Modèles DSGE Nouveaux Keynésiens, Monnaie et Aversion au Risque.
|
|
|
- Leon Griffith
- 6 years ago
- Views:
Transcription
1 Modèles DSGE Nouveaux Keynésiens, Monnaie et Aversion au Risque. Jonathan Benchimol To cite this version: Jonathan Benchimol. Modèles DSGE Nouveaux Keynésiens, Monnaie et Aversion au Risque.. Economies and finances. Université Panthéon-Sorbonne - Paris I, 211. English. <tel > HAL Id: tel Submitted on 23 Feb 212 HAL is a multi-disciplinary open access archive for the deposit and dissemination of scientific research documents, whether they are published or not. The documents may come from teaching and research institutions in France or abroad, or from public or private research centers. L archive ouverte pluridisciplinaire HAL, est destinée au dépôt et à la diffusion de documents scientifiques de niveau recherche, publiés ou non, émanant des établissements d enseignement et de recherche français ou étrangers, des laboratoires publics ou privés.
2 Université Paris 1 Panthéon Sorbonne U.F.R de Sciences Économiques Numéro attribué par la bibliothèque THÈSE Pour obtenir le grade de Docteur de l Université Paris 1 Panthéon Sorbonne Discipline : Sciences Economiques Présentée et soutenue publiquement par Jonathan Benchimol le 9 décembre 211 MODÈLES DSGE NOUVEAUX KEYNÉSIENS, MONNAIE ET AVERSION AU RISQUE. Co-directeur de thèse : M. Christian Bordes, Professeur à l Université Paris 1 Panthéon Sorbonne Co-directeur de thèse : M. André Fourçans, Professeur à l ESSEC Business School JURY Christian Bordes (Co-directeur), Professeur à l Université Paris 1 Panthéon Sorbonne André Fourçans (Co-directeur), Professeur à l ESSEC Business School Laurent Clerc (Rapporteur), Directeur de la Stabilité Financière à la Banque de France Marc-Alexandre Sénégas (Rapporteur), Professeur à l Université Montesquieu-Bordeaux IV Gunther Capelle-Blancard (Président du jury), Professeur à l Université Paris 1 Panthéon Sorbonne Directeur-adjoint du CEPII
3 L Université Paris 1 Panthéon Sorbonne n entend donner aucune approbation ni improbation aux opinions émises dans la thèse ; ces opinions doivent être considérées comme propres à leur auteur.
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33 6 Output 14 Inflation Q1 76Q3 82Q1 87Q3 93Q1 98Q4 4Q2 9Q4 71Q1 76Q3 82Q1 87Q3 93Q1 98Q4 4Q2 9Q4 1 Real Money Balances 2 Interest Rates Q1 76Q3 82Q1 87Q3 93Q1 98Q4 4Q2 9Q4 71Q1 76Q3 82Q1 87Q3 93Q1 98Q4 4Q2 9Q4
34
35
36 .2 Preference Shock Technolog y Shock -.3 Interest Rate Shock 1 Money Shock Quarters 2 4 Quarters Quarters 2 4 Quarters
37
38 8 Output 1 Inflation Preference Shock Interest Rate Shock Money Shock Technology Shock Interest Rate 8 Real Money Balances Quarter Quarter
39
40
41
42 .2 Preference Shock Technolog y Shock -.3 Interest Rate Shock.2 Risk Aversion Shock Quarters 2 4 Quarters Quarters 2 4 Quarters
43
44 6 Output 1 Inflation Risk Aversion Shock Preference Shock Interest Rate Shock Technology Shock Interest Rate 6 Real Money Balances Flexible-Price Output 8 Flexible-Price Interest Rate Quarter Quarter
45 1 Output Real money balances Initial values Technology Shock Interest Rate Shock Preference Shock Risk Aversion Shock
46 4 Flexible-price output Flexible-price interest rate Initial values Technology Shock Interest Rate Shock Preference Shock Risk Aversion Shock
47
48
49
50
51 8 Interval x 1 4 m x 1 4 m x 1 4
52 9 Interval m2 x m3 x x 1 4
53 .3 Technology Shock.4 Preference Shock Q1 84Q4 89Q4 94Q4 99Q4 4Q4 9Q Q1 84Q4 89Q4 94Q4 99Q4 4Q4 9Q4.2 Interest Rate Shock.6 Money Shock Q1 84Q4 89Q4 94Q4 99Q4 4Q4 9Q Q1 84Q4 89Q4 94Q4 99Q4 4Q4 9Q4
54 .2 Technology Shock.4 Preference Shock Q1 84Q4 89Q4 94Q4 99Q4 4Q4 9Q Q1 84Q4 89Q4 94Q4 99Q4 4Q4 9Q4.2 Interest Rate Shock.1 Risk Aversion Shock Q1 84Q4 89Q4 94Q4 99Q4 4Q4 9Q Q1 84Q4 89Q4 94Q4 99Q4 4Q4 9Q4
55 SE_ua SE_ui SE_up SE_um alphan beta teta nu gamma khi li li li rhoa 3 2 rhop rhoi rhom
56 SE_ua SE_un SE_ui SE_up 15 beta 1 alphan teta nu gamma khi li1 li li3 rhoa rhon rhop 15 rhoi
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77 .2 Preference Shock Technology Shock.1 Money Shock -.2 Interest Rate Shock Quarters 2 4 Quarters 2 4 Quarters Quarters
78
79
80 8 Decreasing Return to Scale Constant Return to Scale Preference Shock Interest Rate Shock Money Shock Technology Shock Quarter
81 1 Decreasing Return to Scale Constant Return to Scale Preference Shock Interest Rate Shock Money Shock Technology Shock Quarter
