Vêlayoudom Marimoutou

Affiliated member ,  Aix-Marseille Université , Faculté d'économie et de gestion (FEG) , (on secondment at Commission de l'Océan Indien)

Econometrics, Finance and mathematical methods
Marimoutou
Status
Professor
Research domain(s)
Econometrics, Finance
Contact
v.marimoutou[at]coi-ioc.org
Abstract In 2002 we published a paper in which we used state space time series methods to analyse the teenage employment-federal minimum wage relationship in the US (Bazen and Marimoutou, 2002). The study used quarterly data for the 46 year period running from 1954 to 1999. We detected a small, negative but statistically significant effect of the federal minimum wage on teenage employment, at a time when some studies were casting doubt on the existence of such an effect. In this note we re-estimate the original model with a further 16 years of data (up to 2015). We find that the model satisfactorily tracks the path of the teenage employment-population ratio over this 60 year period, and yields a consistently negative and statistically significant effect of minimum wages on teenage employment. The conclusion reached is the same as in the original paper, and the elasticity estimates very similar: federal minimum wage hikes lead to a reduction in teenage employment with a short run elasticity of around – 0.13. The estimated long run elasticity of between – 0.37 and – 0.47 is less stable, but is nevertheless negative and statistically significant.
Keywords Replication study, Unobserved components model, State space methods, Teenage employment, Minimum wage
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Abstract This article specifies a multi-factor long memory process, namely Gegenbauer process, particularly adapted for data with slow damping correlations and cyclical patterns, and explores the use of this representation in the inter-annual climate variability range capture by indices of the El Niño Southern Oscillation (ENSO). The empirical results suggest that sea surface temperature (SST) indices are stationary long memory processes. It is found that the indices in the eastern and central Pacific exhibit different dynamics. The variability of the eastern equatorial Pacific SST indices (Niño 1 − 2 and Niño 3) is characterized by a large component of long-memory behaviour associated with the quasi-biennial and the semi-annual frequency. In contrast, the variability of the central Pacific SST indices (Niño 3.4 and Niño 4) is characterized by a large component of long-memory behaviour associated with the annual and the semi-annual frequency. These results are consistent with recent studies that suggest that ENS0 SST anomalies in the equatorial Pacific can be considered to consist of two processes. The use of Gegenbauer processes can be considered as an alternative competitive procedure in the analysis of cyclical long memory climatological time series from a different time series perspective.
Keywords Time series, Long-memory processes, Stationarity, ENSO, Gegenbauer process
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Abstract We examine the dependence between the volatility of the prices of the carbon dioxide “CO2” emissions with the volatility of one of their fundamental components, the energy prices. The dependence between the returns will be approached by a particular class of copula, the SCAR (Stochastic Autoregressive) Copulas, which is a time varying copula that was first introduced by Hafner and Manner (2012) [1] in which the parameter driving the dynamic of the copula follows a stochastic autoregressive process. The standard likelihood method will be used together with EIS (Efficient Importance Sampling) method, to evaluate the integral with a large dimension in the expression of the likelihood function. The main result suggests that the dynamics of the dependence between the volatility of the CO2 emission prices and the volatility of energy returns, coal, natural gas and Brent oil prices, do vary over time, although not much in stable periods but rise noticeably during the period of crisis and turmoils.
Keywords SCAR copula, GAS model, Efficient importance sampling, Dependence, CO2 emissions
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Abstract This study examines the volatility and correlation and their relationships among the euro/US dollar exchange rates, the S&P500 equity indices, and the prices of WTI crude oil and the precious metals (gold, silver, and platinum) over the period 2005 to 2012. Our model links the univariate volatilities with the correlations via a hidden stochastic decision tree. The ensuing Hidden Markov Decision Tree (HMDT) model is in fact an extension of the Hidden Markov Model (HMM) introduced by Jordan et al. (1997). The architecture of this model is the opposite that of the classical deterministic approach based on a binary decision tree and, it allows a probabilistic vision of the relationship between univariate volatility and correlation. Our results are categorized into three groups, namely (1) exchange rates and oil, (2) S&P500 indices, and (3) precious metals. A switching dynamics is seen to characterize the volatilities, while, in the case of the correlations, the series switch from one regime to another, this movement touching a peak during the period of the Subprime crisis in the US, and again during the days following the Tohoku earthquake in Japan. Our findings show that the relationships between volatility and correlation are dependent upon the nature of the series considered, sometimes corresponding to those found in econometric studies, according to which correlation increases in bear markets, at other times differing from them.
