O. Damette | Université de Lorraine (original) (raw)

Papers by O. Damette

This paper studies the relationship between consumption and wealth based on the concept of cointe... more This paper studies the relationship between consumption and wealth based on the concept of cointegration. The analysis focuses on French data over the 1987 - 2006 period. This relationship is expressed in two ways: in terms of Marginal Propensity to Consume out of wealth (MPC) and in terms of Elasticity of consumption to wealth. Three concepts of consumption are investigated:

Applied Economics, 2015

ABSTRACT This article extends the previous literature on the Tobin tax. We find that very roughly... more ABSTRACT This article extends the previous literature on the Tobin tax. We find that very roughly, a doubling in transaction costs would reduce trading volume by 25% to 40% in the Forex. Most importantly, this article is the first contribution to specify the trading volume of the Forex through different (low and high volatility) regimes. Our results show evidence of nonlinear patterns for trading volumes and transaction costs on the Forex. Thus, the Tobin tax would not have a monotonic impact on trading activity across market conditions. The change in elasticity between low and high volatility regimes would be slight but significantly different. We may suggest that the high-variance regime might be the fundamentalist regime and the low-variance regime might be the chartist regime. It is a first step towards understanding which categories of agents would react to the introduction of a tax. Our results seem consistent with Tobin’s underlying thinking; since a tax would penalize chartists more than fundamentalists, it could reduce exchange rate volatility.

Revue française d'économie, 2009

2009/4 -Volume XXIV pages 135 à 163

Market Microstructure and Nonlinear Dynamics, 2014

Alors que l'utilité de l'instauration d'une taxe Tobin fait l'objet de débats intenses, les trava... more Alors que l'utilité de l'instauration d'une taxe Tobin fait l'objet de débats intenses, les travaux scientifiques qui y sont consacrés sont globalement méconnus. Le présent article en rend compte en se focalisant sur ceux d'entre eux qui font usage de la théorie des jeux er de l'économétrie.

The debate regarding the economic effects of immigration has attracted renewed interest in Europe... more The debate regarding the economic effects of immigration has attracted renewed interest in European countries since the economic crisis. We provide an approximation for the labor market effects of immigrants in four European countries during the global economic crisis after briefly analyzing the situation of native-and foreign-born workers for the recent period. Our analysis focuses on the correlation between the stock of immigrant workers and the number of local labor market workers across several segments of the labor market using a simple model approach.

Economie et statistique, 2010

Les évolutions récentes de la richesse dans les principaux pays industrialisés ont été fortement ... more Les évolutions récentes de la richesse dans les principaux pays industrialisés ont été fortement influencées par la crise financière. Afin d'apprécier leur impact sur la consommation, on évalue les effets de richesse en France sur la période 1987-2008 et sur la période récente. On utilise pour cela des techniques de cointégration en séries temporelles. Empruntant les deux principales voies théoriques de la littérature sur les effets de richesse (approche en termes de propension marginale à consommer et approche en termes d'élasticité), nos estimations prennent en considération plusieurs concepts de consommation (consommation totale, de biens non durables ou à l'exclusion des services financiers) et reposent sur trois méthodes d'estimation différentes du vecteur de cointégration (DOLS, VECM-ML et VECM-GLS). Cette démarche comparative aboutit à des estimations stables et convergentes. Elle permet de conclure à l'existence, dans le cas français, d'effets de richesse significatifs, mais modérés : un doublement de la richesse amène une hausse de la consommation de l'ordre de 8 à 10 % pour les effets de richesse agrégée. Il ressort également des estimations réalisées que les effets financiers (de l'ordre de 10 à 12 %) dominent toujours les effets immobiliers (de l'ordre de 6 %), quelles que soient l'approche ou la méthode retenues. Ces estimations semblent se rapprocher des effets identifiés en Italie. Elles s'avèrent plus faibles que dans les pays anglo-saxons ou en Allemagne. Par ailleurs, l'ajustement de court terme est réalisé à travers le revenu disponible, comme en Allemagne, et non pas par les actifs, comme c'est le cas aux États-Unis. Au total, si le phénomène était considéré comme permanent par les ménages, la chute du prix des actifs observée pendant la crise aurait amputé leur consommation de quelques dixièmes de point de pourcentage.

