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In the context of credit scoring, ensemble methods based on decision trees, such as the random forest method, provide better classification performance than standard logistic regression models. However, logistic regression remains the benchmark in the credit risk industry mainly because the lack of interpretability of ensemble methods is incompatible with the requirements of financial regulators. In this paper, we pro-pose to obtain the best of both worlds by introducing a high-performance and interpretable credit scoring method called penalised logistic tree regression (PLTR), which uses information from decision trees to improve the performance of logistic regression. Formally, rules extracted from various short-depth decision trees built with pairs of predictive variables are used as predictors in a penalised logistic regression model. PLTR allows us to capture non-linear effects that can arise in credit scoring data while preserving the intrinsic interpretability of the logistic regression model. Monte Carlo simulations and empirical applications using four real credit default datasets show that PLTR predicts credit risk significantly more accurately than logistic regression and compares competitively to the random forest method. JEL Classification: G10 C25, C53

Dans ses romans comme dans ses essais, Felwine Sarr place les notions de relation et d’alterite au cœur de sa reflexion. Il evoque dans cet entretien le role propre de la litterature – fiction ou poesie – dans la production de ces liens, et l’emergence d’espaces politiques communs.

We derive several popular systemic risk measures in a common framework and show that they can be expressed as transformations of market risk measures (e.g., beta). We also derive conditions under which the different measures lead to similar rankings of systemically important financial institutions (SIFIs). In an empirical analysis of US financial institutions, we show that (1) different systemic risk measures identify different SIFIs and that (2) firm rankings based on systemic risk estimates mirror rankings obtained by sorting firms on market risk or liabilities. One-factor linear models explain most of the variability of the systemic risk estimates, which indicates that systemic risk measures fall short in capturing the multiple facets of systemic risk.

Document de Recherche du Laboratoire d’Économie d’Orléans DR LEO 2016-20; A rapidly growing body of research examines the relationship between migration and institutions. Three strands of studies can be distinguished. Some studies focused on the role of domestic and foreign institutions in the decision to migrate. Others were interested by the impact of migration on institutional reforms in migrants' countries of origin. While the effect of migration on destination countries is largely documented, recent studies focus on how migrants affect social and informal institutions in the destination countries. This survey puts together these three strands of literature with three purposes. First, we offer a short definition and synthetic typology of institutions, which provide a guide to understand several studies summarized and their results. Second, our analysis is presented following the analytic framework exit,voice and loyalty of Hirschman in order to highlight the brain grain phenomenon for developing countries, from an institutional point of view. Third, we review the limited existing work on the very timely topic, whether migrants are harmful or not to institutions in the host countries.

We address the calibration constraint of probability forecasting. We propose a generic method for recalibration, which allows us to enforce this constraint. It remains to be known the impact on forecast quality, measured by predictive distributions sharpness, or specific scores. We show that the impact on the Continuous Ranked Probability Score (CRPS) is weak under some hypotheses and that it is positive under more restrictive ones. We used this method on temperature ensemble forecasts and compared the quality of the recalibrated forecasts with that of the raw ensemble and of a more specific method, that is Ensemble Model Output Statistics (EMOS). Better results are shown with our recalibration rather than with EMOS in this case study.

International audience

Using French administrative data, we assess the impact of the 1993 pension reform on private sector retirees' pension wealth. This pension reform by its design has created incentives to postpone retirement by increasing the contributory record to qualify for a full pension and through pension haircuts for individuals not fulfilling the conditions to be eligible to a full pension (either not reaching the legal retirement age or not having the required contributory period). We show that the reform has globally reduced retirees' pension wealth, especially for retires having retired after 2004 or having postponed their retirement beyond the legal age of retirement. The reform has also had a significant impact on the distribution of pension wealth among retirees.; A l'aide des données de l'Echantillon Interrégimes des Retraités de 2008, nous quantifions les effets de la réforme des retraites de 1993 sur l'équivalent patrimonial des droits à retraite (EPDR) des retraités du régime général. Cet indicateur qui représente la pension probable cumulée à percevoir pendant la retraite permet d'estimer les effets liés au report de l'âge de liquidation et à la décote sur la pension induits par l'allongement de la durée d'assurance requise pour une retraite à taux plein. Nous montrons que cette mesure a globalement réduit l'EPDR des retraités, de manière plus importante pour les retraités ayant liquidé leurs droits après 2004 ou ayant reporté leur départ après 60 ans. Elle a également affecté la distribution de l'EPDR parmi les retraités.