Keywords Tree, Markov, Hidden, Decision
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Abstract The huge organism called the Indian economy, with its complexities, diversities, and paradoxes, is both fascinating and puzzling. The Oxford Companion to Economics in India (2007) brought together expertise on each slender aspect of the economy. Taking forward the huge popularity of its predecessor, The New Oxford Companion to Economics in India has not only substantially revised and updated many of the original entries but also includes several new entries on emerging areas. The New OCEI focuses on India’s role as a global player in the highly volatile financial scenario—the great global recession, the sub-prime crisis, and the revival of G-20 in which India has found itself taking an active role. The New OCEI contextualizes these events and the accompanying policy changes while providing a rich portrait of a dynamic and resilient economy. It is also a ‘who’s who’ of economists on India. Culled from the collective wisdom of distinguished contributors, including economists, policymakers, and corporate chiefs, the New OCEI is a definitive scholarly reference that will serve the needs of academics, policymakers, journalists, and corporates, as well as all those interested in understanding the unique Indian experience
Keywords India, Regional disparities
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Abstract In the quasi-federal democratic polity that India has, lobbying for central funds by the states is often done in a subliminal fashion. Hence, it becomes difficult to get an account of how much lobbying has been done to a particular end. Our paper attempts at constructing certain political proxy variables to quantify the extent of such lobbying in India. We quantify lobbying through the ministerial representation in the council of ministers. We also use several time and state dummies to account for the constituent states' political alignment with the center as well as the coalition and the reform period breaks in the Indian system. Taking panel data that cover 29 years and 14 major states we show that our constructed variables do explain disparity in central fiscal disbursements under the non-formulaic “discretionary” head in a robust way. Our findings remain true even after we take into account the impact of endogeneity of net state income on the transfers. Additionally, our exercise brings to the fore the fact that the coalition governments and economic reform measures impact upon state lobbying at the center in a significant manner.
Keywords India, Discretionary finance, Fedralism
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Abstract Recent increases in energy prices, especially oil prices, have become a principal concern for consumers, corporations, and governments. Most analysts believe that oil price fluctuations have considerable consequences on economic activity. Oil markets have become relatively free, resulting in a high degree of oil-price volatility and generating radical changes to world energy and oil industries. Consequently, oil markets are naturally vulnerable to significant high price shifts. An example of such a case is the oil embargo crisis of 1973. In this newly created climate, protection against market risk has become a necessity. Value at Risk (VaR) measures risk exposure at a given probability level and is very important for risk management. Appealing aspects of Extreme Value Theory (EVT) have made convincing arguments for its use in managing energy price risks. In this paper, we model VaR for long and short trading positions in oil market by applying both unconditional and conditional EVT models to forecast Value at Risk. These models are compared to the performances of other well-known modelling techniques, such as GARCH, Historical Simulation and Filtered Historical Simulation. Both conditional EVT and Filtered Historical Simulation procedures offer a major improvement over the conventional methods. Furthermore, GARCH(1, 1)-t model may provide equally good results which are comparable to two combined procedures. Finally, our results confirm the importance of filtering process for the success of standard approaches.
Keywords Extreme Value TheoryValue at RiskOil price volatilityGARCHHistorical SimulationFiltered Historical Simulation
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Abstract In this paper, we address the problem of the role of the distance between trading partners by assuming the variability of coefficients in a standard gravity model. The distance can be interpreted as an indicator of the cost of entry in a market (a fixed cost): the greater the distance, the higher the entry cost, and the more we need to have a large market to be able to cover a high cost of entry. To explore this idea, the paper uses a method called Flexible Least Squares. By allowing the parameters of the gravity model to vary over the observations, our main result is that the more the partner's GDP is large, the less the distance is an obstacle to trade.
