs on financial markets, which remains so far largely reliant on guess work. We perform an event study using a sample of 50 SWF acquisitions of equity stakes in listed companies around the world, from May 2005 to April 2008. According to our results, the announcement of an acquisition by a SWF has a transitory positive impact on the share price of the target company, but there is no lasting effect. This stands in contrast to the results obtained in the academic literature for the investments of private equity funds, and to a lesser extent pension funds. The tests conducted on a sub-sample of announcements targeting banks only made during the subprime crisis (between July 2007 and April 2008) do not exhibit more lasting effects. This may suggest that markets are not convinced that SWFs alone are capable of restoring the position of the banks concerned. These results are however subject to some caveats, and notably, the relatively small size of the sample as well as a selection bias in favour of transparent SWFs, due to the lack of information on other funds
Mot(s) clé(s)
Sovereign Wealth Funds, Event Study
2009-37

The Dynamic Properties of Alternative Assumptions on Price Adjustment in New Keynesian Models

Safouane Ben Aïssa, Olivier Musy

VOIR TÉLÉCHARGER
Résumé
This paper presents a classification of the different new Phillips curves existing in the literature as a set of choices based on three assumptions: the choice of the structure of price adjustments (Calvo or Taylor), the presence of backward indexation, and the type of price contracts (fixed prices or predetermined prices). The paper suggests study of the dynamic properties of each specification, following different monetary shocks on the growth rate of the money stock. We develop the analytical form of the price dynamics, and we display graphics for the responses of prices, output, and inflation. We show that the choice made for each of the three assumptions has a strong influence on the dynamic properties. Notably, the choice of the price structure, while often considered as unimportant, is indeed the most influential choice concerning the dynamic responses of output and inflation.
Mot(s) clé(s)
New Keynesian Phillips Curves, Taylor Price Rule, Calvo Price Rule, Fixed Prices, Predetermined Prices, Disinflation policy
2009-36

Disinflationary boom in a price-wage spiral model

Olivier Musy, Jean-Christophe Pereau

VOIR TÉLÉCHARGER
Résumé
This paper analyses the impact of the disinflation policy timing on the sign and the magnitude of the sacrifice ratio in a modified price and wage staggered model of Blanchard (1986). When wages are updated every four quarters and prices every two quarters, we show that a “cold-turkey” disinflation is associated to an output boom when the policy is implemented during the last period of life of the wage contract and a recession the other quarters.
Mot(s) clé(s)
Disinflation policy, Shock timing, Sacrifice ratio, Price and wage staggered contracts
2009-35

Libéralisme Économique et Croissance: Le Cas de Six Pays Méditerranéens

Rami Abdelkafi, Ali Chkir, Hatem Derbel

VOIR TÉLÉCHARGER
Résumé
Ce papier est consacré à l’étude de l’impact de la liberté économique sur la croissance économique. Nous utilisons la méthodologie des données de panel pour le cas de six pays méditerranéens en développement. Les résultats montrent que la liberté économique dans le processus de développement n’est pas forcément efficace dans ces pays en développement. Par conséquent ces pays ont besoin de politiques économiques devant précéder le processus de libéralisation de l’économie.
Mot(s) clé(s)
État, Pays en développement, Liberté économique et Croissance
2009-34

Are Banking Systems Increasingly Fragile ? Investigating Financial Institutions’ CDS Returns Extreme Co-Movements

Dima Rahman

VOIR TÉLÉCHARGER
Résumé
This paper investigates potential contagion among the major financial institutions in developed economies. Using Credit Default Swaps (CDS) premia as a measure of credit or counterparty risk, our analysis focuses on the extreme co-movements of Financial Institutions' default contracts during the high level of stress undergone by the CDS markets in the aftermath of the 2007 sub-prime crisis. Our approach is twofold: first, under different tail dependence scenarios, we calibrate several multivariate linear propagation models of constant correlation. Our Monte Carlo simulation study finds evidence of contagion for Financial Institutions- notably in the US-and captures a non-normal dependence structure in the tails for the traded contracts. Second, we estimate a multivariate Dynamic Conditional Correlation-GARCH (DCC-GARCH) model, and demonstrate significant ARCH and GARCH effects, as well as time-varying correlations in CDS spreads variations. Our overall analysis rejects the assumption of constant correlation. More importantly, it advocates changing structures in tail dependence for CDS series during times of financial turmoil as an important feature of banks’ increased fragility.
Mot(s) clé(s)
Bank fragility, Counterparty risk, Financial crises, Extreme co-movements, Conditional correlation, Multivariate GARCH, Monte Carlo simulation
2009-33

Options introduction and volatility in the EU ETS

Julien Chevallier, Yannick Le Pen, Benoît Sévi

VOIR TÉLÉCHARGER
Résumé
To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006 after regulatory authorization. The central question we address is: can we identify a potential destabilizing effect of the introduction of options on the underlying market (EU ETS futures)? Indeed, the literature on commodities futures suggest that the introduction of derivatives may either decrease (due to more market depth) or increase (due to more speculation) volatility. As the identification of these effects ultimately remains an empirical question, we use daily data from April 2005 to April 2008 to document volatility behavior in the EU ETS. By instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the introduction of the option market had no effect on the volatility in the EU ETS. These finding are robust to other likely influences linked to energy and commodity markets.
Mot(s) clé(s)
EU ETS, Option prices, Volatility, GARCH, Rolling Estimation, Endogenous Structural Break Detection
2009-32