International audience; Combining geothermal energy and CCS (Carbon Capture and Storage) is a technological solution that uses the same aquifer to provide heat and to store CO2, after dissolving it into the brine, leading to a close loop, as proposed in the CO2-DISSOLVED concept. This technology is more relevant for small-scale emitters - such as biorefineries - than CCS with postcombustion and storage at a supercritical state, which requires larger scale effects i.e., most power generation plants using fossil fuels. Based on a techno-economic analysis, we provide insights on the role of CO2-DISSOLVED in the sustainable transition. Contrary to conventional CCS on fossil fuels, CO2-DISSOLVED appears as a bridge towards renewable energies, and acts as a complementary technology, enlarging the potential of CCS for small or medium industrial emitters. This innovation enriches the portfolio of CCS combinations with renewable energies, like BECCS (BioEnergies and CCS). It helps then to overcome the current debates CCS versus renewable energies, showing a large gradient of situations. According to the Multi-Level Perspective (MLP) of sustainable transition, CO2-DISSOLVED could contribute to the transformation of the existing socio-technical system, and to its reconfiguration towards renewable sources of energy. As other competing technologies, it could play a rising role in the modification of the energy system. Then, focusing only on CCS implemented on large-scale emitters constitutes a narrow vision of CCS potential in the sustainable transition.

International audience; Using the “Échantillon Inter-régimes des Retraités” (EIR) 2008 and 2012 panel data, we calculate retirees’ pension wealth (consumed and residual) at an aggregate level and provide in-depth results by type of pension scheme and by management fund. We put an emphasis on direct pensions already perceived by retirees and to be paid in the future, without taking into account current contributors’ future retirement. We find that overall pension wealth is not very sensitive to the discount rate, but this result does not hold if we concentrate on pension wealth still to be paid. From this point of view, it must be noted that some of the funds have a high proportion of pension still to be paid. Moreover, whatever the type of pension wealth calculated, the results show a rapid increase from 2008 to 2012 (except for the basic scheme for farmers). Finally, spread indicators and the Gini index of pension wealth are relatively higher than those found in the distribution of labor income by other studies. We find that there are more inequalities in the private sector than in the public, particularly in the private sector for complementary pension schemes.; En nous appuyant sur les Échantillons Inter-régimes des retraités (EIR) de 2008 et de 2012, nous calculons l’équivalent patrimonial des droits à la retraite (EPDR) à un niveau agrégé, tout en présentant le détail par régime et par caisse. Pour ce faire, nous raisonnons en système fermé, à savoir que seules les pensions de droit direct déjà liquidées ou à verser aux actuels retraités sont prises en compte. Il apparaît que si l’EPDR global est peu sensible au taux d’actualisation, tel n’est pas le cas lorsqu’on se concentre sur celui à verser. Or, de ce point de vue, certaines caisses se caractérisent par un EPDR à verser nettement plus important. Par ailleurs, quel que soit le type d’EPDR envisagé (par régime, par caisse...), celui-ci a nettement progressé depuis 2008 sauf pour le régime de base des exploitants agricoles. Enfin, les indicateurs de dispersion et de concentration de l’EPDR sont à des niveaux élevés, nettement supérieurs à ceux observés sur les revenus d’activité. Il apparaît de plus grandes inégalités dans le secteur privé, particulièrement dans le cadre des régimes complémentaires.

International audience; Cet article propose une mise en perspective théorique de la localisation du travail et des entreprises en lien avec la compétitivité des territoires. La localisation est ainsi analysée sous trois angles : en lien avec la mobilité de la main-d’œuvre et ceci dans une approche d’économie géographique ; à travers les choix de localisation des firmes, dans une perspective de commerce international et de localisation des multinationales ; et par rapport au développement et à la concentration des services, des technologies et des connaissances. Ces approches complémentaires nous permettent de dresser une analyse globale des dynamiques de localisation, phénomène qui sera amplement analysé par la suite dans les articles présents dans ce numéro spécial.

