Detailed programme

The parallel sessions have now been finalised, although changes have been made to the programme, so please check your session carefully.

We apologize for the last-minute updates caused by cancellations and the related swap of papers from one session to another we had to make on a short notice. We hope such individual costs to the affected authors and discussants are minor relative to the benefit from keeping the integrity of the public good to the academic community which a symposium of that magnitude constitutes.

The papers are all linked (below).

The parallel sessions below are listed chronologically by topic, room, parallel session #, day and time. HBS denotes the Henley Business School building, while HumSS denotes the Humanities and Social Sciences building, just across the road.

 

Parallel sessions 1: Thursday, 23 June 2011, 09:45-11:15

 

Banking risk and stability 1

HBS G11, PS#1A, Thursday, 09:45-11:15

Chair: Nikolaos Papanikolaou (Luxembourg School of Finance, University of Luxembourg and Stern School of Business, New York University)

Foreign bank lending and information asymmetries in China (attached)

Pierre Pessarossi (University of Strasbourg, LARGE) with Christophe Godlewski (University of Strasbourg, LARGE, and EM Strasbourg Business School) and Laurent Weill (University of Strasbourg, LARGE, and EM Strasbourg Business School)
Discussant: Nikolaos Papanikolaou

 

What happens after default? Stylized facts on access to credit? (attached)

Daniel Dias (University of Illinois at Urbana-Champaign and CEMAPR), with Diana Bonfim (Banco de Portugal and Technical University of Lisbon, ISEG) and Christine Richmond (International Monetary Fund)

Discussant: Pierre Pessarossi

Leverage and risk in US commercial banks in the light of the current financial crisis (attached)

Nikolaos Papanikolaou (Luxembourg School of Finance, University of Luxembourg and Stern School of Business, New York University), with Christian Wolff (Luxembourg School of Finance, University of Luxembourg and CEPR, London)

Discussant: Daniel Dias

 

Credit, asset prices and cycles 1

HBS 101, PS#1B, Thursday, 09:45-11:15

Chair: Christian Mueller (Zurich University of Applied Sciences)

The US term premia around FOMC decisions (attached)

Nikola Mirkov (University of St. Gallen)

Discussant: Christian Mueller

Regional interest rate variations: Evidence from the Indonesian credit markets (attached)

Masagus M. Ridhwan (Free University Amsterdam and Bank Indonesia)

Discussant: Nikola Mirkov

Volatility at very high frequencies: New estimates, new interpretations (attached)
Christian Mueller (Zurich University of Applied Sciences)
Discussant: Masagus M. Ridhwan

 

Financial markets 1

HBS 102, PS#1C, Thursday, 09:45-11:15

Chair: Kathrin Johansen (University of Rostock)

Probability of informed trading and volatility for an ETF (attached)

Paola Paiardini (Birkbeck College, University of London), with Dimitiros Karyampas (Birkbeck College, University of London)

Discussant: Kathrin Johansen

The interactions between the CDS and the bond markets in financial turmoil (attached)
Virginie Coudert (Banque de France, University of Paris 10 West, Nanterre, EconomiX, and CEPII, Paris), with Mathieu Gex (Banque de France and University of Grenoble 2, SEMASFI and CERAG)
Discussant: Paola Paiardini

Lottery tickets and common stocks: Complements or substitutes? (attached)

Kathrin Johansen (University of Rostock), with Nico Singer (University of Rostock)

Discussant: Virginie Coudert

 

Monetary policy 1

HBS 202, PS#1D, Thursday, 09:45-11:15

Chair: Jean-Bernard Chatelain (University of Paris 1 Panthéon-Sorbonne, CES, and Paris School of Economics)

Bank interest rate pass-through in the Eurozone: Monetary policy transmission during the boom and since the financial crisis (attached)
Christophe Blot (OFCE, Paris) with Fabien Labondance (Facultes Universitaires Catholiques de Mons - FUCaM)
Discussant: Emmanuel Carré

The limits of standard DSGE models with view to the financial crisis (attached)Emmanuel Carré (University of Paris 13 North, CEPN)
Discussant: Jean-Bernard Chatelain