Essai sur les déterminants empiriques de développement des marchés obligataires

Jamel Boukhatem

VOIR TÉLÉCHARGER
Résumé
Dans cet article, nous tenterons, validations économétriques à l’appui, de démontrer que le développement des marchés obligataires est un phénomène pluridimensionnel, et ce, en s’inspirant de la méthodologie adoptée respectivement par Eichengreen et Luengnaruemitchai (2004), Luengnaruemitchai et Ong (2005), Borensztein et al. (2006) et Eichengreen et al. (2006) qui s’interrogent sur les causes du sous développement des marchés obligataires dans les pays d’Asie émergente et d’Amérique Latine. L’apport de notre travail est triple. D’abord, nous ne nous limiterons pas aux pays émergents d’Asie et d’Amérique Latine, nous considérons des pays de l’Afrique et du Moyen-Orient selon la disponibilité des données. Ensuite, nous introduirons d’autres facteurs permettant de mieux saisir la dynamique de développement des marchés obligataires. Enfin, nous présenterons une version dynamique des déterminants de développement des marchés obligataires.
Mot(s) clé(s)
Bond markets, economic factors, institutional factors, economic policy, dynamic panel data, GMM system
2009-31

Hedging residual value risk using derivatives

Sylvain Prado

VOIR TÉLÉCHARGER
Résumé
In the leasing industry the lessor faces a risk, at the end of the contract, in not recovering su¢ cient capital value from resale of the asset. We propose a model to hedge residual value risk using the Gaussian copula methodology. After discussing residual value risk and credit risk modelization, a new derivative product is introduced and analyzed; the Collateralized Residual Values (CRV). The model is applied to an European auto lease portfolio of operating lease contracts pertaining to a major company. Our results indicate that the financial product is easy to customize, and to implement through the contract characteristics and the level of correlation.
Mot(s) clé(s)
Residual value risk, credit risk, credit derivatives, factor modeling, copula
2009-30

The impact of stock spams on volatility

Taoufik Bouraoui

VOIR TÉLÉCHARGER
Résumé
This paper is dedicated to study the impact of stock spams through the analysis of the variations of volatility. We use the methodology of event studies on a sample of hundred ten firms. The results show positive and significant changes in volatility during 12 days of the event window; a widening of the variation [lowest price - highest price] was noticed following the consignment of messages by the spammers. The sending of stock spams affected the behaviour of investors, indicating thus that the spamming activity is a lucrative business.
Mot(s) clé(s)
Stock spam, event studies, volatility, penny stock
2009-29

A systemic approach to financial regulation: a European perspective

Michel Aglietta, Laurence Scialom

VOIR TÉLÉCHARGER
Résumé
The global financial crisis has pinpointed the relevance and the virulence of systemic risk in modern innovative finance. It is grounded in the propensity of credit markets to drift to extremes in close correlation with asset price spikes and slumps. In turn, such a propensity is nurtured by the heuristic behaviour of market participants under severe uncertainty. While plagued by disaster myopia, market participants spread systemic risk. Such adverse conditions have been magnified by financial innovations that have made finance predatory and capable of capturing regulators to annihilate prudential policies. Malfunctioning in finance is so deep and disorders are so widespread that sweeping reforms are the order of the day, if financial stability is viewed as a primary public concern. In this paper we argue that macro prudential policy should be the linchpin of relevant reforms. Being a top-down approach, it impinges both upon monetary policy and micro prudential policy. Central banks should pursue a dual objective of price and financial stability. Bank supervisors should broaden their oversight on a much larger perimeter, encompassing all systematically important institutions. Counter cyclical capital provisions should be required and linked to the control of aggregate credit supply. Leveraged institutions without deposit base should be subject to incentives for a much stricter liquidity management. To stem regulatory capture, prompt corrective action should be enlarged in its scope and adapted to mark-to-market financial intermediaries. Implementing macro prudential policy entails institutional changes. Central banks, bank supervisors and other financial regulators need to work much closer than beforehand, because the spread of systemic risk is not deterred by institutional and geographical frontiers. The changes to make are particularly stringent in Europe, where national parochialism makes the resolution of orderly cross-border bank crisis all but impossible.
Mot(s) clé(s)
2009-28

Modelling oil price expectations: evidence from survey data

Georges Prat, Remzi Uctum

VOIR TÉLÉCHARGER
Résumé
Using Consensus Forecast survey data on WTI oil price expectations for three and twelve month horizons over the period November 1989 – December 2008, we find that the rational expectation hypothesis is rejected and that none of the traditional extrapolative, regressive and adaptive processes fits the data. We suggest a mixed expectation model defined as a linear combination of these traditional processes, which we interpret as the aggregation of individual mixing behavior and of heterogenous groups of agents using simple processes. This approach is consistent with the economically rational expectations theory. We show that the target price included in the regressive component of this model depends on macroeconomic fundamentals whose effects are subject to structural changes. The estimation results led to validate the mixed expectational model for the two horizons.
Mot(s) clé(s)
Expectations formation, oil price
2009-27