82 1 Decreasing Return to Scale Constant Return to Scale Preference Shock Interest Rate Shock Money Shock Technology Shock Quarter
83
84
85
86
87
88
89 SE_ua SE_ui SE_up SE_um alphan alpham teta 4 nu 4 sigma gamma khi li li2 li3 rhoa rhop rhoi rhom
90 SE_ua SE_ui SE_up SE_um alphan teta nu sigma gamma khi li1 li li3 rhoa rhop rhoi rhom
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107 12 Inflation 6 Output Nominal Interest Rate Real Money Balances σ = 2 σ = 4 Historical Data
108
109 8 σ = σ = Preference Shock 2 Interest Rate Shock 1 Money Shock Technology Shock Quarter
110
111 1 σ = 2 5 Initial Values σ = 4 Techn. Shock Money Shock Interest Rate Shock Pref. Shock
112 4 σ = σ =
113
114
115
116
117
118
119
120 SE_ua SE_ui SE_up SE_um alpha teta vega b neta epsilon li1 li li3 rhoa rhop rhoi rhom
121 SE_ua SE_ui SE_up SE_um alpha teta vega b neta epsilon li1 li li3 rhoa rhop rhoi rhom
122 8.5 Interval x 1 4 m x 1 4 m x 1 4
123 8 Interval m2 x m3 x x 1 4
124
125 Preference Shock Technology Shock Money Shock Interest Rate Shock Quarters 2 4 Quarters 2 4 Quarters 2 4 Quarters
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141 2.1 2 Risk Aversion 1.9 9Q1 9Q4 91Q4 92Q4 93Q Money Growth parameter on Inflation.5 9Q1 9Q4 91Q4 92Q4 93Q4 Expected Money Growth parameter on Output Q1 9Q4 91Q4 92Q4 93Q4 Expected Money Growth Shock parameter on Output Q1 9Q4 91Q4 92Q4 93Q4 Money parameter on Flexible-Price Output Q1 9Q4 91Q4 92Q4 93Q4 Money Shock parameter on Flexible-Price Output Q1 9Q4 91Q4 92Q4 93Q4 Smoothing coefficient (Taylor Rule) Q1 9Q4 91Q4 92Q4 93Q4 Inflation coefficient (Taylor Rule) Q1 9Q4 91Q4 92Q4 93Q4 Output coefficient (Taylor Rule) Q1 9Q4 91Q4 92Q4 93Q4 Real Interest Rate parameter on Output Q1 9Q4 91Q4 92Q4 93Q4 Technology Shock parameter on Flexible-Price Output Q1 9Q4 91Q4 92Q4 93Q Firms Reoptimizing Optimally their Prices 9Q1 9Q4 91Q4 92Q4 93Q4
142 Role of Money on Output 1 5 9Q1 9Q4 91Q4 92Q4 93Q4 Role of Money on Flexible-Price Output Q1 9Q4 91Q4 92Q4 93Q4 5 Role of Monetary Policy on Output 9Q1 9Q4 91Q4 92Q4 93Q4 Role of Monetary Policy on Inflation Q1 9Q4 91Q4 92Q4 93Q4 Role of Technology on Flexible-Price Output Q1 9Q4 91Q4 92Q4 93Q4 Role of Technology on Flexible-Price Real Money Q1 9Q4 91Q4 92Q4 93Q4 Role of Technology on Output 1 5 9Q1 9Q4 91Q4 92Q4 93Q4 Role of Technology on Inflation.4.2 9Q1 9Q4 91Q4 92Q4 93Q4 Role of Preference on Output Q1 9Q4 91Q4 92Q4 93Q4 Role of Preference on Inflation 2 1 9Q1 9Q4 91Q4 92Q4 93Q4 Role of Preference on Interest Rates Q1 9Q4 91Q4 92Q4 93Q4 Role of Preference on Real Money Q1 9Q4 91Q4 92Q4 93Q4
143 .4.3 Comparison of output and inflation DSGE forecast errors Positive bar: Non-Separable model is better Negative bar: Baseline model is better Inflation Output Q2 9Q3 9Q4 91Q1 91Q2 91Q3 91Q4 92Q1 92Q2 92Q3 92Q4
144
145 Risk Aversion 1.9 Q1 Q4 1Q4 2Q4 3Q4 Expected Money Growth Shock parameter on Output Q1 Q4 1Q4 2Q4 3Q Money Growth parameter on Inflation.5 Q1 Q4 1Q4 2Q4 3Q Money parameter on Flexible-Price Output Q1 Q4 1Q4 2Q4 3Q4 Expected Money Growth parameter on Output Q1 Q4 1Q4 2Q4 3Q4 Money Shock parameter on Flexible-Price Output Q1 Q4 1Q4 2Q4 3Q4 Smoothing coefficient (Taylor Rule) Q1 Q4 1Q4 2Q4 3Q4 Inflation coefficient (Taylor Rule) Q1 Q4 1Q4 2Q4 3Q4 Output coefficient (Taylor Rule) Q1 Q4 1Q4 2Q4 3Q4 Real Interest Rate parameter on Output Q1 Q4 1Q4 2Q4 3Q4 Technology Shock parameter on Flexible-Price Output Q1 Q4 1Q4 2Q4 3Q4 Firms Reoptimizing Optimally their Prices Q1 Q4 1Q4 2Q4 3Q4
146 Role of Money on Output Q1 Q4 1Q4 2Q4 3Q4 Role of Money on Flexible-Price Output 1 5 Q1 Q4 1Q4 2Q4 3Q4 Role of Monetary Policy on Output 4 2 Q1 Q4 1Q4 2Q4 3Q4 Role of Monetary Policy on Inflation Q1 Q4 1Q4 2Q4 3Q4 Role of Technology on Flexible-Price Output Q1 Q4 1Q4 2Q4 3Q4 Role of Technology on Flexible-Price Real Money 5 Q1 Q4 1Q4 2Q4 3Q4 Role of Technology on Output Q1 Q4 1Q4 2Q4 3Q4.5 Role of Technology on Inflation Q1 Q4 1Q4 2Q4 3Q4 Role of Preference on Output 2 1 Q1 Q4 1Q4 2Q4 3Q4 Role of Preference on Inflation 1 5 Q1 Q4 1Q4 2Q4 3Q4 Role of Preference on Interest Rates Q1 Q4 1Q4 2Q4 3Q4 Role of Preference on Real Money 2 1 Q1 Q4 1Q4 2Q4 3Q4
147 .9.8 Comparison of output and inflation DSGE forecast errors Positive bar: Non-Separable model is better Negative bar: Baseline model is better Inflation Output Q2 Q3 Q4 1Q1 1Q2 1Q3 1Q4 2Q1 2Q2 2Q3 2Q4