The failure of financial macroeconomics and what to do about it (attached)Jean-Bernard Chatelain (University of Paris 1 Panthéon-Sorbonne, CES, and Paris School of Economics), with Kirsten Ralf (ESCE, Paris)Discussant: Christophe Blot

 

Finance, growth and development 1

HumSS 128, PS#1E, Thursday, 09:45-11:15

Chair: Muhammad Khan (University of Orleans, LEO)

Compulsory versus voluntary savings as incentive mechanism in microlending contracts (attached)
Knar Khachatryan (SKEMA Business School), with Olivier Bruno (University of Nice, GREDEG, SKEMA Business School, and OFCE, Paris)
Discussant: Muhammad Khan

Financial development and transition effect on growth in financial openness (attached)

Lin Guo (University of Paris 1 Panthéon-Sorbonne, CES)

Discussant: Knar Khachatryan

Re-visiting the inflation and economic growth relationship: A panel smooth transition approach (attached)
Muhammad Khan (University of Orleans, LEO), with Jude Eggoh (University of Orleans, LEO)
Discussant: Lin Guo

 

Inflation, volatility and banking (French-speaking session)

HumSS 124, PS#1F, Thursday, 09:45-11:15

Chair: Adrian Pop (University of Nantes, LEMNA)

Inflation targeting: An attempt for international comparison (attached)

Zied Ftiti (CNRS-GATE), with Jean François Goux (University of Lyon 2, CNRS-GATE)

Discussant: Adrian Pop

The bank capital channel in Europe: An analysis using principal components and an error-correction model (attached)

Christian Nzengue Pegnet (University of Bordeaux 4, LARE-éfi)

Discussant: Zied Ftiti

Are the Islamic indexes more or less exposed to shocks in volatility than the conventional indexes? Evidence from Dow Jones indexes (attached)

Adrian Pop (University of Nantes, LEMNA), with Amélie Charles (Audencia Nantes, School of Management) and Olivier Darne (University of Nantes, LEMNA)

Discussant: Christian Nzengue Pegnet

 

Parallel sessions 2: Thursday, 23 June 2011, 13:45-15:15

 

Banking risk and stability 2

HBS G11, PS#2A, Thursday, 13:45-15:15

Chair: Maria Semenova (Higher School of Economics, Moscow)

Calibrating bank stress test scenarios: An outlier detection based approach (attached)

Adrian Pop (University of Nantes, LEMNA), with Olivier Darne (University of Nantes, LEMNA) and Guy Levy-Rueff (Banque de France)

Discussant: Maria Semenova

Ambiguity and rollover risk: A possible explanation for market freezes? (attached)

Francesca Rinaldi (Banque de France)

Discussant: Adrian Pop

Market discipline and banking system transparency: Do we need more information? (attached)

Maria Semenova (Higher School of Economics, Moscow)

Discussant: Francesca Rinaldi

 

Credit, asset prices and cycles 2

HBS 101, PS#2B, Thursday, 13:45-15:15

Chair: Paola Zerilli (University of York)

On the link between credit procyclicality and bank competition (attached)
Vincent Bouvatier (University of Paris 10 West, Nanterre, EconomiX), with Antonia López-Villavicencio (University of Paris 13 North, CEPN-CNRS) and Valérie Mignon (University of Paris 10 West, Nanterre, EconomiX)
Discussant: Paola Zerilli

A Multivariate GARCH Model to Testing Currency Risk Premium (attached)
Dandan Li (University of Bath), with Bruce Morley (University of Bath)
Discussant: Vincent Bouvatier

Financial market crashes and spikes in implied volatility (attached)
Paola Zerilli (University of York), with Christopher F. Baum (Boston College and DIW Berlin)
Discussant: Dandan Li

 

Financial markets 2

HBS 102, PS#2C, Thursday, 13:45-15:15

Chair: Natasa Todorovic (Cass Business School, City University London)

Asymmetric investor overreaction to political events in emerging markets: A panel data approach (attached)