Une adresse à Mayfair ou Vendôme: la rationalité spatiale des Hedge Funds

Yamina Tadjeddine

VOIR TÉLÉCHARGER
Résumé
With financial globalization, there has been a thorough reorganization of financial activities. A new geography of finance has emerged with, first of all, activities being transferred from the historical heart of big cities to the peripheral areas. Alternative asset management that has emerged in Europe in the past ten years is undoubtedly the paradox example of this suburbanization movement. We notice a high level of spatial concentration in the historical heart of Paris and London. Hedge Funds, particularly independent organizations choose Upper Class area. To provide an understanding of the future dynamics of the location of financial activities we need to redefine the notion of financial market. To provide an understanding of this location of alternative activities we need to redefine the socio-economic characteristics of hedge funds. The specific nature of this activity – highly skilled employees, high value-added knowledge services, lack of public information – justify concentration in order to take advantage of informational externalities and of the presence of specialized companies. An address in Mayfair or at Place Vendôme counts in the world of hedge funds.
Mot(s) clé(s)
Financial Institution, Financial Geography, Informational Externalities
2009-26

The Location of Financial Activities: the Impact of New Technologies and the Financial Crisis

Gunther Capelle-Blancard, Yamina Tadjeddine

VOIR TÉLÉCHARGER
Résumé
The location of financial activities is traditionally characterized by a great deal of inertia. However, the boom in new information and communication technologies, the globalization of economies and the 2007-08 financial crisis have considerably modified the geography of finance. Financial globalization has, first of all, had a heavy impact on the level of spatial concentration / dispersion of activities. The dynamics have not acted in a uniform way – schematically speaking three levels can be distinguished. On the urban scale, financial activities have been spread out (suburbanization), while on the regional scale or the national scale, due to financial globalization, financial activities have been more tightly grouped. Lastly, on the international scale, a movement of dispersion has mainly been observed, along with a specialization of financial centers. The 2007-08 financial crisis might well accentuate this last effect and cause an upheaval in world hierarchy. Actually, the financial centers that are most elastic to the economic situation – London, New York and tax havens – are massively losing jobs, while the stock markets in Shanghai, Hong Kong and Bombay are now upstaging them as major players.
Mot(s) clé(s)
Financial Geography, International Financial Centers, Globalization, Informational Externalities
2009-25

The dynamics of U.S. equity risk premia: lessons from professionals'view

Alain Abou, Georges Prat

VOIR TÉLÉCHARGER
Résumé
Semi-annual surveys carried out by J. Livingston on a panel of experts have enabled us to compute the expected returns over the time span 1-semester and 2-semesters ahead on a portfolio made up of US industrial stocks. We calculated about 3000 individual ex-ante equity risk premia over the period 1952 to 1993 (82 semesters) defined as the difference between these expected stock returns and the risk-free forward rate given by zero coupon bonds. Unlike any other study, our contribution is to analyse premia deduced from surveys data, at the micro level, per date and over a long period. Three main conclusions may be drawn from our analysis of these ex-ante premia. First, the mean values of these premia are closer to the predictions derived from the consumption-based asset pricing theory than the ones obtained for the ex-post premia. Second, the experts' professional affiliation appears to be a significant criterion in discriminating premia. Third, in accordance with the Arbitrage Pricing Theory, individual ex-ante premia depend both on macroeconomic and idiosyncratic common factors: the former are represented by a set of macroeconomic variables observable by all agents, and the latter by experts’ personal forecasts about the future state of the economy, as defined by expected inflation and industrial production growth rate.
Mot(s) clé(s)
Stock price expectations, equity risk premium, survey micro data
2009-24

On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting

Julien Chevallier, Benoît Sévi

VOIR TÉLÉCHARGER
Résumé
The recent implementation of the EU Emissions Trading Scheme (EU ETS) in January 2005 created new financial risks for emitting firms. To deal with these risks, options are traded since October 2006. Because the EU ETS is a new market, the relevant underlying model for option pricing is still a controversial issue. This article improves our understanding of this issue by characterizing the conditional and unconditional distributions of the realized volatility for the 2008 futures contract in the European Climate Exchange (ECX), which is valid during Phase II (2008-2012) of the EU ETS. The realized volatility measures from naive, kernel-based and subsampling estimators are used to obtain inferences about the distributional and dynamic properties of the ECX emissions futures volatility. The distribution of the daily realized volatility in logarithmic form is shown to be close to normal. The mixture-of-distributions hypothesis is strongly rejected, as the returns standardized using daily measures of volatility clearly departs from normality. A simplified HAR-RV model (Corsi, 2009) with only a weekly component, which reproduces long memory properties of the series, is then used to model the volatility dynamics. Finally, the predictive accuracy of the HAR-RV model is tested against GARCH specifications using one-step-ahead forecasts, which confirms the HAR-RV superior ability. Our conclusions indicate that (i) the standard Brownian motion is not an adequate tool for option pricing in the EU ETS, and (ii) a jump component should be included in the stochastic process to price options, thus providing more efficient tools for risk-management activities.
Mot(s) clé(s)
CO2 Price, Realized Volatility, HAR-RV, GARCH, Futures Trading, Emissions Markets, EU ETS, Intraday data, Forecasting
2009-23