The resource curse hypothesis relies on the resource-rich countries tendency to grow slower than ... more The resource curse hypothesis relies on the resource-rich countries tendency to grow slower than resource-poor countries. Focusing on forest issues, this paper extends the resource curse hypothesis to environmental degradation: how do forest endowment and forest harvesting affect deforestation? Our empirical results show that countries with important forest cover and forestry sectors seem to deforest more than others, which supports

SSRN Electronic Journal, 2000

This paper studies the relationship between consumption and wealth based on the concept of cointe... more This paper studies the relationship between consumption and wealth based on the concept of cointegration. The analysis focuses on French data over the 1987 -2006 period. This relationship is expressed in two ways: in terms of Marginal Propensity to Consume out of wealth (MPC) and in terms of Elasticity of consumption to wealth. Three concepts of consumption are investigated: total households consumption expenditure, consumption excluding financial services and consumption excluding durable goods. Different estimators are also considered. Based on the MPC approach, when considered as permanent by households, an increase (decrease) in total wealth of one euro would lead to an increase (decrease) of 1 cent in total consumption. In terms of elasticity, an increase (decrease) of 10% in wealth would imply also a relatively small impact of 0.8 to 1.1% on consumption depending on the concept of consumption considered. In most cases, the effect of a change in financial wealth is bigger than of a change in housing wealth. The results indicate that the wealth effects in France are smaller than in the UK and US but close to what is observed in Italy. In addition, any deviation of the variables from their common trends is corrected at first by adjustments in disposable income in line with what has been uncovered by studies on Germany and consistent with the "saving for the rainy days" approach of . But our results contrast with the seminal study of in the US where asset prices make the bulk of the adjustment.

The aim of the paper is to identify the impact of the currency transaction tax on the foreign exc... more The aim of the paper is to identify the impact of the currency transaction tax on the foreign exchange structure and thus its impact on exchange rate volatility. In a noise trading framework a la Jeanne and Rose (2002), we explain that the exchange rate volatility depends on fundamentals volatility and extra volatility due to the behaviour of noise traders. The exchange rate volatility is lower after introducing a Currency Transaction Tax as it increases the entry cost of noise traders and influences the range of possible equilibria. While there are multiple equilibria of exchange rate volatility without Currency Tax, there are only two aggregate exchange rate volatility corner equilibria after introducing a CTT. One of them is a low exchange rate volatility equilibrium. Moreover, we prove analytically the existence of an optimal tax rate for which the exchange rate volatility depends solely on fundamentals variance. In this case, few noise traders enter the market and there is cons...

In this paper, we analyse currencies' misalignments of the CFA zone countries and the adjust... more In this paper, we analyse currencies' misalignments of the CFA zone countries and the adjustment process of their real effective exchange rates towards their equilibrium level over the period 1985-2007. To this end, we firstly estimate, using panel cointegration techniques, a long term relationship between the real effective exchange rate and economic fundamentals. Secondly, we estimate a panel smooth transition error correction model in order to take into account non linearities in the convergence process of real exchange rates towards their equilibrium level. Two main results emerge from our analysis. Firstly, the real appreciation of effective exchange rates in the CFA zone countries from the 2000s did not translate, in 2007, into a real overvaluation comparable to that occurring before the devaluation of the CFA franc in 1994. However, some countries are exceptions, indicating a strong heterogeneity within the CFA zone. Finally, the convergence process of real effective exc...

This paper studies the relationship between consumption and wealth based on the concept of cointe... more This paper studies the relationship between consumption and wealth based on the concept of cointegration. The analysis focuses on French data over the 1987 - 2006 period. This relationship is expressed in two ways: in terms of Marginal Propensity to Consume out of wealth (MPC) and in terms of Elasticity of consumption to wealth. Three concepts of consumption are investigated:

Applied Economics, 2015

ABSTRACT This article extends the previous literature on the Tobin tax. We find that very roughly... more ABSTRACT This article extends the previous literature on the Tobin tax. We find that very roughly, a doubling in transaction costs would reduce trading volume by 25% to 40% in the Forex. Most importantly, this article is the first contribution to specify the trading volume of the Forex through different (low and high volatility) regimes. Our results show evidence of nonlinear patterns for trading volumes and transaction costs on the Forex. Thus, the Tobin tax would not have a monotonic impact on trading activity across market conditions. The change in elasticity between low and high volatility regimes would be slight but significantly different. We may suggest that the high-variance regime might be the fundamentalist regime and the low-variance regime might be the chartist regime. It is a first step towards understanding which categories of agents would react to the introduction of a tax. Our results seem consistent with Tobin’s underlying thinking; since a tax would penalize chartists more than fundamentalists, it could reduce exchange rate volatility.

Revue française d'économie, 2009

2009/4 -Volume XXIV pages 135 à 163

Market Microstructure and Nonlinear Dynamics, 2014

Alors que l'utilité de l'instauration d'une taxe Tobin fait l'objet de débats intenses, les trava... more Alors que l'utilité de l'instauration d'une taxe Tobin fait l'objet de débats intenses, les travaux scientifiques qui y sont consacrés sont globalement méconnus. Le présent article en rend compte en se focalisant sur ceux d'entre eux qui font usage de la théorie des jeux er de l'économétrie.