Hisham Farag (Birmingham Business School, University of Birmingham), with Robert Cressy (Birmingham Business School, University of Birmingham)

Discussant: Natasa Todorovic

Spillover effects, macroeconomic announcements and stock-exchage volatility (attached)

Aymen Belgacem (University of Paris 10 West, Nanterre, EconomiX)

Discussant: Hisham Farag

Can a French investor use a dollar-cost averaging strategy? (attached)

Bruno Séjourné (University of Angers, GRANEM), with Philippe Compaire (University of Angers, GRANEM)

Discussant: Aymen Belgacem 

Volume, intraday and overnight returns for volatility prediction: Profitability or accuracy? (attached)

Natasa Todorovic (Cass Business School, City University London), with Elena Kalotychou (Cass Business School, City University London) and Ana-Maria Fuertes (Cass Business School, City University London)

Discussant: Bruno Séjourné

 

Monetary policy 2

HBS 202, PS#2D, Thursday, 13:45-15:15

Chair: Francesco Guidi (University of Greenwich)

Money privatization and the power of central banks (attached)

Thomas Grjebine (Sciences-Po)

Discussant: Francesco Guidi

Expectation traps and policy with limited commitment (attached)

Christoph Himmels (University of Exeter), with Tatiana Kirsanova (University of Exeter)

Discussant: Thomas Grjebine

European Central Bank and US Federal Reserve: Monetary policy surprises effects on the returns volatility of the Italian Stock Market Mib Index (attached)

Francesco Guidi (University of Greenwich), with Stuart Hyde (Manchester Business School, University of Manchester)

Discussant: Christoph Himmels

 

Exchange rate policy 1

HumSS 128, PS#2E, Thursday, 13:45-15:15

Chair: Philipp Matros (University of Regensburg)

A VAR analysis for the uncovered interest parity and the ex-ante purchasing power parity: The role of macroeconomic and financial information (attached)

Corrado Macchiarelli (University of Turin)

Discussant: Philipp Matros

Does exchange rate pass-through even exist in Asia or the inflation targeting framework is irrelevant in its determination? (attached)

Bushra Naqvi (University of Paris 1 Panthéon-Sorbonne, CES), with Syed Kumail Abbas Rizvi (University of Paris 1 Panthéon-Sorbonne, CES)

Discussant: Corrado Macchiarelli

Non-stationary interest rate differentials and the role of monetary policy (attached)

Philipp Matros (University of Regensburg), with Enzo Weber (University of Regensburg, IAB)

Discussant: Bushra Naqvi

 

Banking risk and stability (French-speaking session)

“Cluster risques financiers” session

HumSS 124, PS#2F, Thursday, 13:45-15:15

Chair: Raphaëlle Bellando (University of Orleans, LEO)

Convergence and asymmetry of the banks’ market power in the Central and Eastern European countries (attached)

Ion Lapteacru (University of Bordeaux 4, LARE-éfi)

Discussant: Catherine Refait-Alexandre

Rethinking the regulatory reform: The complementarity between capital and liquidity regulations (attached)
Sonia Ondo Ndong (University of Paris 10 West, Nanterre, EconomiX) with Laurence Scialom (University of Paris 10 West, Nanterre, EconomiX) and Peixin Zhang (University of Paris 10 West, Nanterre, EconomiX)
Discussant: Ion Lapteacru

Banking relationship and syndicated loans during the last financial crisis (attached)

Catherine Refait-Alexandre (University of Franche-Comté, CRESE), with Karima Bouaiss (University of Tours, IAE) and Hervé Alexandre (University of Paris 9 Dauphine, CEREG)

Discussant: Sonia Ondo Ndong

 

Parallel sessions 3: Thursday, 23 June 2011, 15:15-16:45

 

Banking risk and stability 3

HBS G11, PS#3A, Thursday, 15:15-16:45

Chair: Laurent Weill (University of Strasbourg, LARGE, and EM Strasbourg Business School)

The quality of private monitoring in European banking: Completing the picture (attached)

Diana Pop (University of Angers, GRANEM), with Adrian Pop (University of Nantes, LEMNA)