Fisher, Macaulay et Allais face au "Paradoxe de Gibson"

Jean-Jacques Durand, Georges Prat

VOIR TÉLÉCHARGER
Résumé
D’après la théorie quantitative de la monnaie, une expansion de la masse monétaire devrait avoir pour effets à la fois une baisse des taux d’intérêt et une augmentation du prix des biens et services. La corrélation négative attendue entre ces deux dernières variables étant contredite par la corrélation positive observée initialement par Gibson - et confirmée par les travaux ultérieurs - Keynes évoque le « paradoxe de Gibson ». I. Fisher a proposé une explication de ce « paradoxe » dans la lenteur observée des ajustements du niveau du taux d’intérêt aux taux de variations passés du niveau général des prix. Cependant, F.R.Macaulay a montré que, les retards trouvés par Fisher remontant loin dans le passé, il existe une relation nécessaire entre le niveau des prix et la moyenne pondérée des taux d’inflation passés trouvée par Fisher. Dès lors, on peut se demander si la corrélation positive entre le niveau des prix et le taux d’intérêt est le résultat fortuit d’un comportement fishérien des agents, ou au contraire, si les résultats de Fisher ne sont qu’une conséquence triviale de la corrélation constatée entre le niveau des prix et le taux d’intérêt. Toutefois, la critique de Macaulay perd sa pertinence lorsque les retards sont courts, comme pendant les hyperinflations ou encore la période d’après après la seconde Guerre. Par rapport à ce débat, le mérite de la théorie Héréditaire et Relativiste (HR) d’Allais est de tenter une réconciliation, avec l’hypothèse du « taux d’intérêt psychologique ». Dépendant des variations passées des prix et de la production, ce taux s’égalise au « taux d’oubli » et représente la tendance générale des taux d’intérêt du marché. Lorsque la mémoire est longue (i.e. taux d’oubli faible), le « taux d’intérêt psychologique i » est nécessairement lié au niveau des prix, et rend donc compte de la corrélation positive - pouvant être plus ou moins stable en raison de l’influence de la production - entre le taux d’intérêt et le niveau des prix. Cependant, lorsque la mémoire est courte (i.e. taux d’oubli élevé), la théorie HR implique à la fois la disparition de la corrélation entre le taux d’intérêt et le niveau des prix et l’émergence d’une corrélation positive entre le taux d’intérêt et le taux de variation courant des prix.
Mot(s) clé(s)
Interest rates, price level, inflation
2009-22

The European used-car market at a glance: Hedonic resale price valuation in automotive leasing industry

Sylvain Prado

VOIR TÉLÉCHARGER
Résumé
In the leasing industry, the risk of loss on sales at the end of the contract term, as well as pricing are critically impacted by the forecasted resale price of the asset (residual value). We apply the Hedonic methodology to European auto lease portfolios, in order to estimate the resale price distribution. The Hedonic approach estimates the price of a good through the valuation of its attributes. Following a discussion on Hedonic prices, we propose an operational model for the automobile resale market. The model is applied to four European countries (France, Germany, Spain and Great Britain), and distributions are calculated on two vehicle versions (Audi A4 & Ford Focus) allowing a comparison of market depreciation patterns and residual value risks.
Mot(s) clé(s)
Hedonic model, residual value, automotive market
2009-21

Nonlinear Stock Price Adjustment in the G7 Countries

Fredj Jawadi, Georges Prat

VOIR TÉLÉCHARGER
Résumé
This paper seeks to address the stock price adjustment toward fundamentals. Using the class of Switching Transition Error Correction Models (STECMs), we show that two regimes describe the dynamics of stock price deviations from fundamentals in the G7 countries over the period 1969-2005. Deviations appear to follow a quasi random walk in the central regime when prices are near fundamentals (i.e. transaction costs being greater than expected gains, the mean reversion mechanism is inactive), while they approach a white noise in the outer regimes (i.e. transaction costs being lower than expected gains, the mean reversion works). As expected when transaction costs are heterogeneous, the STECM shows that stock price adjustments are smooth, implying that the convergence speed is time-varying according to the size of the deviation. Finally, using appropriate indicators, both the magnitudes of under- and overvaluation of stock price and the speed of the mean reversion are exhibited per date in the G7 countries, showing that the dynamics of stock price adjustment is highly dependent on the date and on the country under consideration.
Mot(s) clé(s)
Price, heterogeneous transaction costs, STECMs
2009-20

Être entrepreneur de soi-même après la loi du 4 août 2008: les impasses d'un modèle productif individuel

Nadine Levratto, Evelyne Serverin

VOIR TÉLÉCHARGER
Résumé
La loi de modernisation de l’économie du 4 août 2008 a voulu introduire un nouveau statut d'entrepreneur individuel, l'auto-entrepreneur, avec l'objectif déclaré de soutenir une politique économique conjuguant lutte contre le chômage, recherche de points de croissance et amélioration du pouvoir d’achat. Le propos de cet article est de mettre en discussion le modèle de l'auto-entrepreneur qui sous-tend ce texte, en adoptant un double point de vue : juridique sur le modèle du travail, économique sur le modèle de l'entreprise. La première section discute la proclamation d'indépendance de l'auto entrepreneur, en mettant en évidence l'existence de multiples dépendances juridiques, dans le cadre du cumul d'activités d'une part, dans l'exercice même de l'activité productive d'autre part; la seconde section s'attache aux tensions existant entre la structure de l'auto-entreprise, et, d'une part, les objectifs de croissance des entreprises, d'autre part les théories de l'entreprise et de l’entrepreneur.
Mot(s) clé(s)
Auto-entrepreneur, théorie de la firme, cumul d’activités, contrat de travail
2009-19