The arbitrage between financial stability and the efficiency of banking systems has always been a key issue indefining the prudential regulation. This thesis analyses how this arbitrage is conceived and the extent to which itallows to reconcile the two objectives, namely the cost and the benefits of the new regulatory framework. We firstfocus on the impact of the new capital and liquidity requirements on the cost of capital and on banking activities. Ourfindings indicate that, globally, the cost of the recent reform is relatively low and does not have a significant impacton lending. We also emphasize a differentiated effect according to banks’ size, systemic importance and businessmodel. The existence of various distortions, affecting the pricing of risk, motivates the second part of the thesis, whichis dedicated to the analysis of implicit guarantees. We also assess the impact of resolution regimes and practices inending the too big to fail anomaly. Although ambitious measures have been undertaken, there is still a way to go toeliminate these distortions. In the third part, we examine the contribution of solvency and liquidity requirements tostrengthen the resilience of banks. The results indicate that setting up good incentives, through adequate prudentialstandards, could efficiently reduce financial risks (default probability, systemic risk, capital shortfall in case of adversescenario). The approach adopted in this thesis focuses on microeconomic aspects and is based on empirical studiesapplied to a sample of European banks., L’arbitrage entre la stabilité et l’efficience des systèmes bancaires a toujours été au coeur de la définition desdispositifs de régulation bancaire. Cette thèse analyse comment cet arbitrage a été conçu et dans quelle mesure ila permis de concilier les deux types d’objectifs, c’est-à-dire les coûts et les bénéfices de la nouvelle réglementation.Nous évaluons, dans une première partie, l’impact des exigences renforcées en fonds propres et en liquidité sur lecoût du capital et sur l’activité bancaire. Les résultats empiriques montrent de manière générale que les coûts desnormes imposées par Bâle III sont relativement faibles et ont un impact limité sur l’activité de crédit. Nous mettonsen évidence un effet différencié selon les différentes catégories de banques, selon leur taille, importance systémique oubusiness model. Un autre constat tiré de cette étude concerne les anomalies dans la tarification du risque, généréespar l’existence des garanties implicites. C’est pourquoi, la seconde partie est consacrée à leur analyse approfondie etaux mesures mises en place pour éliminer le fameux problème de too big to fail. Même si des mesures ambitieusesont été adoptées par les autorités de régulation, les distorsions liées à l’activité des banques TBTF persistent. On envient à s’interroger, dans le cadre de la dernière partie, sur l’amélioration de la stabilité des institutions. Les résultatsmontrent que la mise en place des bonnes incitations, notamment grâce à des standards prudentiels adéquats, pourraits’avérer comme une solution efficiente pour réduire les risques financiers (probabilité de défaut, sensibilité au risquesystémique, perte en cas de scénario adverse). Ces différentes questions sont analysées pour les banques européennes.La démarche retenue est principalement empirique et les aspects microéconomiques ont été privilégiés.

This article aims at pointing the extreme heterogeneity of the survivor’s pension benefit system in France and at proposing solutions to overcome this complexity. We advocate a unified system based on splitting the pension rights among the couples (being they married or just registered) as it exists for example in Germany. This reform would be more efficient if it were articulated to a more comprehensive reform encompassing the transition from an annuity-based pension system to notional defined contribution accounts., Après avoir examiné les raisons d’être de dispositifs de réversion (versement d’une fraction de la pension d’un conjoint décédé à son conjoint survivant), nous mettons en évidence les très grandes disparités, de philosophie et de modalités de calcul, des mécanismes de réversion dans les différents régimes de retraite français. Nous suggérons des pistes d’évolution qui vont d’ajustements paramétriques visant à unifier les modalités de calcul de la réversion entre les régimes, à des propositions de partage des droits au sein des couples s’articulant à des réformes plus systémiques de l’ensemble du système de retraite, en points ou en comptes notionnels.

International audience; Forthcoming

L'équivalent patrimonial des droits à retraite (directs ou dérivés) permet d'évaluer la soutenabilité et la générosité des régimes de retraite. A l'aide des données de l'Echantillon Inter-régimes des Retraités de 2008, nous proposons une mesure de cet indicateur pour les assurés à la retraite du système de retraite français. L'objectif de cet article est de discuter des choix méthodologiques retenus à chaque étape de calcul de l'équivalent patrimonial et de souligner les contraintes et les limites spécifiques à un tel exercice. Les résultats obtenus révèlent que les différences entre les régimes de retraite peuvent générer des engagements d'une ampleur variable envers les assurés à la retraite. L'analyse de la concentration montre que la distribution de l'équivalent patrimonial des droits directs est plus inégale entre les assurés aux régimes complémentaires qu'entre les assurés des régimes de base ou intégrés (régime général, SRE-civile par exemple). Les inégalités au sein des régimes et entre les générations dans la distribution de l'équivalent patrimonial tendent globalement à diminuer au fil des générations étudiées.

International audience; Two of the most notable trends in labour markets in Europe are the rise in the number of atypical job contracts (e.g. fixed-term contracts and temporary work) and the increase in job turnover. The concept of “employment vulnerability” can be used to describe these trends, which weaken the employer–employee relationship. In this article, the authors measure this employment vulnerability, for individual European countries, by creating two indices – an “employer-related vulnerability index” and a “job-related vulnerability index” – which are then aggregated to form an overall employment vulnerability index.

