Calendar

Fév
1
mer
POURQUOI L’EUROPE A BESOIN D’UNE UNION DES MARCHÉS DU FINANCEMENT ? RÉGIS BRETON, BANQUE DE FRANCE
Fév 1 @ 18 h 00 min – 20 h 00 min

      

LABEX ReFi  & CENTRE COURNOT

POURQUOI L’EUROPE A BESOIN D’UNE UNION DES MARCHÉS DU FINANCEMENT

MERCREDI 1 FÉVRIER 2017, 18H00 – PARIS

 

Intervenant: Régis Breton 

Banque de France

(CV & Bio here)

Discutant: Xavier Timbeau

OFCE

(CV & Bio here)

 

A la suite de la crise financière, l’Union européenne a pris un certain nombre d’initiatives afin d’accroître l’intégration financière entre les pays membres – à travers notamment l’union bancaire, et plus récemment le projet d’union des marchés de capitaux. Les banques centrales de l’Eurosystème ont-elles des raisons particulières d’accompagner et d’encourager ce mouvement ?

Ce séminaire sera l’occasion de proposer un mécanisme nouveau par lequel les barrières à l’intégration des marchés du crédit peuvent mettre en cause la soutenabilité et la désirabilité même de la monnaie unique. L’intégration des marchés du crédit y apparaît comme un complément nécessaire à l’intégration monétaire, indépendamment des considérations de transmission homogène de la politique monétaire et de chocs asymétriques habituellement mises en avant dans le débat économique.

Inscription obligatoire

 

Fév
3
ven
Research Seminar, ReFi – ‘Smart’ Settlement- Marius A. Zoican – Université Paris Dauphine
Fév 3 @ 12 h 00 min – 13 h 30 min

 

research_seminar_refi

 

Organized by Prof. Gunther Capelle-Blancard (Université Paris I Panthéon-Sorbonne, Labex ReFi) and Prof. Christophe Moussu (ESCP Europe, Labex ReFi).

 

 

Marius A. Zoican

Université Paris Dauphine

(CV & Bio here)

 

‘Smart’ Settlement

Abstract :

Blockchain technology allows for flexible settlement of trades. We build a model of intermediated trading with search frictions and counterparty risk. On the one hand, longer trade-to-settlement time increases counterparty risk exposure. On the other hand, liquidity improves since intermediaries have more time to adjust inventories. Optimal time-to-settlement decreases in counterparty risk and search intensity. However, with flexible time-to-settlement intermediaries specialize in either high- or low-default risk contracts. Consequently, price competition is relaxed. Intermediaries earn rents, increasing in their (common) default rate due to larger scope for specialization. A unique time-to-settlement for all trades in a given security improves welfare.

 
 
 
ESCP EUROPE
79 avenue de la République 75011 Paris
le vendredi 3 fevrier 2017
12:00 – 1:30pm, Amphi 4310
 
For security reason, please register before the deadline.
Deadline: 2 fevrier 2017
NB. If you are prevented from coming, we would be obliged if you could inform us as soon as possible at contact@labex-refi.com.
 

Registration

 (Past and coming events)
Fév
10
ven
Research Seminar, ReFi – Real Estate as a Common Risk Factor in Bank Stocks – Alain Coën – ESG-UQÀM, University of Quebec in Montreal
Fév 10 @ 12 h 00 min – 13 h 30 min

 

research_seminar_refi

 

Organized by Prof. Gunther Capelle-Blancard (Université Paris I Panthéon-Sorbonne, Labex ReFi) and Prof. Christophe Moussu (ESCP Europe, Labex ReFi).

 

 

Alain Coën

ESG-UQÀM, University of Quebec in Montreal

(CV & Bio here)

 

Real Estate as a Common Risk Factor in Bank Stocks

 
 
 
ESCP EUROPE
79 avenue de la République 75011 Paris
le vendredi 10 fevrier 2017
12:00 – 1:30pm, Amphi 4310
 
For security reason, please register before the deadline.
Deadline : 2 fevrier 2017
NB. If you are prevented from coming, we would be obliged if you could inform us as soon as possible at contact@labex-refi.com.
 

Registration

Abstract :

This article investigates the potential role of real estate risk in the pricing
of 10 portfolios of US bank stocks formed by market equity. GMM estimates
of conditional and unconditional multifactor models are provided. The main
risk exposures considered beside real estate are the market, the term and the
default premiums. The real estate risk is proxied with three alternative mea-
sures build with the NAREIT and NCREIF indexes. The sample covers the
period running from June 1986 to December 2014. The article nds consider-
able evidence in favour of the proposition that real estate risk is priced in US
bank stocks. This conclusion does not change when the sample is split in two
and it is robust to the inclusion of Fama and French new CMA factor. This
exercise reveals that the real estate factor is a leading common risk factor in
the last three decades generally associated with mortgage securitization and
then with the so called \real estate bubble ».

 (Past and coming events)
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