Copulas and bivariate risk measures : an application to hedge funds

Rihab Bedoui, Makram Ben Dbabis

VOIR TÉLÉCHARGER
Résumé
With hedge funds, managers develop risk management models that mainly aim to play on the effect of decorrelation. In order to achieve this goal , companies use the correlation coefficient as an indicator for measuring dependencies existing between (i) the various hedge funds strategies and share index returns and (ii) hedge funds strategies against each other. Otherwise, copulas are a statistic tool to model the dependence in a realistic and less restrictive way, taking better account of the stylized facts in finance. This paper is a practical implementation of the copulas theory to model dependence between different hedge fund strategies and share index returns and between these strategies in relation to each other on a "normal" period and a period during which the market trend is downward. Our approach based on copulas allows us to determine the bivariate VaR level curves and to study extremal dependence between hedge funds strategies and share index returns through the use of some tail dependence measures which can be made into useful portfolio management tools.
Mot(s) clé(s)
Hedge fund strategies, share index, dependence, copula, tail dependence, bivariate Value at Risk
2009-18

Agricultural land-use and biological conservation

Frédéric Barraquand, Vincent Martinet

VOIR TÉLÉCHARGER
Résumé
Land use change is a main driver of biodiversity erosion, especially in agricultural landscapes. Incentive-based land-use policies aim at influence land-use pattern, and are usually evaluated with habitat suitability scores, without accounting explicitly for the ecology of the studied population. In this paper, we propose a methodology to define and evaluate agricultural land-use policies with respect to their ecological outcomes directly. We use an ecological-economic model to link the regional abundance of a bird species to the economic context. Policies based on such ecological economics approaches appear to be more efficient than that based on landscape evaluation, from both economic and ecological viewpoints.
Mot(s) clé(s)
Ecological-economic model, agriculture, land-use, landscape, conservation
2009-17

Sovereign Bonds and Socially Responsible Investment

Bastien Drut

VOIR TÉLÉCHARGER
Résumé
While the literature on Socially Responsible Investment (SRI) is mainly focused on the stock market, little attention has been paid to SRI in sovereign bonds. This paper investigates the effect of taking into account socially responsible indicators for countries, the Vigeo Sustainability Ratings (VSR), on the efficient frontier formed with the sovereign bonds of twenty developed countries. It shows that it is possible to increase the portfolios’ VSR rating without significantly harming the risk/return relationship. The analysis then focuses on specific ratings relating to a) the environment, b) social concerns, and c) public governance. The results suggest that socially responsible portfolios of sovereign bonds can be built without a significant diversification cost.
Mot(s) clé(s)
Socially Responsible Investment, Sovereign Bonds, Portfolio Selection, Rating, Spanning Tests, Mean-variance efficiency, Portfolio Choice
2009-16

Fundamentals, Macroeconomic Announcements and Asset Prices

Aymen Belgacem

VOIR TÉLÉCHARGER
Résumé
The aim of this paper is to study the impact of macroeconomic announcements on asset prices, with the objectives of both measuring the average response of stock returns to macroeconomic news surprises, and explaining the sources of such a reaction. To assess the importance of scheduled French and US macroeconomic announcements, Stock returns are analyzed on the French stock market. It is shown that, according to previous studies, there is little evidence of the reaction of the market to those surprises. News about inflation, U.S consumption and real economic activity are specially expected by investors. It confirms the leading role of the U.S. economy and in particular of U.S. consumers in determining the development of the world economy and the dynamics of stock markets. Results also show that unexpected positive surprise in the unemployment rate causes a cut on future excess returns and future dividends. The opposite reaction is observed from the housing starts indicator. The consumer price index appears to have an impact not only on future excess returns, but also on future real interest rates.
Mot(s) clé(s)
Asset Prices; Macroeconomic Announcements, Event-Study
2009-15

Disentangling extrinsic and intrinsic motivations: the case of French GPs dealing with prevention

