Thursday, October 2 2008
By arthur charpentier on Thursday, October 2 2008, 14:00
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
By arthur charpentier on Wednesday, October 1 2008, 15:42
- 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
By arthur charpentier on Friday, June 27 2008, 12:28
Le séminaire de Macro-Finance est désormais géré via Doodle. Les réservations des semaines se fait via la plateforme.
Wednesday, June 18 2008
By arthur charpentier on Wednesday, June 18 2008, 15:03
- 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
By arthur charpentier on Tuesday, April 29 2008, 11:59
- 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
By arthur charpentier on Monday, March 3 2008, 09:45
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.