International audience; We review the extensive literature on systemic risk and connect it to the current regulatory debate. While we take stock of the achievements of this rapidly growing field, we identify a gap between two main approaches. The first one studies different sources of systemic risk in isolation, uses confidential data, and inspires targeted but complex regulatory tools. The second approach uses market data to produce global measures which are not directly connected to any particular theory, but could support a more efficient regulation. Bridging this gap will require encompassing theoretical models and improved data disclosure.

International audience; Microscopy is the reference standard for routine laboratory diagnosis in faecal parasitology but there is growing interest in alternative methods to overcome the limitations of microscopic examination, which is time-consuming and highly dependent on an operator's skills and expertise. Compared with microscopy, DNA detection by PCR is simple and can offer a better turnaround time. However, PCR performances remain difficult to assess as most studies have been conducted on a limited number of positive clinical samples and used in-house PCR methods. Our aim was to evaluate a new multiplex PCR assay (G-DiaParaTrio; Diagenode Diagnostics), targeting Giardia intestinalis, Cryptosporidium parvum/Cryptosporidium hominis and Entamoeba histolytica. To minimize the turnaround time, PCR was coupled with automated DNA extraction (QiaSymphony; Qiagen). The PCR assay was evaluated using a reference panel of 185 samples established by routine microscopic examination using a standardized protocol including Ziehl-Neelsen staining and adhesin detection by ELISA (E. histolytica II; TechLab). This panel, collected from 12 French parasitology laboratories, included 135 positive samples for G. intestinalis (n = 38), C. parvum/C. hominis (n = 26), E. histolytica (n = 5), 21 other gastrointestinal parasites, together with 50 negative samples. In all, the G-DiaParaTrio multiplex PCR assay identified 38 G. intestinalis, 25 C. parvum/C. hominis and five E. histolytica leading to sensitivity/specificity of 92%/100%, 96%/100% and 100%/100% for G. intestinalis, C. parvum/C. hominis and E. histolytica, respectively. This new multiplex PCR assay offers fast and reliable results, similar to microscopy-driven diagnosis for the detection of these gastrointestinal protozoa, allowing its implementation in routine clinical practice.

International audience

In the context of credit scoring, ensemble methods based on decision trees, such as the random forest method, provide better classification performance than standard logistic regression models. However, logistic regression remains the benchmark in the credit risk industry mainly because the lack of interpretability of ensemble methods is incompatible with the requirements of financial regulators. In this paper, we propose a high-performance and interpretable credit scoring method called penalised logistic tree regression (PLTR), which uses information from decision trees to improve the performance of logistic regression. Formally, rules extracted from various short-depth decision trees built with original predictive variables are used as predictors in a penalised logistic regression model. PLTR allows us to capture non-linear effects that can arise in credit scoring data while preserving the intrinsic interpretability of the logistic regression model. Monte Carlo simulations and empirical applications using four real credit default datasets show that PLTR predicts credit risk significantly more accurately than logistic regression and compares competitively to the random forest method.

International audience

Until now, non-newtonian calculus, multiplicative calculus in particular, has been presented as a curiosity and is nearly ignored for the social scientists field. In this paper, after a brief presentation of this calculus, we try to show how it could be used to re-explore from another perspective classical economic theory, more particularly the economic growth and in the maximum likelihood method from statistics., Jusqu'à présent, le calcul non-newtonien, calcul multiplicatif en particulier, a été présenté comme une curiosité et est presque ignoré dans le domaine des sciences sociales. Dans cet article, après une brève présentation de ce calcul, nous essayons de montrer comment il pourrait être utilisé pour ré-explorer d'un autre point de vue la théorie éconiomique classique, plus particulièrement la croissance économique et, en statistique, la méthode du maximum de vraisemblance des statistiques.

The double-entry bookkeeping promoted by Luca Pacioli in the fifteenth century could be considered a strong argument in behalf of the multiplicative calculus which can be developed from the Grossman and Katz non-newtonian calculus concept. In order to emphasize this statement we present a brief history of the accountancy in its early time and we make the point of Ellerman's research concerning the double-entry bookkeeping., La comptabilité en partie double présentée par Luca Pacioli au quinzième siècle pourrait être considéré comme un argument fort en faveur de la calcul multiplicatif qui peut être développée à partir concept de calcul non-newtonien de Grossman et Katz . Afin de souligner cette affirmation, nous présentons un bref historique de la comptabilité depuis son enfance et nous faisons le point de la recherche d'Ellerman concernant la comptabilité à double entrée.

