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Craig Burnside (Duke University)
Toulouse : TSE, 21 novembre 2011, 17h00–18h30, salle Amphi S
We examine the empirical properties of the payoffs to two popular currency speculation strategies: the carry trade and momentum. We review three possible explanations for the apparent profitability of these strategies. The first is that speculators are being compensated for bearing risk. The second...
Jianjun Miao (University of Boston)
TSE, 21 novembre 2011, 12h30–13h45, salle MF 323
We provide an infinite-horizon model of a production economy with credit-driven bubbles, in which firms meet stochastic investment opportunities and face credit constraints. Capital is not only an input for production, but also serves as collateral. We show that bubbles on this reproducible asset...
John Beghin (Iowa State University)
Toulouse : TSE, 21 novembre 2011, 11h00–12h30, salle MF 323
We extend the existing literature on food taxes targeting obesity. We systematically incorporate the implicit substitution between added sugars and solid fats into a comprehensive food demand system and evaluate the effect of taxes on sugars and fats. The approach conditions how food and obesity...
Alexandre D'Aspremont (Ecole Polytechnique)
Toulouse : TSE, 18 novembre 2011, 13h45–15h00, salle MS 003
This talk will focus on covariance selection and its applications in finance. We will explore some dependence patterns in financial time series with a particular focus on interest rates and hedge fund returns. We will also discuss consistency results and cross validation procedures.
Toulouse, France, 18 novembre 2011
Adam Harris (University College London)
Toulouse : IAST, 17 novembre 2011, 15h30–17h00, salle MF323
A robust finding in social psychology is that people judge negative events as less likely to happen to themselves than to the average person, a behavior interpreted as showing that people are “unrealistically optimistic” in their judgments of risk concerning future life events. However, I...
Paula Margaretic (Toulouse School of Economics)
Toulouse : TSE, 17 novembre 2011, 12h45–14h00, salle MF 323
We introduce correlation between states of the economy in two regions. Each region is populated by a single bank, which receives agents’ deposits and invests them in a risky productive technology. The productive technology allows the risky asset to offer a higher return if held until maturity. The...
Maitreesh Ghatak (London School of Economics)
Toulouse : TSE, 17 novembre 2011, 11h00–12h30, salle MF 323
This paper contrasts the behavior of lenders with market power with competitive lenders in an environment where borrowers are collateral-poor but lenders can use implicit or explicit joint liability, leveraging the social capital that borrowers might have among themselves. We show that joint...
Robert Miller (Tepper School of Business at Carnegie Mellon)
Toulouse : TSE, 15 novembre 2011, 15h30–17h00, salle Amphi S
This paper develops an equilibrium model of the executive labor market, analyzes identification issues, and estimates it with a matched panel of firms and executives to quantify the roles of moral hazard, human capital, career concerns, and bargaining between executives and employers. We find that...
Christine Thomas-Agnan (Toulouse School of Economics - GREMAQ)
Toulouse : TSE, 15 novembre 2011, 14h00–15h30, salle MF323
In a first part, we review the literature about classical hedonic pricing models for real estate. Dubin (1988) introduced spatial autocorrelation in the real estate literature. Indeed house values depend on distance to various amenities so that neighboring houses should be affected similarly by...