Discussant: Laurent Weill

Extreme value indices to identify bank distress (attached)
Jérôme Coffinet (Banque de France), with Davis Andriamboavonjy (Banque de France) and Sébastien Van Bellegem (Toulouse School of Economics)
Discussant: Diana Pop

Bank capital, liquidity creation and deposit insurance (attached)
Laurent Weill (University of Strasbourg, LARGE, and EM Strasbourg Business School), with Zuzana Fungáčová (Bank of Finland, BOFIT) and Mingming Zhou (College of Business and Administration, University of Colorado at Colorado Springs)
Discussant: Jérôme Coffinet

 

Credit, asset prices and cycles 3

HBS 101, PS#3B, Thursday, 15:15-16:45

Chair: Mohamed Mehanaoui (University of Paris 10 West, Nanterre, EconomiX)

Heterogeneous banks and technical change in an evolutionary model of endogenous growth and fluctuations (attached)

Tania Treibich (Sant’Anna School of Advanced Studies, Pisa, University of Nice, and OFCE, Paris), with Giovanni Dosi (Sant’Anna School of Advanced Studies, Pisa, and University of Manchester), Giorgio Fagiolo (Sant’Anna School of Advanced Studies, Pisa), Mauro Napoletano (Sant’Anna School of Advanced Studies, Pisa, University of Nice, and OFCE, Paris), Andrea Roventini (Sant’Anna School of Advanced Studies, Pisa, and University of Verona)

Discussant: Mohamed Mehanaoui

 

A non parametric test of market timing for hedge funds: Beyond alpha and beta (attached)

Guillaume Monarcha (Orion Financial Partners)

Discussant: Tania Treibich

Cross listing and varying financial integration: Evidence from French stocks cross listed on the NYSE (attached)

Mohamed Mehanaoui (University of Paris 10 West, Nanterre, EconomiX), with Valérie Mignon (University of Paris 10 West, Nanterre, EconomiX) and  Hélène Raymond (University of Paris 10 West, Nanterre, EconomiX)

Discussant: Guillaume Monarcha

 

Corporate finance and governance 1

HBS 102, PS#3C, Thursday, 15:15-16:45

Chair: Oleksandr Talavera (University of East Anglia)

The choice between informal and formal restructuring: The case of French banks facing distressed SMEs (attached)
Nirjhar Nigam (Luxembourg School of Finance), with Jocelyn Martel (ESSEC Business School) and  Régis Blazy (University of Strasbourg, EM Strasbourg Business School, IEP Strasbourg)
Discussant: Oleksandr Talavera

 

The effect of future capital investment (attached)
Oleksandr Talavera (University of East Anglia), with Christopher F. Baum (Boston College and DIW Berlin) and Mustafa Caglayan (University of Sheffield)
Discussant: Nirjhar Nigam

Economic consequences of market section switching: Evidence from NYSE-Euronext Paris (attached)

Abdoul K. Cisse (University of Grenoble, CERAG, EUROFIDAI), with Patrice Fontaine (University of Grenoble, CERAG, EUROFIDAI)

Discussant: Catherine Refait-Alexandre

Regulation of corporate governance through disclosure: An analysis of ‘comply or explain’ disclosures by companies in the French SBF 120 (attached)

Catherine Refait-Alexandre (University of Franche-Comté, CRESE), with Jean-Christophe Duhamel (University of Lille 2) and Bjorn Fasterling (EDHEC Business School)

Discussant: Abdoul K.Cisse

 

Monetary policy 3

HBS 202, PS#3D, Thursday, 15:15-16:45

Chair: Magali Marx (Banque de France) 

Skewness in DSGE models (attached)

Grzegorz Grabek (National Bank of Poland), with Grzegorz Koloch (National Bank of Poland, Warsaw School of Economics and Institute for Structural Research) and Bohdan Klos (National Bank of Poland)

Discussant: Magali Marx

Capital structure, credit ratings and financial crisis: Access to finance during the credit crisis (attached)

Anna Korzhenitskaya (Middlesex University Business School), with Amrit Judge (Middlesex University Business School)