The development of the newtonian calculus has unexpectedly be a locked-in in such a way that the additive derivative approach of Newton and Leibnitz could have been replaced by a multiplicative one, more adapted to growth phenomenon. In this paper, we have tried to present how a non-newtonian calculus could be applied to re-postulate and analyse the neoclassical exogenous growth model., Le développement de l'analyse newtonienne est de manière inattendue un "lcked-in" parce que la dérivation additive de Newton et Leibniz aurait pu être remplacée par une dérivation multiplicative, plus adaptée aux phénomènes de croissance. Dans ce papier, on a essayé de présenter comment une analyse non-newtonienne peut être utilisée pour réécrire et analyser le modèle de croissance néoclassqiue.

One of the most salient evolutions of labour markets in Europe is the increasing number of atypical job contracts (fixed-term contracts, temporary work) and an augmentation of job turnover. These phenomena weaken the relationship between employers and employees. The concept of employment vulnerability may be accurate to describe current evolutions. Our paper provides a set of new indicators of employment vulnerability for European countries. In the context of an important mobility of workers between European countries, emigration could be seen as a way of escaping from employment vulnerability in the country of origin. In this paper, we would like to test this hypothesis by comparing individual levels of employment vulnerability between migrants and native workers. We implement propensity score matching methods on the European Social Survey (2008). Overall, we show that migrants face the same level of employment vulnerability as natives, all other things being equal. But there are strong differences by skill-level. Low-skilled migrants have a lower level of vulnerability mainly because of a lower level of employer vulnerability. On contrary, high-skilled migrants face a higher level of vulnerability mainly explained by a higher job vulnerability.

This paper proposes an original approach for backtesting systemic risk measures. This backtesting approach makes it possible to assess the systemic risk measure forecasts used to identify the financial institutions that contribute the most to the overall risk in the financial system. Our procedure is based on simple tests similar to those generally used to backtest the standard market risk measures such as value-at-risk or expected shortfall. We introduce a concept of violation associated with the marginal expected shortfall (MES), and we define unconditional coverage and independence tests for these violations. We can generalize these tests to any MES-based systemic risk measures such as the systemic expected shortfall (SES), the systemic risk measure (SRISK), or the delta conditional value-at-risk ([Formula: see text]CoVaR). We study their asymptotic properties in the presence of estimation risk and investigate their finite sample performance via Monte Carlo simulations. An empirical application to a panel of U.S. financial institutions is conducted to assess the validity of MES, SRISK, and [Formula: see text]CoVaR forecasts issued from a bivariate GARCH model with a dynamic conditional correlation structure. Our results show that this model provides valid forecasts for MES and SRISK when considering a medium-term horizon. Finally, we propose an early warning system indicator for future systemic crises deduced from these backtests. Our indicator quantifies how much is the measurement error issued by a systemic risk forecast at a given point in time which can serve for the early detection of global market reversals. This paper was accepted by Kay Giesecke, finance.

International audience; Our objective in this research is to provide empirical evidence relating to the linkages between gender equality and international emigration. Two theoretical hypotheses can be made for the purpose of analyzing such linkages. The first is that gender inequality in origin countries could be a push factor for women. The second one is that gender inequality may create a “gender bias” in the selection of migrants within a household or a community. An improvement of gender equality would then increase female migration. We build several original indices of gender equality using principal component analysis. Our empirical results show that the push factor hypothesis is clearly rejected. All else held constant, improving gender equality in the labor market is positively correlated with the migration of women, especially of the high-skilled. We observe the opposite effect for low-skilled men. This result is robust to several specifications and to various measurements of gender equality.

Direct tax revenues vary significantly, in the percentage of GDP, in selected countries. This difference is coming for various reasons. Our aim in this paper is to emphasize that there is a vital argumentation which is put forward to explain these variations, called cultural diversity. We employ a panel data with 46 selected countries and using the Materialist/Postmaterialist 12-item index; we highlight the impact of this postmaterialist index on direct tax revenues. Our study comprises six waves, and it includes the most recent dataset regarding culture dimension, namely World Values Survey Wave 7 (2017–2020). Moreover, we control for country characteristics and endogeneity issues. The results show that the degree of postmaterialism explains the level of direct tax revenues. The findings are robust when we include environmental taxes. These results highlight that cultural attitudes should be considered when studying the level of direct tax revenues and how culture dynamics impact taxation.