148 Risk Aversion Q1 6Q4 7Q4 8Q4 9Q4 Money Growth 1 x parameter on Inflation Q1 6Q4 7Q4 8Q4 9Q4 Expected Money Growth parameter on Output Q1 6Q4 7Q4 8Q4 9Q4 Expected Money Growth Shock parameter on Output Q1 6Q4 7Q4 8Q4 9Q4 Money parameter on Flexible-Price Output Q1 6Q4 7Q4 8Q4 9Q4 Money Shock parameter on Flexible-Price Output Q1 6Q4 7Q4 8Q4 9Q4 Smoothing coefficient (Taylor Rule) Q1 6Q4 7Q4 8Q4 9Q4 Inflation coefficient (Taylor Rule) Q1 6Q4 7Q4 8Q4 9Q4 Output coefficient (Taylor Rule) Q1 6Q4 7Q4 8Q4 9Q4 Real Interest Rate parameter on Output Q1 6Q4 7Q4 8Q4 9Q4 Technology Shock parameter on Flexible-Price Output Q1 6Q4 7Q4 8Q4 9Q4 Firms Reoptimizing Optimally their Prices Q1 6Q4 7Q4 8Q4 9Q4
149 Role of Money on Output 2 1 6Q1 6Q4 7Q4 8Q4 9Q4 Role of Money on Flexible-Price Output 2 1 6Q1 6Q4 7Q4 8Q4 9Q4 5 Role of Monetary Policy on Output 6Q1 6Q4 7Q4 8Q4 9Q4 Role of Monetary Policy on Inflation Q1 6Q4 7Q4 8Q4 9Q4 Role of Technology on Flexible-Price Output Q1 6Q4 7Q4 8Q4 9Q4 Role of Technology on Flexible-Price Real Money 4 2 6Q1 6Q4 7Q4 8Q4 9Q4 Role of Technology on Output 1 5 6Q1 6Q4 7Q4 8Q4 9Q4 Role of Technology on Inflation.4.2 6Q1 6Q4 7Q4 8Q4 9Q4 Role of Preference on Output 2 1 6Q1 6Q4 7Q4 8Q4 9Q4 Role of Preference on Inflation 2 1 6Q1 6Q4 7Q4 8Q4 9Q4 Role of Preference on Interest Rates Q1 6Q4 7Q4 8Q4 9Q4 Role of Preference on Real Money 2 1 6Q1 6Q4 7Q4 8Q4 9Q4
150 .8.6 Comparison of output and inflation DSGE forecast errors Positive bar: Non-Separable model is better Negative bar: Baseline model is better Inflation Output Q2 6Q3 6Q4 7Q1 7Q2 7Q3 7Q4 8Q1 8Q2 8Q3 8Q4
151
152 5 4 Role of Money on Output 1x(EURIBOR-BTF) 1x(EURIBOR-Bubill) Q1 6Q3 7Q1 7Q3 8Q1 8Q3 9Q2 9Q4
153 5 4 Role of Monetary Policy on Output 1x(EURIBOR-BTF) 1x(EURIBOR-Bubill) Q1 6Q3 7Q1 7Q3 8Q1 8Q3 9Q2 9Q4
154
155
156
157
158 -6 ERM Crisis Modified Harmonic Mean -6 ERM Crisis Laplace Approximation Q1 9Q3 91Q1 91Q3 92Q1 92Q3 93Q2 93Q4-12 9Q1 9Q3 91Q1 91Q3 92Q1 92Q3 93Q2 93Q4-9 Dot-com Crisis Modified Harmonic Mean -9 Dot-com Crisis Laplace Approximation Q1 Q3 1Q1 1Q3 2Q1 2Q3 3Q2 3Q4-11 Q1 Q3 1Q1 1Q3 2Q1 2Q3 3Q2 3Q4-12 Subprime Crisis Modified Harmonic Mean -13 Subprime Crisis Laplace Approximation Q1 6Q3 7Q1 7Q3 8Q1 8Q3 9Q2 9Q4-15 6Q1 6Q3 7Q1 7Q3 8Q1 8Q3 9Q2 9Q4
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
Money in the Production Function : A New Keynesian DSGE Perspective
Money in the Production Function : A New Keynesian DSGE Perspective Jonathan Benchimol To cite this version: Jonathan Benchimol. Money in the Production Function : A New Keynesian DSGE Perspective. ESSEC
The National Minimum Wage in France
The National Minimum Wage in France Timothy Whitton To cite this version: Timothy Whitton. The National Minimum Wage in France. Low pay review, 1989, pp.21-22. HAL Id: hal-01017386 https://hal-clermont-univ.archives-ouvertes.fr/hal-01017386
Photovoltaic deployment: from subsidies to a market-driven growth: A panel econometrics approach
Photovoltaic deployment: from subsidies to a market-driven growth: A panel econometrics approach Anna Créti, Léonide Michael Sinsin To cite this version: Anna Créti, Léonide Michael Sinsin. Photovoltaic
Rôle de la régulation génique dans l adaptation : approche par analyse comparative du transcriptome de drosophile
Rôle de la régulation génique dans l adaptation : approche par analyse comparative du transcriptome de drosophile François Wurmser To cite this version: François Wurmser. Rôle de la régulation génique
Rôle de la protéine Gas6 et des cellules précurseurs dans la stéatohépatite et la fibrose hépatique
Rôle de la protéine Gas6 et des cellules précurseurs dans la stéatohépatite et la fibrose hépatique Agnès Fourcot To cite this version: Agnès Fourcot. Rôle de la protéine Gas6 et des cellules précurseurs
Inequalities in Life Expectancy and the Global Welfare Convergence
Inequalities in Life Expectancy and the Global Welfare Convergence Hippolyte D Albis, Florian Bonnet To cite this version: Hippolyte D Albis, Florian Bonnet. Inequalities in Life Expectancy and the Global
Strategic complementarity of information acquisition in a financial market with discrete demand shocks
Strategic complementarity of information acquisition in a financial market with discrete demand shocks Christophe Chamley To cite this version: Christophe Chamley. Strategic complementarity of information