Discussant: Grzegorz Grabek

State-dependent probability distributions in non-linear rational expectations models (attached)

Magali Marx (Banque de France), with Jean Barthélemy (Banque de France and Paris School of Economics)

Discussant: Anna Korzhenitskaya

 

Exchange rate policy 2

HumSS 128, PS#3E, Thursday, 15:15-16:45

Chair: Ramona Jimborean (Banque de France and University of Paris East Créteil, ERUDITE)

Reassessment of exchange rate flexibility and fear of floating in Asia: How much credible are the benchmark floaters? (attached)

Syed Kumail Abbas Rizvi (University of Paris 1 Panthéon-Sorbonne, CES), with Christian Bordes and Bushra Naqvi (both of University of Paris 1 Panthéon-Sorbonne, CES)

Discussant: Ramona Jimborean

Mark my words: Information and the fear of declaring one’s exchange rate regime (attached)

Geoffrey Minne (Free University Brussels, Centre Emile Bernheim, and ECARES with Pierre-Guillaume Méon (Free University Brussels, Centre Emile Bernheim)

Discussant: Syed Kumail Abbas Rizvi

The exchange rate pass-through in the New EU Member States (attached)

Ramona Jimborean (Banque de France and University of Paris Est, ERUDITE)

Discussant: Geoffrey Minne

 

Financial crises 1 (French-speaking session)

HumSS 124, PS#3F, Tursday, 15:15-16:45

Chair: Bénédicte Serbini (University of the South, Toulon-Var, LEAD

A liquidity risk neutral level of liquidity creation and the determinants of liquidity risk: Evidence from US and European publicly traded banks (attached)

Caroline Roulet (University of Limoges, LAPE), with Alain Angora (University of Limoges, LAPE)

Discussant: Bénédicte Serbini

The Effects of Banking in a Small Open Economy with Financial Distress (attached)

Sinda Jebli (University of Rennes, CREM)

Discussant: Caroline Roulet

Sovereign debt restructuring, collective action clauses and voting threshold (attached)

Bénédicte Serbini (University of the South, Toulon-Var, LEAD)

Discussant: Sinda Jebli

 

Parallel sessions 4: Friday, 24 June 2011, 09:30-11:00

 

Banking risk and stability 4

HBS G10, PS#4A, Friday, 09:30-11:00

Chair: Maria Valderrama (Oesterreichische Nationalbank)

Two-way interplays between capital buffers, credit, and output: Evidence from French banks (attached)

Jérôme Coffinet (Banque de France), with Adrian Pop (University of Nantes, LEMNA)

Discussant: Maria Valderrama

Bank optimal portfolio risk level under various regulatory requirements (attached)

Alexandra Girod (University of Nice, GREDEG), with Olivier Bruno (University of Nice, GREDEG, SKEMA Business School, and OFCE, Paris)

Discussant: Jérôme Coffinet

Do banks take more risk in extended periods of expansive monetary policy? Evidence from a natural experiment (attached)

Maria Valderrama (Oesterreichische Nationalbank), with Paul Gaggl (University of California at Davis)

Discussant: Alexandra Girod

 

Credit, asset prices and cycles 4

HBS 101, PS#4B, Friday, 09:30-11:00

Chair: Giovanni Melina, Birkbeck College, University of London, and University of Surrey

Hedge funds: Drivers of comovements among financial assets (attached)

Guillaume Queffelec (University of Rennes 1, CREM), with Mai Lan Nguyen (University of Rennes 1, CREM)
Discussant: Giovanni Melina

 

Are firms using derivatives for hedging or speculation? The effects of derivative use on the probability of financial distress (please refer to the authors to get a copy)

Amrit Judge (Middlesex University Business School), with Vikram Finavker (Middlesex University Business School) and Sylvia Gottschalk (Middlesex University Business School)

Discussant: Guillaume Queffelec

Fiscal policy and lending relationships (attached)

Giovanni Melina (Birkbeck College, University of London, and University of Surrey), with Stefania Villa (Birkbeck College, University of London)