La politique monetaire conduite par la Banque centrale europeenne (BCE) depuis une decennie et les evolutions demographiques et structurelles de nos societes ont conduit les economies de la zone euro vers un environnement de taux d’interet durablement faibles. Si ce dernier a permis d’eviter la deflation, il est aussi source d’inquietude pour le secteur bancaire. Toutefois, meme si l’aplatissement marque de la courbe des taux d’interet a pu fortement compresser la marge d’intermediation de certaines banques commerciales en zone euro, la baisse de la marge d’interet observee en France au cours des dernieres annees apparait relativement contenue. De plus, l’effet des taux bas sur la rentabilite est plus qu’incertain. En effet, des taux bas vont affecter de maniere asymetrique les principales composantes de la rentabilite des banques. En particulier, on peut s’attendre a ce que l’amelioration des conditions macroeconomiques et la baisse des provisions pour pertes sur prets viennent compenser la contraction des revenus d’interet. L’exercice empirique realise dans cet article sur un echantillon de grandes banques cotees de la zone euro montre que l’assouplissement de la politique monetaire a eu un effet positif sur la rentabilite economique des etablissements bancaires. Classification JEL : B26, E50, E51, G01, G21, G23, G28

International audience

This paper studies the causes and duration of conflicts with a war of attrition game featuring overconfident players. We find that overconfidence is neither necessary, nor sufficient to have conflict. Overconfident decision makers are nevertheless more likely to initiate conflict, and to also remain active longer in a conflict. Our main results are that (i) the degree of overconfidence and conflict duration may have an inverted U‐shaped relationship, and (ii) the outcome of the war of attrition may be in favor of a weaker, yet overconfident player. We argue that this simple model helps understanding a host of real‐world conflictive situations.

The influence of physics on economics has been largely analysed; the opposite influence also exists even if it has been less studied. In the last decades the relation between these two disciplines ...

We present an evaluation of the main empirical approaches used in the literature to estimate the contribution of public capital stock to growth and private factors’ productivity. Based on a simple stochastic general equilibrium model, built as to reproduce the main long-run relations observed in US post-war historical data, we show that the production function approach may not be reliable to estimate this contribution. Our analysis reveals that this approach largely overestimates the public capital elasticity, given the presence of a common stochastic trend shared by all non-stationary inputs.

This paper proposes a very simple test of Granger (1969) non-causality for hetero- geneous panel data models. Our test statistic is based on the individual Wald statistics of Granger non causality averaged across the cross-section units. First, this statistic is shown to converge sequentially to a standard normal distribution. Second, the semi- asymptotic distribution of the average statistic is characterized for a fixed T sample. A standardized statistic based on an approximation of the moments of Wald statistics is hence proposed. Third, Monte Carlo experiments show that our standardized panel statistics have very good small sample properties, even in the presence of cross-sectional dependence.

We derive several popular systemic risk measures in a common framework and show that they can be expressed as transformations of market risk measures (e.g., beta). We also derive conditions under which the different measures lead to similar rankings of systemically important financial institutions (SIFIs). In an empirical analysis of US financial institutions, we show that (1) different systemic risk measures identify different SIFIs and that (2) firm rankings based on systemic risk estimates mirror rankings obtained by sorting firms on market risk or liabilities. One-factor linear models explain most of the variability of the systemic risk estimates, which indicates that systemic risk measures fall short in capturing the multiple facets of systemic risk.

International audience; This paper investigates the relationship between public debt and environmental debt—reflecting CO carbon concentration. First, using an endogenous growth model in which pollution abatement spending can be financed by public debt, we show that public debt and environmental debt are complementary in the long run and usually substitutes in the short run. Second, these predictions are empirically confirmed: in particular, a 1% increase in the public debt ratio leads to an increase of 0.74% in cumulative CO per capita in the long run. Our findings emphasize the difficulty of defining policies that jointly serve both the economic (fiscal) and the environmental goals, due to the short- and long-run conflicting environmental effects of policies that either reduce or do not constrain public debt.

Economics; International audience; In this paper, we reexamine the predictive power of the yield spread across countries and over time. Using a dynamic panel/dichotomous model framework and a unique dataset covering 13 OECD countries over the period 1975–2019, we empirically show that the yield spread signals recessions. This result is robust to different econometric specifications, controlling for recession risk factors and time sampling. Using a new cluster analysis methodology, we present empirical evidence of a partial homogeneity of the predictive power of the yield spread. Our results provide a valuable framework for monitoring economic cycles.

International audience

This article quantifies the effects of bank levies after the financial crisis for Central and Eastern European countries (Hungary, Latvia, Romania, Slovakia and Slovenia) from a pooled perspective ...