Parameter sensitivity of CIR process
Parameter sensitivity of CIR process Sidi Mohamed Ould Aly To cite this version: Sidi Mohamed Ould Aly. Parameter sensitivity of CIR process. Electronic Communications in Probability, Institute of Mathematical
Equilibrium payoffs in finite games
Equilibrium payoffs in finite games Ehud Lehrer, Eilon Solan, Yannick Viossat To cite this version: Ehud Lehrer, Eilon Solan, Yannick Viossat. Equilibrium payoffs in finite games. Journal of Mathematical
Networks Performance and Contractual Design: Empirical Evidence from Franchising
Networks Performance and Contractual Design: Empirical Evidence from Franchising Magali Chaudey, Muriel Fadairo To cite this version: Magali Chaudey, Muriel Fadairo. Networks Performance and Contractual
Motivations and Performance of Public to Private operations : an international study
Motivations and Performance of Public to Private operations : an international study Aurelie Sannajust To cite this version: Aurelie Sannajust. Motivations and Performance of Public to Private operations
BDHI: a French national database on historical floods
BDHI: a French national database on historical floods M. Lang, D. Coeur, A. Audouard, M. Villanova Oliver, J.P. Pene To cite this version: M. Lang, D. Coeur, A. Audouard, M. Villanova Oliver, J.P. Pene.
Optimal Tax Base with Administrative fixed Costs
Optimal Tax Base with Administrative fixed osts Stéphane Gauthier To cite this version: Stéphane Gauthier. Optimal Tax Base with Administrative fixed osts. Documents de travail du entre d Economie de la
Ricardian equivalence and the intertemporal Keynesian multiplier
Ricardian equivalence and the intertemporal Keynesian multiplier Jean-Pascal Bénassy To cite this version: Jean-Pascal Bénassy. Ricardian equivalence and the intertemporal Keynesian multiplier. PSE Working
Ability of greens and supergreens to influence environmental regulations
Ability of greens and supergreens to influence environmental regulations Lenka Wildnerova To cite this version: Lenka Wildnerova. Ability of greens and supergreens to influence environmental regulations.
The Hierarchical Agglomerative Clustering with Gower index: a methodology for automatic design of OLAP cube in ecological data processing context
The Hierarchical Agglomerative Clustering with Gower index: a methodology for automatic design of OLAP cube in ecological data processing context Lucile Sautot, Bruno Faivre, Ludovic Journaux, Paul Molin
Four essays on fiscal policy after the global financial crisis
Four essays on fiscal policy after the global financial crisis Francesco Molteni To cite this version: Francesco Molteni. Four essays on fiscal policy after the global financial crisis. Economies and finances.
A note on health insurance under ex post moral hazard
A note on health insurance under ex post moral hazard Pierre Picard To cite this version: Pierre Picard. A note on health insurance under ex post moral hazard. 2016. HAL Id: hal-01353597
Equivalence in the internal and external public debt burden
Equivalence in the internal and external public debt burden Philippe Darreau, François Pigalle To cite this version: Philippe Darreau, François Pigalle. Equivalence in the internal and external public
French German flood risk geohistory in the Rhine Graben
French German flood risk geohistory in the Rhine Graben Brice Martin, Iso Himmelsbach, Rüdiger Glaser, Lauriane With, Ouarda Guerrouah, Marie - Claire Vitoux, Axel Drescher, Romain Ansel, Karin Dietrich
Tracing value added in gross exports of the automotive industry : the case of France and Germany
Tracing value added in gross exports of the automotive industry : the case of France and Germany Katharina Birgitta Längle To cite this version: Katharina Birgitta Längle. Tracing value added in gross
IS-LM and the multiplier: A dynamic general equilibrium model
IS-LM and the multiplier: A dynamic general equilibrium model Jean-Pascal Bénassy To cite this version: Jean-Pascal Bénassy. IS-LM and the multiplier: A dynamic general equilibrium model. PSE Working Papers
Carbon Prices during the EU ETS Phase II: Dynamics and Volume Analysis
Carbon Prices during the EU ETS Phase II: Dynamics and Volume Analysis Julien Chevallier To cite this version: Julien Chevallier. Carbon Prices during the EU ETS Phase II: Dynamics and Volume Analysis.
