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Housing wealth accumulation: The role of public housing

Goffette-Nagot, Florence; Sidibé, Modibo - HAL - 2014

at first-time homeownership using the French Housing Survey. We use a pseudo-panel approach that takes into account the … before first-time homeownership, and take into account unobserved heterogeneity. Our results indicate that a spell in public … housing increases the hazard to homeownership, supporting the idea that, in France, the public housing policy provides an …

Persistent link: https://www.econbiz.de/10010732220

Mini-perm Structures in PPP Contracts: Risks and Opportunities

Dupas, Nicolas; Marty, Frédéric; Voisin, Arnaud - HAL - 2011

Prior to the 2008 financial crisis, the economic model of PPPs benefited from a very favorable environment in terms of credit availability and cost. The high level of liquidity in financial markets allowed rising abundant and not expensive external resources, because of both the low level of...

Persistent link: https://www.econbiz.de/10010541078

Extreme Value at Risk and Expected Shortfall during Financial Crisis

Kourouma, L.; Dupre, D.; Sanfilippo, G.; Taramasco, O. - HAL - 2011

This paper investigates Value at Risk and Expected Shortfall for CAC 40, S&P 500, Wheat and Crude Oil indexes during the 2008 financial crisis. We show an underestimation of the risk of loss for the unconditional VaR models as compared with the conditional models. This underestimation is...

Persistent link: https://www.econbiz.de/10009399186

Continuous time regime switching model applied to foreign exchange rate.

Goutte, Stéphane; Zou, Benteng - HAL - 2012

Modified Cox-Ingersoll-Ross model is employed, combining with Hamilton (1989) type Markov regime switching framework, to study foreign exchange rates, where all parameter values depend on the value of a continuous time Markov chain. Basing on real data of some foreign exchange rates, the...

Persistent link: https://www.econbiz.de/10009422114

The 2007-2008 financial crisis: Is there evidence of disaster myopia?

Cornand, Camille; Gimet, Céline - HAL - 2012

The disaster myopia hypothesis is a theoretical argument that may explain why crises are a recurrent event. Under very optimistic circumstances, investors disregard any relevant information concerning the increasing degree of risk. Agents' propensity to underestimate the probability of adverse...

Persistent link: https://www.econbiz.de/10009278316

A multi-horizon scale for volatility

Subbotin, Alexander - HAL - 2008

We decompose volatility of a stock market index both in time and scale using wavelet filters and design a probabilistic indicator for valatilities, analogous to the Richter scale in geophysics. The peak-over-threshold method is used to fit the generalized Pareto probability distribution for the...

Persistent link: https://www.econbiz.de/10010750636

Financial instability and functional finance : a Lerner-Minsky perspective

Ülgen, Faruk - HAL - 2012

The 2007/08 financial crisis results in two major problems that issue difficult challenges for the economic theory and policy. The first challenge is the rise of unemployment notwithstanding growing imbalances of budget deficits. The second is the monetary and financial instability threatening...

Persistent link: https://www.econbiz.de/10010898561

The impact of external shocks in East Asia : lessons from a structural VAR model with block exogeneity

Allegret, Jean-Pierre; Couharde, Cécile; Guillaumin, Cyriac - HAL - 2012

In this paper, we examine the relative importance of external shocks in domestic fluctuations of East Asian countries and check if these shocks lead to asymmetric or symmetric reactions between the considered economies. To this end, we estimate, over the period 1990.1-2010.4, a structural VAR...

Persistent link: https://www.econbiz.de/10010898573

Paving the way for reconsidering the working of market economies: the Minsky perspective

Ülgen, Faruk - HAL - 2012

This essay develops the financial instability hypothesis of Hyman Minsky through an analysis of the pitfalls of the liberal regulatory framework in order to deal with long-standing and long-lasting financial issues of capitalist economies. It argues that the roots of the 2007/08 crisis are...

Persistent link: https://www.econbiz.de/10010899268

Contagion Effects in the Aftermath of Lehman's Collapse: Measuring the Collateral Damage

Dumontaux, Nicolas; Pop, Adrian - HAL - 2012

The spectacular failure of the 150-year old investment bank Lehman Brothers on September 15th, 2008 was a major turning point in the global financial crisis that broke out in the summer 2007. Through the use of stock market data and Credit Default Swap (CDS) spreads, this paper examines the...

Persistent link: https://www.econbiz.de/10010899300