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Thursday, October 2 2008

Remboursement, séminaire CREM

Pour les intervenants au séminaire de macro-finance, j'ai mis un lien vers les documents administratifs à remplir pour se faire rembourse d'éventuels frais. Ils sont à renvoyer à

Eliane BOUGAULT
Secrétariat du CREM
7, place hoche - CS 86514
35065 - RENNES Cédex
tel 02 23 23 35 09
fax 02 23 23 35 99

Wednesday, October 1 2008

Séminaires MACRO-FINANCE octobre/novembre 2008

  • Jeudi 9 octobre (12h30-13h30, salle 176) : Sébastien MARY (U. of Aberdeen) sur "Assessing the impacts of recent Common Agricultural Policy reforms on investment and labour supply in farm households: An application to French crops farms"
The Common Agricultural Policy has been reformed radically. All coupled supports have been removed; the majority of subsidies are “decoupled” from production and farmers receive a farm payment. Decoupled payments are expected to have no impact on production. The paper shows that payments can impact on production in a stochastic environment with market imperfections. A dynamic stochastic farm household model using the stochastic general equilibrium approach widely used in macroeconomics is developed. Decoupling decreases production even if payments have positive impacts on production because the payment effects are not large enough to compensate the effects of a decrease in the intervention price.
  • Jeudi 23 octobre (12h30-13h30, salle 176) : Masashige HAMANO (CREM-U. Rennes I) sur "International portfolio with firm entry
Two countries stochastic general equilibrium model with firm entry. Equities and bonds are traded internationally. No transportation cost for goods and asset however there is Home bias for goods. The number of firms behaves as state variable following Ghironi and Melitz (2005). So the asset prices here are tightly linked to economy’s free entry condition. For instance there is no heterogeneity among firms as Ghironi and Melitz. All firms are symmetric so does its asset price which is also perfect substitute. Two shocks: production cost and entry cost shock. Strategy: solve the model under (locally) complete market. then search the supporting portfolios which replicates that allocation.
  • Jeudi 6 novembre (12h30-13h30, salle 176) : Hamdi RAISSI (INSA-Rennes) sur "Testing linear causality in mean in presence of other forms of causality"

We consider the test for linear causality in mean in the large set of processes given by Vector AutoregRessive (VAR) models with dependent but uncorrelated errors. We see that this framework allow to take into account the possible presence of causality in mean and/or causality in variance. We derive the Quasi Maximum Likelihood Estimator (QMLE). Using the asymptotic normality of the QMLE we propose various modified tests for testing the causality in mean in presence of dependent errors. We study the finite sample performances of the modified tests by mean of Monte Carlo experiments. An application to the daily returns of the exchange rates of U.S. Dollars to one British Pound and of U.S. Dollars to one New Zealand Dollar is proposed to illustrate the theoretical results.
  • Jeudi 20 novembre (12h30-13h30, salle 176) : Guillaume L'oeillet et Julien Licheron (Université de Rennes 1 - CREM) sur "The asymmetric relationship between oil prices and activity in the EMU: Does the ECB monetary policy play a role?"

Monetary policy is usually perceived as an important transmission channel in the negative relationship between oil prices and economic performance. It may also constitute a short-term explanation of the non-linearity in this relationship, since Central Bankers may be more sensitive to potential inflationary threats entailed by high oil price increases than to small increases or decreases. In this paper, we use an extended Taylor rule to investigate the role of oil prices in the ECB monetary policy strategy. A reaction function is estimated using both a GMM framework and an Ordered Probit model, and several oil indicators are constructed and tested. The main results suggest that oil prices play a key role in the ECB interest-rate setting, since it appears as a relevant indicator for future inflation. However, the ECB seems to react asymmetrically: only oil price increases influence its decision setting, not oil prices decreases. Further investigations suggest that this behaviour may be explained by asymmetric preferences of the ECB. Monetary policy may thus transmit and amplify the asymmetry in the relationship between oil prices and activity in the euro area.

Friday, June 27 2008

Séminaire MACRO-FINANCE aspects pratiques

 Le séminaire de Macro-Finance est désormais géré via Doodle. Les réservations des semaines se fait via la plateforme.

Wednesday, June 18 2008

Séminaires MACRO-FINANCE juin 2008

  • Mercredi 18 juin, 12h30-13h30, salle 313 : Julien LICHERON (CREM - Rennes I) sur : "Cyclical Divergence and Inflation Dispersion in the Euro Area: The Role of House Prices and the Wealth Channel"  [slides]

This paper assesses several potential explanations for long-lasting inflation differentials and cyclical divergence within the EMU, with a focus on the role of asset prices. We construct a (stylised) multi-country model of the euro area and estimate this model using a Bayesian approach. We then simulate the effects of several common or idiosyncratic shocks. Our results suggest that inflation persistence plays a key role in driving inflation differentials within the EMU. Differences in the response to monetary policy and in the exposure to exchange rates variations also seem to explain asymmetric responses to shocks. Finally, it appears that housing markets may enhance cyclical asymmetries within a Monetary Union, since house prices increases stimulate consumption and inflation through a wealth effect and the financial accelerator mechanism. Higher consumption and lower real interest rates would in return generate further increases in house prices. We conclude by examining the optimal design of monetary policy in the presence of asymmetries and a potential destabilizing role for house prices.