About the reinterpretation of the Ghosh model as a price model
About the reinterpretation of the Ghosh model as a price model Louis De Mesnard To cite this version: Louis De Mesnard. About the reinterpretation of the Ghosh model as a price model. [Research Report]
The German unemployment since the Hartz reforms: Permanent or transitory fall?
The German unemployment since the Hartz reforms: Permanent or transitory fall? Gaëtan Stephan, Julien Lecumberry To cite this version: Gaëtan Stephan, Julien Lecumberry. The German unemployment since the
Administering Systemic Risk vs. Administering Justice: What Can We Do Now that We Have Agreed to Pay Differences?
Administering Systemic Risk vs. Administering Justice: What Can We Do Now that We Have Agreed to Pay Differences? Pierre-Charles Pradier To cite this version: Pierre-Charles Pradier. Administering Systemic
On some key research issues in Enterprise Risk Management related to economic capital and diversification effect at group level
On some key research issues in Enterprise Risk Management related to economic capital and diversification effect at group level Wayne Fisher, Stéphane Loisel, Shaun Wang To cite this version: Wayne Fisher,
The Quantity Theory of Money Revisited: The Improved Short-Term Predictive Power of of Household Money Holdings with Regard to prices
The Quantity Theory of Money Revisited: The Improved Short-Term Predictive Power of of Household Money Holdings with Regard to prices Jean-Charles Bricongne To cite this version: Jean-Charles Bricongne.
Control-theoretic framework for a quasi-newton local volatility surface inversion
Control-theoretic framework for a quasi-newton local volatility surface inversion Gabriel Turinici To cite this version: Gabriel Turinici. Control-theoretic framework for a quasi-newton local volatility
Money in the production function: a new Keynesian DSGE perspective
Money in the production function: a new Keynesian DSGE perspective Jonathan Benchimol This version: December 8th, First version: June 7th, Abstract This paper proposes a New Keynesian Dynamic Stochastic
Dynamics of the exchange rate in Tunisia
Dynamics of the exchange rate in Tunisia Ammar Samout, Nejia Nekâa To cite this version: Ammar Samout, Nejia Nekâa. Dynamics of the exchange rate in Tunisia. International Journal of Academic Research
A Note on fair Value and Illiquid Markets
A Note on fair Value and Illiquid Markets Dominique Guegan, Chafic Merhy To cite this version: Dominique Guegan, Chafic Merhy. A Note on fair Value and Illiquid Markets. Documents de travail du Centre
Why ruin theory should be of interest for insurance practitioners and risk managers nowadays
Why ruin theory should be of interest for insurance practitioners and risk managers nowadays Stéphane Loisel, Hans-U. Gerber To cite this version: Stéphane Loisel, Hans-U. Gerber. Why ruin theory should
A Multidimensional Perspective of Poverty, and its Relation with the Informal Labor Market: An Application to Ecuadorian and Turkish Data
A Multidimensional Perspective of Poverty, and its Relation with the Informal Labor Market: An Application to Ecuadorian and Turkish Data Armagan-Tuna Aktuna Gunes, Carla Canelas To cite this version:
Yield to maturity modelling and a Monte Carlo Technique for pricing Derivatives on Constant Maturity Treasury (CMT) and Derivatives on forward Bonds
Yield to maturity modelling and a Monte Carlo echnique for pricing Derivatives on Constant Maturity reasury (CM) and Derivatives on forward Bonds Didier Kouokap Youmbi o cite this version: Didier Kouokap
European Debt Crisis: How a Public debt Restructuring Can Solve a Private Debt issue
European Debt Crisis: How a Public debt Restructuring Can Solve a Private Debt issue David Cayla To cite this version: David Cayla. European Debt Crisis: How a Public debt Restructuring Can Solve a Private
The Riskiness of Risk Models
The Riskiness of Risk Models Christophe Boucher, Bertrand Maillet To cite this version: Christophe Boucher, Bertrand Maillet. The Riskiness of Risk Models. Documents de travail du Centre d Economie de
Money and monetary policy in the Eurozone: an empirical analysis during crises
Money and monetary policy in the Eurozone: an empirical analysis during crises Money Macro and Finance Research Group 46 th Annual Conference Jonathan Benchimol 1 and André Fourçans 2 This presentation
L imageur Interférométrique de Fresnel: un instrument spatial pour l observation à haute résolution angulaire
L imageur Interférométrique de Fresnel: un instrument spatial pour l observation à haute résolution angulaire Denis Serre To cite this version: Denis Serre. L imageur Interférométrique de Fresnel: un instrument
Essays on Supervisory stress tests and information disclosure
Essays on Supervisory stress tests and information disclosure Moustapha Daouda Dala To cite this version: Moustapha Daouda Dala. Essays on Supervisory stress tests and information disclosure. Economies
The Sustainability and Outreach of Microfinance Institutions
The Sustainability and Outreach of Microfinance Institutions Jaehun Sim, Vittaldas Prabhu To cite this version: Jaehun Sim, Vittaldas Prabhu. The Sustainability and Outreach of Microfinance Institutions.
What first assessment can be made of the monetary strategy since 1999?
What first assessment can be made of the monetary strategy since 1999? Jean-Paul Fitoussi To cite this version: Jean-Paul Fitoussi. What first assessment can be made of the monetary strategy since 1999?.
Reduced complexity in M/Ph/c/N queues
Reduced complexity in M/Ph/c/N queues Alexandre Brandwajn, Thomas Begin To cite this version: Alexandre Brandwajn, Thomas Begin. Reduced complexity in M/Ph/c/N queues. [Research Report] RR-8303, INRIA.