Yves Arrighi, Philippe Batifoulier, Maryse Gadreau, Bruno Ventelou, Yann Videau

VOIR TÉLÉCHARGER
Résumé
La littérature économique fait désormais une large place à l’analyse des "motivations professionnelles", examinant notamment les possibles effets d’éviction entre motivations extrinsèques et intrinsèques. Le présent article propose des transposer ces questions dans le champ des professions de santé, avec l’enjeu d’un juste dimensionnement du recours aux politiques de paiement à la performance par le décideur public. Nous mobilisons un panel de 528 médecins généralistes libéraux de la région "Provence Alpes Côte d’Azur" en France et proposons une décomposition statistique interindividuelle entre motivations extrinsèques et intrinsèques dans le domaine des actions de prévention. La part des motivations intrinsèques est relativement plus importante chez les médecins pratiquant les tarifs conventionnés. L’effet significatif de l’âge suit une courbe en U qu’on peut interpréter comme le résultat d’un "cycle de vie des motivations médicales" ou comme celui d’un effet génération. Enfin, l’estimation économétrique établit une corrélation entre une faible part de motivation intrinsèque et le sentiment d’injustice concernant les réformes. La nature transversale des données ne permet pas de conclure quant au sens de la causalité, mais la relation mise en évidence semble bien alimenter la thèse selon laquelle la mise en place d’une politique basée
sur les incitations monétaires à la performance est jugée comme désobligeante et peut s’accompagner d’une érosion des motivations intrinsèques dans le travail médical.
Mot(s) clé(s)
General practitioners, Motivations, Prevention, Payment for performance, Intrinsic and extrinsic incentives, France
2009-14

Why do firms borrow on a short-term basis ? Evidence from European countries

Valérie Oheix, Dorothée Rivaud-Danset

VOIR TÉLÉCHARGER
Résumé
Ce papier examine empiriquement l'utilisation de crédits bancaires à court terme par les entreprises. Nous confrontons deux cadres analytiques. Selon la théorie de la finance d'entreprise, les dettes à court terme et à long terme sont des substituts, tandis que dans la littérature sur le canal du crédit elles sont des instruments distincts et complémentaires. Nous estimons un modèle qui explique le niveau de dette bancaire à court terme, en utilisant des données de panel de la base de données BACH pour six pays européens (1989-2003). Nos résultats indiquent que les deux types de prêts bancaires sont des compléments. Ils montrent que la dette bancaire de court terme devrait être analysée comme un instrument spécifique de financement des actifs courants, comme dans la littérature sur le canal du crédit.
Mot(s) clé(s)
corporate short-term debt, debt maturity structure, credit channel
2009-13

Leveraged Buy Out: Dynamic agency model with write-off option

Ouidad Yousfi

VOIR TÉLÉCHARGER
Résumé
We present a dynamic agency model in which the LBO fund may write the entrepreneur's project off at the end of the starting stage to invest in a competitive project. The two partners provide unobservable efforts in both stages to enhance the productivity of the acquired company. We show that under restrictive conditions, the debt-equity contracts induce the entrepreneur and the LBO fund to provide the first best efforts under restrictive conditions in the two stages. Moreover, the write-off threat boosts the incentives of the entrepreneur and the LBO fund such that they provide high efforts. If the compensation cost is exogenous, the sharing rule of this cost depends on the quality of the competitive project. The entrepreneur and the bank share the amount of compensation if it is not very profitable. Otherwise, the whole amount of compensation is pledged to the entrepreneur. If the compensation's amount is endogenous, in order to induce the entrepreneur to provide high effort, the optimal financial contracts must give her the entire compensation's revenue.
Mot(s) clé(s)
Leveraged Buy Out, incentives, exit, write-off option, double moral hazard
2009-12

Are conventions solutions? Contrasting visions of the relationship between convention and uncertainty

Franck Bessis, John Latsis, Guillemette de Larquier

VOIR TÉLÉCHARGER
Résumé
Ce texte compare les différentes conceptions de la notion de convention développée au sein de la théorie des jeux, de l'approche post-keynésienne et de l'économie des conventions. Cette comparaison permet de montrer que la manière de comprendre la dynamique des conventions dépend de la forme d'incertitude retenue (probabilisable ou radicale).
Mot(s) clé(s)
2009-11

Deterrence of a criminal team: how to rely on its members’shortcomings ?

Eric Langlais

VOIR TÉLÉCHARGER
Résumé
In this paper, we assume that a criminal organization is an agency where the Principal and the Agent have different sensibilities towards the risk of arrestation and punishment, and at the same time have different skills with respect to general organization tasks, crime realization or detection avoidance activities (i.e. allowing to reduce the probability of detection). In this set up, we first compare two regimes of exclusive sanctions (either the sanctions are borne by the Principal/beneficiary of the crime, or they are borne by the Agent/perpetrator of the crime), and we analyze the comparative efficiency of the various instruments which are at the disposal of public authorities to prevent corporation in criminal activities (frequency of control and level of monetary penalties). Finally, we study a case with joint liability.
Mot(s) clé(s)
Criminal teams, corporate criminality, state dependent risk aversion, deterrence, monetary penalties versus detection
2009-10

Défaut de paiement stratégique et loi sur les défaillances d’entreprises

Bertrand Chopard, Eric Langlais

VOIR TÉLÉCHARGER
Résumé
L’enseignement qui est habituellement retenu des travaux empiriques réalisés à la suite de La Porta, Lopez-de-Silanes, Shleifer et Vishny (1997), est qu’il convient de promouvoir un haut niveau de protection juridique des créanciers. A l’inverse de cette recommandation, certains pays européens (Royaume-Uni, Allemagne) ont pourtant récemment réformé leurs dispositifs touchant au droit des défaillances dans un sens qui les rapprochent de pays qui traditionnellement privilégient la préservation des emprunteurs (Etats-Unis, France). Ce papier propose une analyse du bénéfice social d’une telle orientation du droit de la défaillance, dans un modèle stylisé où la capacité de remboursement de l’emprunteur est une information privée. On étudie tout d’abord l’effet de l’orientation des règles juridiques (système pro-créanciers versus pro-débiteurs) sur le comportement des parties au contrat en fonction du type de concurrence bancaire. Nous discutons ensuite les instruments à la disposition des autorités judiciaires afin de garantir que l’évolution d’un système pro-créanciers vers un système pro-débiteurs dégage un bénéfice social. Nos résultats suggèrent qu’il existerait, en fonction de l’objectif assigné au droit, une cohérence entre l’orientation des dispositifs encadrant la défaillance et l’intensité de la concurrence bancaire.
Mot(s) clé(s)
2009-9