Discussant: Amrit Judge

Monetary policy 4

HBS 202, PS#4D, Friday, 09:30-11:00

Chair: Zakaria Moussa (University of the Mediterranean, GREQAM)

Right on target: Exploring the determinants of inflation targeting adoption (attached)

Hanna Samaryna (University of Groningen)

Discussant: Zakaria Moussa

Real effects of quantitative easing at the zero-lower bound: Structural VAR-based evidence from Japan (attached)

Heike Schenkelberg (University of Munich), with Sebastian Watzka (University of Munich)

Discussant: Hanna Samaryna

The Japanese quantitative easing policy under scrutiny: A time-varying parameter factor-augmented VAR model (attached)

Zakaria Moussa (University of the Mediterranean, GREQAM)

Discussant: Heike Schenkelberg

 

Trade and capital flows 1

HumSS 125, PS#4E, Friday, 09:30-11:00

Chair: Victoria Dobrynskaya (London School of Economics and Higher School of Economics, Moscow),

Conventions in the foreign exchange market: Can they really explain exchange rate dynamics? (attached)

Gabriele Di Filippo (University of Paris 9 Dauphine, LEDA-SDFi)

Discussant: Victoria Dobrynskaya

Comovements of business cycles in the Maghreb: Does trade matter? (attached)

Aram Belhadj (University of Orleans, LEO), with Jude Eggoh (University of Orleans, LEO)

Discussant: Gabriele Di Filippo

Downside risk and flight to quality in the currency market (attached)

Victoria Dobrynskaya (London School of Economics and Higher School of Economics, Moscow), with Vladimir Soynov (Higher School of Economics, Moscow), Discussant: Aram Belhadj

 

Finance, growth and development 2 (French-speaking session)

HumSS 124, PS#4F, Friday, 09:30-11:00

Chair: Jean-Jacques Durand (University of Rennes 1, CREM)

Foreign banks and the stability of foreign and domestic credit in CEECs (attached)

Delphine Lahet (University of Bordeaux 4, LARE-éfi), with Sophie Brana (University of Bordeaux 4, LARE-éfi)

Discussant: Jean-Jacques Durand (University of Rennes 1, CREM)

Decomposing asset prices: A macroeocnomic approach (attached)

Julien Lecumberry (University of Rennes 1, CREM)

Discussant: Delphine Lahet

The impact of external shocks on and within the Eurozone: A SVAR model (attached)

Jean-Baptiste Gossé (University of Paris 13 North, CEPN), with Cyriac Guillaumin (University of Grenoble, CREG)
Discussant: Julien Lecumberry

 

Fisher, Macauley and Allais vis-a-vis the "Gibson's Paradox" (attached)

Jean-Jacques Durand (University of Rennes 1, CREM), with Georges Prat (University of Paris 10 West, Nanterre, EconomiX)

Discussant: Jean-Baptiste Gossé

 

Parallel sessions 5: Friday, 24 June 2011, 13:45-15:15

 

Financial crises 2

HBS G10, PS#5A, Friday, 13:45-15:15

Chair: Iuliana Matei (University of Evry, EPEE)

Volatility spillovers and contagion between the US and Asian stock markets during US subprime crisis: An application of multivariate GARCH models (attached)

Mai Lan Nguyen (University of Rennes, CREM), with Franck Martin (University of Rennes, CREM)

Discussant: Iuliana Matei

The vanishing impact of financial crises: Monetary policy and the fluctuations of the bankruptcy rate in France, 1820-1913 (attached)

Vincent Bignon (Graduate Institute – Geneva)

Discussant: Mai Lan Nguyen

Contagion and causality: An empirical investigation on the sovereign bond spreads (attached)

Iuliana Matei (University of Evry, EPEE)

Discussant: Vincent Bignon

 

Credit, asset prices and cycles 5

HBS 101, PS#5B, Friday, 13:45-15:15

Chair: Peter Smith (University of York)

A steady-state analysis of firm entry under liquidity constraints (attached)