The Pass-Through of Exchange Rate Changes to Prices in the Euro Area: An Empirical Investigation
The Pass-Through of Exchange Rate Changes to Prices in the Euro Area: An Empirical Investigation Nidhaleddine Ben Cheikh To cite this version: Nidhaleddine Ben Cheikh. The Pass-Through of Exchange Rate
Insider Trading with Different Market Structures
Insider Trading with Different Market Structures Wassim Daher, Fida Karam, Leonard J. Mirman To cite this version: Wassim Daher, Fida Karam, Leonard J. Mirman. Insider Trading with Different Market Structures.
Do Professional Economists Forecasts Reflect Okun s Law? Some Evidence for the G7 Countries
Do Professional Economists Forecasts Reflect Okun s Law? Some Evidence for the G Countries Georg Stadtmann, Jan-Christoph Ruelke Christian Pierdzioch To cite this version: Georg Stadtmann, Jan-Christoph
An effective equity model allowing long term investments within the framework of Solvency II
An effective equity model allowing long term investments within the framework of Solvency II Mohamed Majri, François-Xavier De Lauzon To cite this version: Mohamed Majri, François-Xavier De Lauzon. An
Application of Modigliani-Miller theorem to banking sector
Application of Modigliani-Miller theorem to banking sector Maria Chesnokova To cite this version: Maria Chesnokova. Application of Modigliani-Miller theorem to banking sector. Economies and finances. 2015.
Endogenous interest rate with accommodative money supply and liquidity preference
Endogenous interest rate with accommodative money supply and liquidity preference Angel Asensio To cite this version: Angel Asensio. Endogenous interest rate with accommodative money supply and liquidity
SMS Financing by banks in East Africa: Taking stock of regional developments
SMS Financing by banks in East Africa: Taking stock of regional developments Adeline Pelletier To cite this version: Adeline Pelletier. SMS Financing by banks in East Africa: Taking stock of regional developments.
Characterization of bijective discretized rotations by Gaussian integers
Characterization of bijective discretized rotations by Gaussian integers Tristan Roussillon, David Coeurjolly To cite this version: Tristan Roussillon, David Coeurjolly. Characterization of bijective discretized
Dividend payment behavior of European listed firms : Three essays
Dividend payment behavior of European listed firms : Three essays Ijaz Ali To cite this version: Ijaz Ali. Dividend payment behavior of European listed firms : Three essays. Business administration. Université
SIXTH SUPPLEMENT DATED 16 MARCH 2015 TO THE DEBT ISSUANCE PROGRAMME PROSPECTUS DATED 23 APRIL 2014
SIXTH SUPPLEMENT DATED 16 MARCH 2015 TO THE DEBT ISSUANCE PROGRAMME PROSPECTUS DATED 23 APRIL 2014 TOTAL S.A., TOTAL CAPITAL, TOTAL CAPITAL CANADA LTD. and TOTAL CAPITAL INTERNATIONAL 26,000,000,000 (increased
Insider Trading in a Two-Tier real market structure model
Insider Trading in a Two-Tier real market structure model Wassim Daher, Fida Karam To cite this version: Wassim Daher, Fida Karam. Insider Trading in a Two-Tier real market structure model. Documents de
The Z-score is dead, long live the Z-score! A new way to measure bank risk
The Z-score is dead, long live the Z-score! A new way to measure bank risk Ion Lapteacru To cite this version: Ion Lapteacru. The Z-score is dead, long live the Z-score! A new way to measure bank risk.
Two dimensional Hotelling model : analytical results and numerical simulations
Two dimensional Hotelling model : analytical results and numerical simulations Hernán Larralde, Pablo Jensen, Margaret Edwards To cite this version: Hernán Larralde, Pablo Jensen, Margaret Edwards. Two
Insider Trading With Product Differentiation
Insider Trading With Product Differentiation Wassim Daher, Harun Aydilek, Fida Karam, Asiye Aydilek To cite this version: Wassim Daher, Harun Aydilek, Fida Karam, Asiye Aydilek. Insider Trading With Product
DETERMINANTS, CONSEQUENCES AND A POLICY RESPONSE TO PRIVATE CAPITAL FLOWS IN DEVELOPING COUNTRIES
DETERMINANTS, CONSEQUENCES AND A POLICY RESPONSE TO PRIVATE CAPITAL FLOWS IN DEVELOPING COUNTRIES Tidiane Kinda To cite this version: Tidiane Kinda. DETERMINANTS, CONSEQUENCES AND A POLICY RESPONSE TO
Inequalities between retirees and workers: an empirical model to capture the effect of taxation
Inequalities between and : an empirical model to capture the effect of taxation Bérangère Legendre To cite this version: Bérangère Legendre. Inequalities between and : an empirical model to capture the
The impact of commitment on nonrenewable resources management with asymmetric information on costs
The impact of commitment on nonrenewable resources management with asymmetric information on costs Julie Ing To cite this version: Julie Ing. The impact of commitment on nonrenewable resources management
Money and monetary policy in Israel during the last decade
Money and monetary policy in Israel during the last decade Money Macro and Finance Research Group 47 th Annual Conference Jonathan Benchimol 1 This presentation does not necessarily reflect the views of
THIRD SUPPLEMENT TO THE BASE PROSPECTUS DATED 3 SEPTEMBER RCI BANQUE (incorporated in France as a "société anonyme")
THIRD SUPPLEMENT TO THE BASE PROSPECTUS DATED 3 SEPTEMBER 2018 RCI BANQUE (incorporated in France as a "société anonyme") 23,000,000,000 EURO MEDIUM TERM NOTE PROGRAMME This third supplement (the "Supplement")
Structuring Venture Capital Deals
Structuring Venture Capital Deals Shikhir Singh To cite this version: Shikhir Singh. Structuring Venture Capital Deals. Economies and finances. Cass Business School, 2005. HAL Id: tel-00578728
A NEW APPROACH TO THE ROLE OF DEVELOPMENT AID FOR POVERTY REDUCTION TRADING-OFF NEEDS AGAINST GOVERNANCE
A NEW APPROACH TO THE ROLE OF DEVELOPMENT AID FOR POVERTY REDUCTION TRADING-OFF NEEDS AGAINST GOVERNANCE Jean-Philippe Platteau, François Bourguignon To cite this version: Jean-Philippe Platteau, François
Supplement N 1 Dated 9 September 2016 To the Base Prospectus dated 27 July 2016 CRÉDIT MUTUEL ARKÉA 13,000,000,000 EURO MEDIUM TERM NOTE PROGRAMME
Supplement N 1 Dated 9 September 2016 To the Base Prospectus dated 27 July 2016 CRÉDIT MUTUEL ARKÉA 13,000,000,000 EURO MEDIUM TERM NOTE PROGRAMME This supplement (the Supplement ) is supplemental to,
Towards New Technical Indicators for Trading Systems and Risk Management
Towards New Technical Indicators for Trading Systems and Risk Management Michel Fliess, Cédric Join To cite this version: Michel Fliess, Cédric Join. Towards New Technical Indicators for Trading Systems
Dealing with the ECB s triple mandate?