On unilateral divorce and the "selection of marriages" hypothesis

Eric Langlais

VOIR TÉLÉCHARGER
Résumé
This paper revisits the issue of the unilateral divorce law, taking into account that: 1/ the decisions to engage in marriage and then to divorce or to stay married are fundamentally sequential decisions; 2/ household consumption has a large joint component, generating economies of scale. The unilateral divorce law is modelled through the combination of exclusive rights on the marriage dissolution and a monetary transfer to the parent having custody of the children. We analyze the influence of alternative compensation rules both in the short run (probability and efficiency of divorce) and in the long run (selection of marriages). We also show that a decrease in the costs of divorce proceedings has by no means commonplace consequences on marriage ontracting; particularly when consideration of parent's altruism and child support is introduced, more marriages are contracted when the cost of divorces decreases.
Mot(s) clé(s)
marriage models, unilateral divorce law, the parents'altruism and protective measures for children
2009-8

Legal Interpretative Process and Litigants’Cognitive Biases

Bruno Deffains, Eric Langlais

VOIR TÉLÉCHARGER
Résumé
For contemporary legal theory, law is essentially an interpretative and hermeneutics practice (Ackerman (1991), Horwitz (1992)). A straightforward consequence is that legal disputes between parties are motivated by their divergent interpretations regarding what the law says on their case. This point of view fits well with the growing evidence showing that litigants’ cognitive performances display optimistic bias or self-serving bias (Babcock and Lowenstein (1997)). This paper provides a theoretical analysis of the influence of such a cognitive bias on pretrial negotiations. However, we also consider that this effect is mitigated because of the litigants’ confidence in their own ability to predict the verdict; we model this issue assuming that litigants are risk averse in the sense of Yaari (1987), i.e. they display a kind of (rational) probability distortion which is also well documented in experimental economics. In a model à la Bebcuck (1984), we show that the consequences of self-serving bias are partially consistent with the "optimistic model", but that parties’ risk aversion has more ambiguous/unpredictable effects. These results contribute to explaining that the beliefs in the result of the trial are not sufficient in themselves to understand the behaviors of litigants. As suggested by legal theory, the confidence the parties have in their beliefs is probably more important.
Mot(s) clé(s)
litigation, self-serving bias, risk aversion
2009-7

Defining sustainability objectives

Vincent Martinet

VOIR TÉLÉCHARGER
Résumé
Two of the challenges of thinking sustainability are how to deal with potentially conicting issues and how to ensure intergenerational equity. In practice, policymakers define sustainability objectives by setting thresholds that act as constraints on indicators. When defining a specific objective, they usually do not take into account either potential conflicts with other objectives or the diffculty to achieve all of them over time. In this paper, we propose an approach that defines sustainability objectives represented by a set of constraints on indicators and their associated thresholds. This approach meets the challenges of sustainability because objectives are defined such that all the constraints can be satisfied at all times. The thresholds are interpreted as minimal rights to be guaranteed to all generations, in a Rawlsian equity perspective. To define them, we have developed a criterion, which is, from a mathematical point of view, a "generalized" maximin. Applying the criterion is a two-step process. Firstly, the set of achievable objectives, given the endowment of the economy, is defined, revealing the necessary trade-offs between them. Secondly, a static optimization of sustainability preferences on that set results in the proposed definition of sustainability objectives. We illustrate this approach by applying it to a canonical model often used to investigate sustainability issues (Dasgupta-Heal-Solow model; Review of Economic Studies 1974). We emphasize the relevance of this approach because it rationalizes the practice of using indicators to deal with sustainability in terms of the given challenge. We also discuss how to apply our approach to real sustainability issues.
Mot(s) clé(s)
sustainability, indicators, intergenerational equity, criterion, minimal rights, viability
2009-6

Mesure de la performance des banques dans une zone d'ancrage monétaire: cas de la France et des pays de l'UMOA

Akassi Sandrine Kablan

VOIR TÉLÉCHARGER
Résumé
Our study aims at measuring banking system efficiency for France and WAMU, by isolating environmental specificities to each region. Our results show that the two banking systems have quite close efficiency scores about 80%. As their french counterparts, WAMU banks are efficient; however this assertion is true in regarding the environment in which they evolve. Indeed, those banks transform collected deposits in short term loans or loans to big foreign corporations, that they are sure to recover lent amounts. This situation has the following effect: a significant part of entreprises (smal and medium ones) are under funded. The comparison of the two banking systems lead us to suggest that monetary and financial authorities implement reforms. Those reforms inspired by french ones and adapted to the WAMU specificity and environement, would help the banking system of the zone to effectively play its financial intermediary role.
Mot(s) clé(s)
anchorage monetary zone, banking efficiency, stochastic frontier analysis
2009-5