This study analyzes the strategic use of public debt. Contrary to the classical view that politicians can use public debt to tie the hands of their successors, we show that an incumbent government can take advantage of having tied its own hands before the election with the help of public debt. By doing this, it reduces the basis for future social conflicts and benefits from social peace during its term, which may enhance its chances of being re-elected. In addition, in the case of foreign or external public debt, the incumbent can strategically divert future social conflicts toward a common enemy (foreign creditors). Thus, by increasing public debt before the election, the incumbent can strengthen social cohesion during his/her mandate, both by reducing the basis of internal conflicts and by diverting citizens from internal toward external rent-seeking activities.

This paper investigates the impact of artificial intelligence on unemployment in the most high-tech and developed countries, using a theoretical model that is also supported empirically. The empirical methodology follows a nonlinear approach by using panel threshold and GMM-system estimations. The dataset covers the period 1998–2016, and includes 23 countries. The main results show that artificial intelligence has a nonlinear impact on unemployment, with the acceleration of the use of artificial intelligence reducing unemployment, but only occurring at low levels of inflation. In this case, no “switch effect” between “displacement effect” and “replacement effect” is registered Otherwise, the contribution of artificial intelligence to unemployment is rather neutral.

This paper studies the role of IMF-supported programs in mitigating the likelihood of subsequent sovereign defaults in borrowing countries. Using a panel of 106 developing countries from 1970 to 2016 and an entropy balancing methodology, we find that IMF-supported programs significantly reduce the likelihood of subsequent sovereign defaults. This finding is robust to different specifications of the entropy balancing and alternative identification strategies. Our results suggest that a country that signs a program with the IMF typically experiences a slight improvement in its sovereign credit rating and a decrease in both government debt-to-GDP and fiscal deficit-to-GDP during the program period compared to the period before. Supplementary Information The online version supplementary material available at 10.1057/s41308-021-00135-7.

Cet article se propose de montrer que la succession de crises (financiere, sanitaire, ecologique) qui affectent les pays avances depuis le debut de ce siecle, est la consequence de dysfonctionnements de leurs systemes economiques et sociaux remodeles par le neoliberalisme. En ce sens, trois fragilites de ces systemes meritent une attention particuliere. D’une part, l’accroissement des interdependances entre economies qui conduit, en l’absence d’une gouvernance globale, a diffuser en les amplifiant les chocs de toutes natures auxquels sont soumis les pays concernes. D’autre part, la perte de resilience des firmes dont la gestion des risques a neglige la protection contre l’incertitude pour privilegier la rentabilite de court terme. Enfin, la montee des inegalites qui rendent les crises socialement plus difficiles a supporter et plus couteuses a resorber. Ces failles interrogent sur l’evolution souhaitable de la place et des modes d’intervention des Etats et plus generalement sur l’avenir du neoliberalisme.

This paper introduces Mixed Data Sampling (MIDAS) into the panel data context. To address the unidentified nuisance parameter problem, we propose to invert model specification tests for inference on the MIDAS parameter along with bounds tests for model coefficients. Illustrative identification, simulation and empirical analyses are conducted in the dynamic GMM framework. Our framework allows for departures from i.i.d errors such as clustering and dynamic specifications. A simulation study and an application to a model of reserve holdings illustrate the usefulness of the proposed methods, and more broadly set a promising template for shrinkage approaches.

This paper presents various approaches dealing with heterogeneous reaction combined with interaction between neighboring units of observation developed in the spatial econometric literature, in the framework of cross-sectional models, and applied to the study of growth and convergence processes. We present the main econometric specifications capturing discrete or continuous spatial heterogeneity: the spatial regimes model and the locally linear, geographically weighted regression (GWR). We then examine how these specifications can be extended to further allow for spatial autocorrelation.; La présence d'effets spatiaux, hétérogénéité et dépendance spatiales, dans les processus de croissance et de convergence régionales a récemment été mis en évidence dans la littérature. Cet article est une introduction aux différentes approches méthodologiques, développées en économétrie spatiale dans le contexte des modèles en coupe transversale et appliquées à l'étude des processus de croissance, dont l'objectif est de traiter le problème de l'hétérogénéité combinée à l'interaction entre unités d'observations voisines. Les spécifications d'économétrie spatiale intégrant l'hétérogénéité spatiale discrète ou continue, en particulier le modèle à régimes spatiaux et le modèle de régression localement linéaire, géographiquement pondéré (GWR) sont d'abord présentées. Deux approches alternatives permettant la prise en compte simultanée de l'hétérogénéité spatiale continue et de la dépendance spatiale sont ensuite développées.