Dealing with the ECB s triple mandate? Christophe Blot, Jérôme Creel, Paul Hubert, Fabien Labondance To cite this version: Christophe Blot, Jérôme Creel, Paul Hubert, Fabien Labondance. Dealing with the
The impact of the catering theory and financial firms characteristics on dividend decisions: the case of the French market
The impact of the catering theory and financial firms characteristics on dividend decisions: the case of the French market Kamal Anouar To cite this version: Kamal Anouar. The impact of the catering theory
BANQUE PALATINE (société anonyme à conseil d administration) 5,000,000,000 Euro Medium Term Note Programme
Prospectus Supplement n 16-399 dated 22 August 2016 to the Base Prospectus dated 4 July 2016 BANQUE PALATINE (société anonyme à conseil d administration) 5,000,000,000 Euro Medium Term Note Programme This
Stochastic Models for Production/Inventory Planning: Application to Short Life-Cycle Products
Stochastic Models for Production/Inventory Planning: Application to Short Life-Cycle Products Ali Cheaitou To cite this version: Ali Cheaitou. Stochastic Models for Production/Inventory Planning: Application
FIRST SUPPLEMENT DATED 31 AUGUST 2015 TO THE BASE PROSPECTUS DATED 24 JULY 2015
FIRST SUPPLEMENT DATED 31 AUGUST TO THE BASE PROSPECTUS DATED 24 JULY Crédit Mutuel-CIC Home Loan SFH (société de financement de l'habitat duly licensed as a French specialised credit institution) 30,000,000,000
ESSAYS ON BANK CAPITAL REGULATION
UNIVERSITE DE LIMOGES ECOLE DOCTORALE Sociétés et organisations n 526 FACULTE de Droit et des Sciences Economiques Laboratoire d Analyse et de Prospective Economiques (LAPE) EA1088 Thèse pour obtenir le
Analysing French Pension Reforms
Analysing French Pension Reforms Anne Lavigne To cite this version: Anne Lavigne. Analysing French Pension Reforms. The Geneva Papers on Risk and Insurance: issues and practice, Blackwell Publishing, 2003,
Investor sophistication and earnings management during economic crisis: evidence from the banking industry
Investor sophistication and earnings management during economic crisis: evidence from the banking industry Oudam Toeung To cite this version: Oudam Toeung. Investor sophistication and earnings management
Price and Income Elasticities in LAC Countries: The Importance of Domestic Production
Price and Income Elasticities in LAC Countries: The Importance of Domestic Production Carla Canelas, François Gardes, Silvia Salazar To cite this version: Carla Canelas, François Gardes, Silvia Salazar.
The impact of leverage reduction on the equity risk level of the firm : an exploratory study of French firms
The impact of leverage reduction on the equity risk level of the firm : an exploratory study of French firms Rahim Bah To cite this version: Rahim Bah. The impact of leverage reduction on the equity risk
Toward an understanding of the IAS 39 derecognition principles: An application to the factoring transactions reporting
Toward an understanding of the IAS 39 derecognition principles: An application to the factoring transactions reporting Lionel Escaffre, Olivier Ramond To cite this version: Lionel Escaffre, Olivier Ramond.
EXCHANGE RATE POLICY AND PRODUCTIVITY
EXCHANGE RATE POLICY AND PRODUCTIVITY Ibrahima Amadou Diallo To cite this version: Ibrahima Amadou Diallo. EXCHANGE RATE POLICY AND PRODUCTIVITY. Economies et finances. Université d Auvergne - Clermont-Ferrand
Accruals in High Tech Industries
Accruals in High Tech Industries Charlotte Disle, Ignace De Beelde, Rémi Janin To cite this version: Charlotte Disle, Ignace De Beelde, Rémi Janin. Accruals in High Tech Industries. La place de la dimension
Mr Christian MULLIEZ Executive Vice President, Administration & Finance. Annual General Meeting April 27 th, 2010
Mr Christian MULLIEZ Executive Vice President, Administration & Finance Annual General Meeting 1 2009 consolidated group sales 17 542 17 473 Growth at constant exchange rates + 0.8 % Of which : Like for
European(s) labor(s) Market(s)
European(s) labor(s) Market(s) Gerard Cornilleau To cite this version: Gerard Cornilleau. European(s) labor(s) Market(s). Revue de l OFCE - Debates and Policies, 2014, pp.201-212. HAL Id:
Wage bargaining with non-stationary preferences under strike decision
Wage bargaining with non-stationary preferences under strike decision Ahmet Ozkardas, Agnieszka Rusinowska To cite this version: Ahmet Ozkardas, Agnieszka Rusinowska. Wage bargaining with non-stationary
Fabien Millioz, Nadine Martin. To cite this version: HAL Id: hal
Estimation of a white Gaussian noise in the Short Time Fourier Transform based on the spectral kurtosis of the minimal statistics: application to underwater noise Fabien Millioz, Nadine Martin To cite
BANQUE PALATINE (société anonyme à conseil d administration) 5,000,000,000 Euro Medium Term Note Programme
Prospectus Supplement n 18-121 dated 09 April 2018 to the Base Prospectus dated 3 July 2017 BANQUE PALATINE (société anonyme à conseil d administration) 5,000,000,000 Euro Medium Term Note Programme This
Statistical method to estimate regime-switching Lévy model.