Jean-Christophe Poutineau (University of Rennes 1, CREM), with Miguel Casares (University of Rennes 1, CREM)

Discussant: Peter Smith 

On the nature of the financial system in the Euro Area: a Bayesian DSGE approach (attached)

Stefania Villa (Birkbeck College, University of London)

Discussant: Jean-Christophe Poutineau

Durable consumption, long-run risk and the equity premium (attached)

Peter Smith (University of York), with Na Guo (University of York)

Discussant: Stefania Villa

 

Monetary theory

HBS 102, PS#6E, Friday, 13:45-15:15

Chair: Jean Cartelier (University of Paris 10 West, Nanterre, EconomiX)

Optimal inflation rate and levels of indebtedness in a monetary union (attached)Séverine Menguy (University of Paris 10 West, Nanterre, EconomiX)
Discussant: Jean Cartelier

Monetary policy committees and uncertain central bank preferences (attached)

Blandine Zimmer (University of Strasbourg, LARGE)

Discussant: Séverine Menguy

 

A monetary process for a market economy (attached)

Jean Cartelier (University of Paris 10 West, Nanterre, EconomiX)

Discussant: Blandine Zimmer

 

Monetary policy 5

HBS 202, PS#5D, Friday, 13:45-15:15

Chair: Etienne Farvaque (University of Lille 1 and SKEMA Business School)

Reassessment of the cointegration relation between retail and money market interest rate in the euro area: A rolling bounds testing approach (attached)

Natalia Andries (University of Fribourg)

Discussant: Etienne Farvaque

Common inflation dynamics in the Chinese monetary union (not available online)

Changsheng Chen, with Eric Girardin (both of University of Aix-Marseille 2, GREQAM)

Discussant: Natalia Andries

 

Who supports the ECB? Evidence from Eurobarometer survey data (attached)

Etienne Farvaque (University of Lille 1 and SKEMA Business School), with Alexander Mihailov (University of Reading and University of Warwick) and Azmat Hayat (University of Lille 1 and State Bank of Pakistan)

Discussant: Changsheng Chen

 

Trade and capital flows 2

HumSS 125, PS#5E, Friday, 13:45-15:15

Chair: Cécile Couharde (University of Paris 10 West, Nanterre, EconomiX)

Has the Euro affected the choice of invoicing currency? (attached)

Sebastian Werner (Tilburg University), with Jenny Ligthart (Tilburg University,

University of Groningen, CAMA – Australian National University, Canberra, and CESifo, Munich)

Discussant: Cécile Couharde

Downside risk of carry trades (attached)

Victoria Dobrynskaya (London School of Economics and Higher School of Economics, Moscow)

Discussant: Sebastian Werner

 

Financial integration and currency risk premium in Central and Eastern European countries: An investigation using a panel Granger causality test (attached)

Cécile Couharde (University of Paris 10 West, Nanterre, EconomiX), with Salem Boubakri (University of Paris 10 West, Nanterre, EconomiX) and Cyriac Guillaumin (University of Grenoble, CREG)

Discussant: Victoria Dobrynskaya

 

Financial institutions and regulations 1

HumSS 124, PS#5F, Friday, 13:45-15:15

Chair: Dominique Torre (University of Nice, GREDEG)

Efficiency of China’s commercial banks: Malmquist total factor productivity analysis (attached)

Qing Xu (University of Nice, GREDEG)

Discussant: Dominique Torre

Bank decentralisation and small business loan pricing (attached)

Michele Benvenuti (Banca d’Italia), with Marco Gallo (Banca d’Italia)

Discussant: Qing Xu

Multiple banking and fragility of SMEs (attached)

Louis-Marie Harpedanne de Bellevill (Banque de France)

Discussant: Michele Benvenuti

Four models for mobile payments (attached)

Dominique Torre (University of Nice, GREDEG), with Laetitia Chaix (University of Nice, GREDEG)

Discussant: Louis-Marie Harpedanne de Bellevill

 

Parallel sessions 6: Friday, 24 June 2011, 15:30-17:00

 

Finance, growth and development 3

HBS G10, PS#6A, Friday, 15:30-17:00

Chair: Marc-Antoine Jambu (University of Rennes, CREM)