Une mesure financière de l’importance de la prime de risque de change dans la prime de risque boursière

Salem Boubakri

VOIR TÉLÉCHARGER
Résumé
This study tests an international extension of the Asset Pricing Model (CAPM) based on the coexistence of two risk causes. The first cause is linked to the market portfolio and the second one is required by expectations about the variation of exchange rates. Through an application to various developed and emerging countries, we show that the exchange risk premium in the ICAPM is statistically and economically significant and contribues to the formation of the total risk premium by using the conditional approach of exchange rate variations.
Mot(s) clé(s)
Exchange risk premium, Purchasing Power Parity, conditional International Capital Asset Pricing Model (ICAPM)
2009-4

Media Bias in Financial Newspapers: Evidence from Early 20th Century France

Vincent Bignon, Antonio Miscio

VOIR TÉLÉCHARGER
Résumé
The financial market was very developed in France in the years before World War I and subsequently many newspapers provided information to investors. Yet, contemporaries blamed the inaccuracy and biases of the financial press. This study implements a quantitative test to assess this judgment. The results show that although the firms’ media coverage were impacted by the fact that firms paid to appear in newspapers, the performance of the firms selected by the media was pretty good. A better explanation of the bias is then that newspapers choose firms according to their editorial policy and that they were able to make firms paid for that.
Mot(s) clé(s)
Media coverage, financial newspapers, media bias, information on the financial market
2009-3

The Crux of the Matter: Ratings and Credit Risk Valuation at the heart of the Structured Finance Crisis

Michel Aglietta, Ludovic Moreau, Adrian Roche

VOIR TÉLÉCHARGER
Résumé
La crise mondiale du crédit de 2007/2008 a pour origine l'opacité relative aux opérations de titrisation. En expliquant comment mesurer le risque des produits structurés, on montre que l'autonomie d'évaluation des investisseurs passe par une connaissance précise et en continu des éléments du pool sous-jacent. Une forme de démission sur ce point a amené l'industrie des notations à jouer un rôle central dans l'intermédiation financière de la titrisation. Ainsi, au coeur de la crise, la volatilité historiquement anormale des notes a eu un écho sans précédent. En introduisant une perspective théorique sur les dynamiques de la finance de marché, on met en avant le rôle clé des banquiers d'investissement dans la phase euphorique ayant précédé le retournement actuel et on montre que s'en remettre à la discipline de marché était naïf voire coupable. Vecteur privilégié de cette discipline, la notation a reçu son lot de critiques qu'il s'agit de dépasser pour penser l'harmonisation et la systématisation d'une activité de contrôle après émission des crédits structurés: la réforme de l'industrie de la notation est à envisager sous cet angle.
Mot(s) clé(s)
crise financière, risque de crédit, agences de notation
2009-2

Cigarette Money and Black Market Prices around the 1948 German Miracle

Vincent Bignon

VOIR TÉLÉCHARGER
Résumé
This paper is an empirical study of the distribution of black prices among 120 Bavarian locations at two dates, the beginning of July, 1947 and the end of June, 1948. It shows huge differences in the liquidity of those goods either when measured with the coefficient of variation or the number of locations in which those goods were traded. The main finding is that liquidity of cigarette was very high either when measured by the coefficient of variation and or the number of counties that traded them. This made them special, even when compared with a pure fiat object such as the US dollar. Consistently with the insights of the modern theory of money, the high liquidity of cigarettes is indicative of its use as money.
Mot(s) clé(s)
2009-1

Médecins généralistes à faibles revenus : une préférence pour le loisir ?

Anne-Laure Samson

VOIR TÉLÉCHARGER
Résumé
Cet article s'intéresse à l'existence d'une importante minorité de médecins généralistes à faibles revenus. 5 à 7% de l'ensemble des médecins généralistes ont des revenus nets mensuels inférieurs à 1,5 SMIC. Leurs faibles revenus persistent sur une grande partie de leur carrière. Ces médecins sont plus fréquemment des femmes et des médecins exerçant dans des départements où la densité médicale est forte mais où la qualité de vie est également meilleure. Nous évaluons dans quelle mesure les revenus plus faibles de ces médecins résultent de leur plus grande préférence pour le loisir. Une analyse économétrique permet de tester s'ils travaillent peu par choix ou parce qu'ils y sont contraints. Nous estimons un modèle en taux de croissance qui permet d'étudier leur réaction à un choc de demande. Nous montrons qu'ils ne réagissent jamais à une variation positive de la demande, alors que cela pourrait contribuer à augmenter le niveau de leurs revenus. Leur activité n'est sensible qu'à des variations négatives de la demande. Ils diminuent leur activité lorsqu'ils y sont contraints. Les médecins à faibles revenus sont des médecins qui choisissent de travailler peu : répondre à la hausse de la demande de soins en augmentant leur activité réduirait leur utilité. Cette très faible activité reflète un avantage de la profession de médecin libéral : les médecins peuvent choisir de travailler peu.
Mot(s) clé(s)
médecins généralistes, médecins à faibles revenus, revenu cible, arbitrage travail-loisir, données longitudinales
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