Auteurs : HUAULT Isabelle (University Paris Dauphine, DRM-DMSP); RAINELLI Hélène (University Paris I Pantheon Sorbonne)
Intervenants : RAINELLI Hélène (University Paris I Pantheon Sorbonne) email@example.com
In this paper we study the development of the market for weather derivatives in Europe. We show that weather derivatives conceived as financial products by their promoters have difficulties finding end-users. We describe the attempts of market promoters using a framework drawn from economic sociology, namely the theory provided by Boltanski and Thevenot’s Economy of Worth. We derive some conclusions about the potential future of the market.
Auteurs : VAN DIJK Dick; KOLE Erik; MARKWAT Thijs (Econometric Institute, Erasmus University Rotterdam)
Intervenants : MARKWAT Thijs (Econometric Institute, Erasmus University Rotterdam) firstname.lastname@example.org
This paper proposes a new approach for modeling extreme dependence between global stock markets. We explicitly define local, regional and global crashes and model the evolution of these crashes with an ordered logit model. Applying our approach to daily stock market returns of emerging and developed markets we find evidence for interdependence as well as contagion effects. Particularly, we ﬁnd that interest rates, bond returns and volatility are important factors for the probabilities of observing the different types of stock market crashes. Contagion, on the other hand can be characterized as a domino effect, where local emerging market crashes evolve into regional or even global crashes. From a practical point of view, we show that an ordered logit model, including local and regional crashes, is able to predict global crashes better than a binary logit model for global crashes only.
Auteurs : ATTAOUI Sami (Rouen School of Management); SIX Pierre (University of Paris 1-Sorbonne)
Intervenants : ATTAOUI Sami (Rouen School of Management) email@example.com
This paper extends the monetary equilibrium approach of Lioui and Poncet (2004) to a jump-diffusion setting. We show that in the presence of jumps money non-neutrality is preserved and the jump component of the inflation risk premium is affected, in addition to technology factors, by monetary policy variables. Finally, we derive the jump-diffusion dynamics of a nominal short interest rate.Retourner au planning de la conférence