Calendrier du 23 janvier 2017
Roy Seminar (ADRES)
Du 23/01/2017 de 17:00 à 18:30
Salle E101, RDC Bâtiment E, Campus Jourdan, 48 boulevard Jourdan, 75014 Paris
BOMMIER Antoine (ETH Zürich)
Household Finance and the Value of Life
We analyze life-cycle saving strategies with a recursive model that is designed to provide reasonable positive values for the value of a statistical life. With a positive value of life, risk aversion amplifies the impact of uncertain survival on the discount rate, and thus reduces savings. Our model also predicts that risk aversion lowers stock market participation and leads to choose more conservative portfolios.
Régulation et Environnement
Du 23/01/2017 de 12:00 à 14:00
Salle 10, RDC Bâtiment G, Campus Jourdan, 48 boulevard Jourdan, 75014 Paris
CANTILLON Estelle (Université Libre de Bruxelles)
Price formation in the European carbon market: The role of firm participation and risk management practices
écrit avec Aurélie Slechten, Lancaster Business School
A key argument in favor of emissions markets (relative to command-and-control types of regulation) is their ability to aggregate dispersed information about abatement costs and emissions and generate price signals to guide firms' trading and abatement decisions. We exploit trading data from the first phase of the EU emissions trading scheme (EU ETS) to assess the extent to which this market was indeed able to deliver such price signals. We know who traded, when, with whom, on which platform if any, and at what price. Participation was partial, trading patterns differed across categories of market participants and the market was fragmented. We build a model of trading and information aggregation that integrates the salient features of the market and use it to explore their impact on the price formation process. Risk management practices and partial participation help account for some of the price anomalies that have been identified in the past on the basis of the analysis of price time series only.