Statistical method to estimate regime-switching Lévy model Julien Chevallier, Stéphane Goutte To cite this version: Julien Chevallier, Stéphane Goutte. 2014. Statistical method to estimate
The Whys of the LOIS: Credit Skew and Funding Spread Volatility
The Whys of the LOIS: Credit Skew and Funding Spread Volatility Stéphane Crépey, Raphaël Douady To cite this version: Stéphane Crépey, Raphaël Douady. The Whys of the LOIS: Credit Skew and Funding Spread
Conditional Markov regime switching model applied to economic modelling.
Conditional Markov regime switching model applied to economic modelling. Stéphane Goutte To cite this version: Stéphane Goutte. Conditional Markov regime switching model applied to economic modelling..
Relevancy of the Cost-of-Capital Rate for the Insurance Companies
Relevancy of the Cost-of-Capital Rate for the Insurance Companies Mathieu Gatumel To cite this version: Mathieu Gatumel. Relevancy of the Cost-of-Capital Rate for the Insurance Companies. Documents de
Are the Islamic indexes size or sector oriented? evidence from Dow Jones Islamic indexes
Are the Islamic indexes size or sector oriented? evidence from Dow Jones Islamic indexes Amélie Charles, Olivier Darné To cite this version: Amélie Charles, Olivier Darné. Are the Islamic indexes size
The distortionary effect of monetary policy: credit expansion vs. lump-sum transfers in the lab
The distortionary effect of monetary policy: credit expansion vs. lump-sum transfers in the lab Romain Baeriswyl, Camille Cornand To cite this version: Romain Baeriswyl, Camille Cornand. The distortionary
The extreme downside risk of the S P 500 stock index
The extreme downside risk of the S P 500 stock index Sofiane Aboura To cite this version: Sofiane Aboura. The extreme downside risk of the S P 500 stock index. Journal of Financial Transformation, 2009,
A Centrality-based RSU Deployment Approach for Vehicular Ad Hoc Networks
A Centrality-based RSU Deployment Approach for Vehicular Ad Hoc etwors Zhenyu Wang, Jun Zheng, Yuying Wu, athalie Mitton To cite this version: Zhenyu Wang, Jun Zheng, Yuying Wu, athalie Mitton. A Centrality-based
The Segmentation of Public Labour Market in France
The Segmentation of Public Labour Market in France Aurélie Peyrin To cite this version: Aurélie Peyrin. The Segmentation of Public Labour Market in France. 36th Annual Conference of the International Working
Inefficient Lock-in with Sophisticated and Myopic Players
Inefficient Lock-in with Sophisticated and Myopic Players Aidas Masiliunas To cite this version: Aidas Masiliunas. Inefficient Lock-in with Sophisticated and Myopic Players. 2016. HAL
A Fast Algorithm for Computing Binomial Coefficients Modulo Powers of Two
A Fast Algorithm for Computing Binomial Coefficients Modulo Powers of Two Mugurel Ionut Andreica To cite this version: Mugurel Ionut Andreica. A Fast Algorithm for Computing Binomial Coefficients Modulo
First Supplement dated 5 October 2017 to the Euro Medium Term Note Programme Base Prospectus dated 14 September 2017
First Supplement dated 5 October 2017 to the Euro Medium Term Note Programme Base Prospectus dated 14 September 2017 HSBC France 20,000,000,000 Euro Medium Term Note Programme This first supplement (the
Combining Monte Carlo Simulations and Options to Manage the Risk of Real Estate Portfolios
Combining Monte Carlo Simulations and Options to Manage the Risk of Real Estate Portfolios Charles-Olivier Amédée-Manesme, Michel Baroni, Fabrice Barthélémy, Etienne Dupuy To cite this version: Charles-Olivier
ACCESS TO EMPLOYMENT WITH AGE AND GENDER: RESULTS OF A CONTROLLED EXPERIMENT
ACCESS TO EMPLOYMENT WITH AGE AND GENDER: RESULTS OF A CONTROLLED EXPERIMENT Laetitia Challe, Florent Fremigacci, François Langot, Yannick L Horty, Loïc Du Parquet, Pascale Petit To cite this version:
Creating a winner s curse via jump bids
Creating a winner s curse via jump bids David Ettinger, Fabio Michelucci To cite this version: David Ettinger, Fabio Michelucci. Creating a winner s curse via jump bids. Review of Economic Design, Springer
Alerte de votre conseiller Point de vue sur les IFRS Comptabilisation des fonds détenus au nom de clients
Alerte de votre conseiller Point de vue sur les IFRS Comptabilisation des fonds détenus au nom de clients Octobre 2018 Aperçu L équipe IFRS de Grant Thornton International a publié IFRS Viewpoint Accounting