  • Jeudi 26 juin, 13h00 -  14h00, salle 313  Mathieu ROSENBAUM (Professeur Assistant, CREST - ENSAE) sur : "Mesure de Volatilité et Bruit de Microstructure." [slides]

Les modèles financiers classiques à temps continu et les méthodes statistiques associées sont principalement pertinents dans les basses fréquences (données journalières, mensuelles....). Dans les hautes fréquences (échelle de la minute, de la seconde...), les estimateurs usuels de volatilité sont extrêmement biaisés en raison du phénomène de bruit de microstructure. On présentera dans cette exposé des méthodes récentes d'estimation de la volatilité en présence de bruit de microstucture. On se placera en particulier dans des modèles permettant d'obtenir à la fois des prix discrets et une dynamique type semi-martingale dans les basses fréquence.

Tuesday, April 29 2008

Séminaire MACRO-FINANCE avril-mai 2008

  • Mardi 29 avril, 14h - 15h, Amphi. KRIER. Christophe VILLA (AUDENCIA, Nantes) : "How common are common return factors across Nyse and Nasdaq?"
We entertain the possibility of pervasive factors that are not common across two (or more) groups of securities. We propose a general procedure to estimate the space spanned by the common pervasive and group-specific pervasive factors. In our empirical analysis, we study the factor structure of excess returns on stocks traded on the Nyse and Nasdaq exchanges using our methodology. We find that there are only two common pervasive factors that govern the returns for both Nyse and Nasdaq. At the same time, both Nyse and Nasdaq have one more group-specific factor (one for each group) that is not the same across the two exchanges. Our results point to the absence of complete similarity between the factors driving the returns on these exchanges. More importantly, we estimate these common pervasive and group-specific pervasive factors.


  • Jeudi 15 mai, 12h30 - 13h30, Amphi. KRIER. Vincent BOUVATIER (CREM, Rennes I) : "Effects of Provisioning Rules on Bank Lending: A Theoretical Model"
This paper develops a partial equilibrium model of a banking …rm to analyze how provisioning rules in‡uence credit market ‡uctuations. We show that a backward-looking provisioning system ampli…es the pro-cyclicality of credit market ‡uctuations. This effect is removed in a forward-looking provisioning system where statistical provisions are used to smooth the evolution of total loan loss provisions. Our findings support the call for the implementation of a dynamic provisioning system in Europe.


  • Jeudi 29 mai (horaire à préciser), Amphi. KRIER. Thomas JOBERT (ENSAI, Rennes) : "Do political and geopolitical uncertainties influence monetary policy efficiency? Evidence from Turkey’s inflation targeting experience."
In January 2002, Turkey adopted implicit inflation targeting as monetary policy. The short-term interest rate of the Central Bank of Republic of Turkey is expected to serve as the policy instrument and to influence the secondary market interest rate. Using a Vector Error Correction Model, we analyze the joint dynamics of both interest rates. Seo’s (1998) structural change tests endogenously detect breaks in the long term structure linking these rates, or modifications in the convergence speed of the rates to their equilibrium levels. We show that the political or geopolitical uncertainties of the years 2002 and 2003 (early elections, discussions on the opening of negotiations to join the European Union and the conflict in Iraq) have not affected the dynamics of either rate. However, there has been a structural change in their long term dynamics at the end of 2004 corresponding to the opening of EU negotiations. This event has temporarily reinforced the efficiency of the monetary policy.

Monday, March 3 2008

Séminaire MACRO-FINANCE mars 2008

Lundi 3 mars, 12h30-13h30, amphi Krier : Arthur CHARPENTIER (CREM - Rennes I) sur : "Méthodes de valorisation, assurance versus finance" [slides].

Les nouvelles règles comptables pour les compagnies d'assurance imposent désormais une notion de "market-consistent valuation": les risques assurantiels doivent aujourd'hui être valorisé comme des produits financiers. Mais au delà de l'aspect comptable, des produits permettent effectivement de transférer les risques des compagnies d'assurance (ou de réassurance) vers les marchés financiers. Le risque de longévité ou de mortalité peut être couvert à l'aide de mortality/longevity bonds. Depuis plus de 10 ans, les risques de catastrophes naturelles aux Etats-Unis peuvent être titrisés via l'émission de cat bonds. Et parallèlement, plusieurs bourses proposent aujourd'hui des options sur indices climatiques (voire assurantiels) permettant d'introduire formellement des cat options. Ces ILS (insurance linked securities) ne sont pas sans poser des problèmes de valorisation.
Au premier abord, la valorisation actuarielle (basée sur la notion de prime pure et sur la probabilité historique) et la valorisation financière (basée sur l'utilisation d'une probabilité risque neutre) n'ont rien en commun. Mais les ILS ne sont pas utilisé - le plus souvent - sur des risques de masse, mais davantage sur des risques extrêmes. Les outils classiques de valorisation actuarielle ne conviennentalors plus, et des méthodes plus économiques sont alors préconisées(basées sur l'espérance d'utilité, ou mieux encore, sur l'approche duale de Yaari, et sur les mesures de risques par distorsion). De même, les outils financiers classiques ne sont valident qu'en marché complets, et comme ce n'est plus le cas, des méthodes proches de celles utilisées en assurance sont alors retenues (indifférence d'utilité, transformée d'Esscher). Aussi, les méthodes de valorisation en finance et en assurance, qui semblaient jusqu'alors incompatibles, peuvent enfin être présenté dans un cadre commun, précisément pour les risques qui se situent à la frontière entre la finance et l'assurance.