This paper presents various approaches dealing with heterogeneous reaction combined with interaction between neighboring units of observation developed in the spatial econometric literature, in the framework of cross-sectional models, and applied to the study of growth and convergence processes. We present the main econometric specifications capturing discrete or continuous spatial heterogeneity: the spatial regimes model and the locally linear, geographically weighted regression (GWR). We then examine how these specifications can be extended to further allow for spatial autocorrelation., La présence d'effets spatiaux, hétérogénéité et dépendance spatiales, dans les processus de croissance et de convergence régionales a récemment été mis en évidence dans la littérature. Cet article est une introduction aux différentes approches méthodologiques, développées en économétrie spatiale dans le contexte des modèles en coupe transversale et appliquées à l'étude des processus de croissance, dont l'objectif est de traiter le problème de l'hétérogénéité combinée à l'interaction entre unités d'observations voisines. Les spécifications d'économétrie spatiale intégrant l'hétérogénéité spatiale discrète ou continue, en particulier le modèle à régimes spatiaux et le modèle de régression localement linéaire, géographiquement pondéré (GWR) sont d'abord présentées. Deux approches alternatives permettant la prise en compte simultanée de l'hétérogénéité spatiale continue et de la dépendance spatiale sont ensuite développées.

Soumis à Journal of Economic Growth; Document de Recherche LEO 2008-25; Cet article propose un cadre théorique et méthodologique unifie caractérisé par la priseen compte explicite des intéractions technologiques dans la modélisation des processus decroissance en adoptant une perspective Schumpétérienne. L'interdépendance globale impliquée par les spillovers internationaux de R&D doit être intégrée non seulement dans lamodélisation théorique mais également dans la spécification économétrique qui en découle.L'économétrie spatiale apparaît alors naturellement comme la méthodologie adéquate pourtraiter le problème de l'estimation de telles spécifications. Le modèle économétrique que nousproposons inclut le modèle de croissance néoclassique comme cas particulier. Nous pouvonspar conséquent tester explicitement le rôle joué par les investissements en R&D dans le processusde croissance de long terme contre le modèle de croissance de Solow. Finalement, lespropriétés de notre spécification économétrique spatiale permettent d'évaluer les effets directet indirect des spillovers internationaux de R&D.

We propose a quantity-based `dual' version of the gravity equation that yields an estimating equation with both cross-sectional interdependence and spatially lagged error terms. Such an equation can be concisely estimated using spatial econometric techniques. We illustrate this methodology by applying it to the Canada-U.S. data set used previously, among others, by Anderson and van Wincoop (2003) and Feenstra (2002, 2004). Our key result is to show that controlling directly for spatial interdependence across trade flows, as suggested by theory, significantly reduces border effects because it captures `multilateral resistance'. Using a spatial autoregressive moving average specification, we find that border effects between the U.S. and Canada are smaller than in previous studies: about 8 for Canadian provinces and about 1.3 for U.S. states. Yet, heterogeneous coefficient estimations reveal that there is much variation across provinces and states.

A la fin de la Seconde Guerre mondiale, les accords de Bretton Woods ont defini les regles qui organisaient les relations monetaires entre les Etats. Evitant les rigueurs de l’etalon-or, le nouveau systeme organisait en fait l’utilisation internationale du dollar. Apres l’echec du DTS, l’accord de la Jamaique a legalise la demonetisation de l’or et les taux de change flottants, tandis que le FMI contribuait de plus en plus au financement des pays en developpement et a la gestion des crises financieres. Le systeme monetaire international se caracterise aujourd’hui par des incitations a faire telle ou telle politique, en fonction de la conjoncture et des problemes lies a la stabilite des taux de change, a l’endettement international, a la coordination des politiques economiques. Il tranche avec les systemes monetaires regionaux, comme l’ancien systeme monetaire europeen ou la zone franc, et avec le succes durable que ces experiences ont rencontre. Tels sont les principaux themes abordes dans cet ouvrage qui s’efforce de donner une vue d’ensemble de ce qu’a ete et de ce qu’est devenu le systeme de Bretton Woods.

SUMMARY This paper presents a theoretical growth model which explicitly takes into account technological interdependence among economies and examines the impact of spillover effects. Technological interdependence is assumed to operate through spatial externalities. The magnitude of the physical capital externalities at steady state, which is not usually identified in the literature, is estimated using a spatial econometric specification. Spatial externalities are found to be significant. This spatially augmented Solow model yields a conditional convergence equation which is characterized by parameter heterogeneity. A locally linear spatial autoregressive specification is then estimated providing a convergence speed estimate for each country of the sample. Copyright  2007 John Wiley & Sons, Ltd.

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