Keywords Gravity equation, Flexible Least Squares, Geographical Distance
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Keywords STGARCH, US stock returns
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Abstract We investigate the stability of M3 income velocity in the euro area. We apply a set of breakpoint procedures to examine this issue and conclude that at least one structural change occurred around 2000-2001. We also ...nd evidence of another structural break around 1992-1993. These two breaks seem to a¤ect both the level and the slope of the income velocity of M3. We then estimate a model of equilibrium velocity that factors in the opportunity cost of M3, along the lines suggested by Orphanides and Porter (2000). Here again, we ...nd some evidence of instability in equilibrium velocity. Given the importance of the assumption of stable velocity trends for both the derivation of the reference value and the two-pillar strategy of the Eurosystem, these findings question the relevance of some excess liquidity indicators directly computed from the reference value and may call for some adjustments in the conduct of the ECB's monetary policy.
Keywords M3 velocity, Breakpoint tests, ECB
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Abstract Presents the main statistical tools of econometrics, focusing specifically on modern econometric methodology. The authors unify the approach by using a small number of estimation techniques, mainly generalized method of moments (GMM) estimation and kernel smoothing. The choice of GMM is explained by its relevance in structural econometrics and its preeminent position in econometrics overall. Split into four parts, Part I explains general methods. Part II studies statistical models that are best suited for microeconomic data. Part III deals with dynamic models that are designed for macroeconomic and financial applications. In Part IV the authors synthesize a set of problems that are specific to statistical methods in structural econometrics, namely identification and over-identification, simultaneity, and unobservability. Many theoretical examples illustrate the discussion and can be treated as application exercises. Nobel Laureate James A. Heckman offers a foreword to the work.
Keywords Econometrics
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Keywords India, Regional disparities, Social inequality, Growth, Convergence clubs
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Keywords Économétrie, Inférence, Estimation, Tests
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Abstract This paper uses the logistic smooth transition GARCH model to study the time-varying volatility of the USSαP 500 index. In the LSTGARCH specification, the parameters are function of some information variables that help capturing the conditional return volatility. Tests of standard GARCH models are provided. Forecast comparisons with the GJR model are proposed, showing an overwhelming predominance of the LSTGARCH model.
Keywords Lstgarch, Regime switching volatility, Asymmetric dynamics, LSTGARC, Volatilité à changement de régime, Dynamique asymétrique
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Keywords GARCH, STGARCH
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Keywords Lstgarch
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Keywords Lstgarch
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Keywords Lstgarch
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Keywords STGARCH
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Abstract In 2002 we published a paper in which we used state space time series methods to analyse the teenage employment-federal minimum wage relationship in the US (Bazen and Marimoutou, 2002). The study used quarterly data for the 46 year period running from 1954 to 1999. We detected a small, negative but statistically significant effect of the federal minimum wage on teenage employment, at a time when some studies were casting doubt on the existence of such an effect. In this note we re-estimate the original model with a further 16 years of data (up to 2015). We find that the model satisfactorily tracks the path of the teenage employment-population ratio over this 60 year period, and yields a consistently negative and statistically significant effect of minimum wages on teenage employment. The conclusion reached is the same as in the original paper, and the elasticity estimates very similar: federal minimum wage hikes lead to a reduction in teenage employment with a short run elasticity of around -0.13. The estimated long run elasticity of between -0.37 and -0.47 is less stable, but is nevertheless negative and statistically significant.
Keywords Minimum wage, Teenage employment, State space methods, Unobserved components model
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Abstract We examine the dependence between the volatility of the prices of the carbon dioxide "CO2" emissions with the volatility of one of their fundamental components, the energy prices. The dependence between the returns will be approached by a particular class of copula, the Stochastic Autoregressive Copulas (SCAR), which is a time varying copula that was first introduced by Hafner and Manner (2012)[1] in which the parameter driving the dynamic of the copula follows a stochastic autoregressive process. The standard likelihood method will be used together with Efficient Importance Sampling (EIS) method, to evaluate the integral with a large dimension in the expression of the likelihood function. The main result suggests that the dynamics of the dependence between the volatility of the CO2 emission prices and the volatility of energy returns, coal, natural gas and Brent oil prices, do vary over time, although not much in stable periods but rise noticeably during the period of crisis and turmoils.
Keywords CO2 emissions, Dependence, SCAR copula, Efficient importance sampling, GAS model
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