The yield curve as a leading indicator in economic forecasting in the UK (attached)
Dalu Zhang (University of East Anglia)
Discussant: Peter Muriu

Global imbalances: A balanced perspective from the Chinese growth strategy (attached)
Marc-Antoine Jambu (University of Rennes, CREM)
Discussant: Dalu Zhang

Do institutions matter for microfinance profitability? Evidence from Africa (attached)Peter Muriu (Birmingham Business School, University of Birmingham)
Discussant: Marc-Antoine Jambu

 

Financial markets 3

HBS 101, PS#6B, Friday, 15:30-17:00

Chair: Sébastien Galanti (University of Orleans, LEO)

Liquidity black hole and optimal behavioural model (attached)

Gianluca Marcato (Henley Business School, University of Reading), with Giovanni Tira (Henley Business School, University of Reading)

Discussant: Sébastien Galanti

The riskiness of risk models (attached)
Bertrand Maillet (A.A.Advisors-QCG (ABN AMRO), Variances, and University of Paris 1 Panthéon-Sorbonne, CES), with Christophe Boucher (A.A.Advisors-QCG (ABN AMRO), Variances, and University of Paris 1 Panthéon-Sorbonne, CES)
Discussant: Gianluca Marcato

Does soft information matter? An application of gravity models to financial analysts’ forecasts (attached)

Sébastien Galanti (University of Orleans, LEO), with Regis Breton (University of Orleans, LEO), Christophe Hurlin (University of Orleans, LEO), and Anne-Gael Vaubourg (University of Orleans, LEO)

Discussant: Bertrand Maillet

 

Monetary Policy 6

HBS 102, PS#6C, Friday, 15:30-17:00

Chair: Manuel Duarte Rocha (University of Porto)

Are long-term inflation expectations well-anchored? Evidence from the Euro area and the United States (attached)

Tsvetomira Tsenova (Bulgarian National Bank)

Discussant: Manuel Duarte Rocha

Is monetary policy in New Member States asymmetric? (attached)

Bořek Vašíček (Universitat Autònoma de Barcelona)

Discussant: Tsvetomira Tsenova

Monetary policy effects: Bank lending and other items of banks’ balance sheets (attached)

Manuel Duarte Rocha (University of Porto)

Discussant: Bořek Vašíček

 

Banking risk and stability 5

HBS 202, PS#6D, Friday, 15:30-17:00

Chair: Ana-Maria Fuertes (Cass Business School, City University London)

Systemic interaction risk (attached)

Toni Ahnert (London School of Economics), with Co-Pierre Georg (University of Jena)

Discussant: Ana-Maria Fuertes

Rational blinders: Relying on over-optimistic models in a market equilibrium (attached)
Jean-Edouard Colliard (Paris School of Economics)
Discussant: Toni Ahnert

On forecasting volatility: What improves VaR? (attached)

Ana-Maria Fuertes (Cass Business School, City University London), with Jose Olmo (City University London)

Discussant: Jean-Edouard Colliard

  

Financial institutions and regulations 2

HumSS 124, PS#6F, Friday, 15:30-17:00

Chair: Nesrine Bentemessek-Kahia (University of Paris East Créteil, IRG)

Impact of banking competition on credit tariffs: An attempt for empirical analysis using a sample of French enterprises (attached)
Abdellah Bouchellal (University of Orleans, LEO)
Discussant: Nesrine Bentemessek-Kahia

Competition in the European market for compensation chambers (attached)

Marie-Noelle Cales (GATE-CNRS), with Laurent Granier (GATE-CNRS), Walid Hichri (GATE-CNRS) and Nadege Marchand (GATE-CNRS)

Discussant: Abdellah Bouchellal

Financial institutions and liquidity of public debt in England, 1694-1720 (attached)

Nesrine Bentemessek-Kahia (University of Paris East Créteil, IRG), with Jérôme de Boyer des Roches (University of Paris 9 Dauphine, PHARE)
Discussant: Marie-Noëlle Calès