Research Seminars

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Economics & Decision Sciences

Speaker: Claire Lelarge
Paris Sud

10 September 2019 - HEC Campus


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Economics & Decision Sciences

Speaker: Larry Samuelson
Yale

13 June 2019 - HEC Campus


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Economics & Decision Sciences

Speaker: Gaetano Gaballo
Banque de France & PSE

19 March 2019 - HEC Campus


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Economics & Decision Sciences

Speaker: Diego Puga
CEMFI

12 March 2019 - HEC Campus


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Economics & Decision Sciences

Speaker: Daniel Chen
Toulouse School of Economics

21 February 2019 - HEC Campus


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Economics & Decision Sciences

Speaker: Harry Di Pei
Northwestern

12 February 2019


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Economics & Decision Sciences

Speaker: Ignacio Monzón
Collegio Carlo Alberto

30 January 2019 - HEC Campus


Asset Pricing with Heterogeneous Intermediaries

Economics & Decision Sciences

Speaker: François Geerolf
UCLA

18 December 2018 - HEC Campus - Building T - Room T004 - From 2:00 PM to 3:15 PM - From 2:00 am to 3:15 am


I propose an asset pricing model based on heterogeneity and scarcity of financial expertise. This corporate-finance view of asset pricing has several predictions in common with intermediary-based asset pricing, but also has several distinguishing features. First, the model microfounds intermediaries’ technologies explicitly, in line with textbook models of corporate finance and financial frictions; it applies even if intermediaries are risk neutral. Second, expected returns do not just correlate with intermediaries’ wealth, but also with borrowers’ wealth, intermediaries’ heterogeneity and borrowers’ heterogeneity. Third, identical securities in the sense of Arrow-Debreu may have different prices, opening arbitrage opportunities from the econometrician’s point of view. Applications of the model to different market settings where financial expertise is key are then discussed: private equity, venture capital, syndicated loans, mutual funds. Finally, the theory is related to earlier evidence previously put forward in favor of intermediary-based asset pricing.

“Welfare Effects of Housing Transaction Taxes: A Quantitative Analysis with an Assignment Model” (joint work with Niku Määttänen)

Economics & Decision Sciences

Speaker: Marko Tervio
Aalto

13 December 2018 - Building T - Room T004 - From 2:00 pm to 3:15 pm


We evaluate the welfare cost of housing transaction taxes with a new assignment model based framework, where welfare effects are driven by distortions in the matching of houses and households. We calibrate the model with data from the Helsinki metropolitan region to assess the impact of a reform where we replace an ad valorem transaction tax with a revenue equivalent property tax. The aggregate welfare gain from this reform increases rapidly with the initial transaction tax rate, with the Laffer curve peaking at about 10\%. The proportion of households that lose out from the reform is nevertheless increasing in the tax rate. We compare our model-based counterfactual aggregate welfare results with welfare calculations based on reduced-form estimates from previous policy evaluation studies; they are broadly in line, despite the latter using data from different housing markets at various levels and changes of the tax rate.

Weather and Death in India: Implications for Climate Change

Economics & Decision Sciences

Speaker: Olivier Deschenes
UCSB

29 November 2018 - Building T - Room T004 from 2:00 pm to 3:15 pm


The industrial revolution in developing countries represents an unfinished process. Urban centers, dominated by manufacturing and services, sit alongside rural hinterlands dominated by subsistence agriculture. This paper uses a 1957-2000 district-level panel data set to test whether hot weather shocks have unequal effects on mortality in rural and urban populations in India. This depends on the degree to which incomes are affected by weather shocks and the extent to which individuals can smooth their survival across these shocks. We find that a one standard deviation increase in high temperature days in a year decreases agricultural yields and real wages by 12.6 % and 9.8 %, respectively, and increases annual mortality among rural populations by 7.3 %. By contrast, in urban areas, there is virtually no evidence of an effect on incomes and a substantially smaller increase in the mortality rate (of about 2.8% for a one standard deviation increase in high temperature days). Importantly, we find that greater availability of credit mitigates the mortality effects of high temperatures in rural areas, presumably by facilitating consumption smoothing. Finally, with all else held constant, the estimates imply that global warming will lead to meaningful reductions in life expectancy in rural India by the 2015-2029 period and quite large declines by the end of the century.


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