The debate regarding the economic effects of immigration has attracted renewed interest in Europe... more The debate regarding the economic effects of immigration has attracted renewed interest in European countries since the economic crisis. We provide an approximation for the labor market effects of immigrants in four European countries during the global economic crisis after briefly analyzing the situation of native-and foreign-born workers for the recent period. Our analysis focuses on the correlation between the stock of immigrant workers and the number of local labor market workers across several segments of the labor market using a simple model approach.

Economie et statistique, 2010

Les évolutions récentes de la richesse dans les principaux pays industrialisés ont été fortement ... more Les évolutions récentes de la richesse dans les principaux pays industrialisés ont été fortement influencées par la crise financière. Afin d'apprécier leur impact sur la consommation, on évalue les effets de richesse en France sur la période 1987-2008 et sur la période récente. On utilise pour cela des techniques de cointégration en séries temporelles. Empruntant les deux principales voies théoriques de la littérature sur les effets de richesse (approche en termes de propension marginale à consommer et approche en termes d'élasticité), nos estimations prennent en considération plusieurs concepts de consommation (consommation totale, de biens non durables ou à l'exclusion des services financiers) et reposent sur trois méthodes d'estimation différentes du vecteur de cointégration (DOLS, VECM-ML et VECM-GLS). Cette démarche comparative aboutit à des estimations stables et convergentes. Elle permet de conclure à l'existence, dans le cas français, d'effets de richesse significatifs, mais modérés : un doublement de la richesse amène une hausse de la consommation de l'ordre de 8 à 10 % pour les effets de richesse agrégée. Il ressort également des estimations réalisées que les effets financiers (de l'ordre de 10 à 12 %) dominent toujours les effets immobiliers (de l'ordre de 6 %), quelles que soient l'approche ou la méthode retenues. Ces estimations semblent se rapprocher des effets identifiés en Italie. Elles s'avèrent plus faibles que dans les pays anglo-saxons ou en Allemagne. Par ailleurs, l'ajustement de court terme est réalisé à travers le revenu disponible, comme en Allemagne, et non pas par les actifs, comme c'est le cas aux États-Unis. Au total, si le phénomène était considéré comme permanent par les ménages, la chute du prix des actifs observée pendant la crise aurait amputé leur consommation de quelques dixièmes de point de pourcentage.

The resource curse hypothesis relies on the resource-rich countries tendency to grow slower than ... more The resource curse hypothesis relies on the resource-rich countries tendency to grow slower than resource-poor countries. Focusing on forest issues, this paper extends the resource curse hypothesis to environmental degradation: how do forest endowment and forest harvesting affect deforestation? Our empirical results show that countries with important forest cover and forestry sectors seem to deforest more than others, which supports

SSRN Electronic Journal, 2000

This paper studies the relationship between consumption and wealth based on the concept of cointe... more This paper studies the relationship between consumption and wealth based on the concept of cointegration. The analysis focuses on French data over the 1987 -2006 period. This relationship is expressed in two ways: in terms of Marginal Propensity to Consume out of wealth (MPC) and in terms of Elasticity of consumption to wealth. Three concepts of consumption are investigated: total households consumption expenditure, consumption excluding financial services and consumption excluding durable goods. Different estimators are also considered. Based on the MPC approach, when considered as permanent by households, an increase (decrease) in total wealth of one euro would lead to an increase (decrease) of 1 cent in total consumption. In terms of elasticity, an increase (decrease) of 10% in wealth would imply also a relatively small impact of 0.8 to 1.1% on consumption depending on the concept of consumption considered. In most cases, the effect of a change in financial wealth is bigger than of a change in housing wealth. The results indicate that the wealth effects in France are smaller than in the UK and US but close to what is observed in Italy. In addition, any deviation of the variables from their common trends is corrected at first by adjustments in disposable income in line with what has been uncovered by studies on Germany and consistent with the "saving for the rainy days" approach of . But our results contrast with the seminal study of in the US where asset prices make the bulk of the adjustment.

The aim of the paper is to identify the impact of the currency transaction tax on the foreign exc... more The aim of the paper is to identify the impact of the currency transaction tax on the foreign exchange structure and thus its impact on exchange rate volatility. In a noise trading framework a la Jeanne and Rose (2002), we explain that the exchange rate volatility depends on fundamentals volatility and extra volatility due to the behaviour of noise traders. The exchange rate volatility is lower after introducing a Currency Transaction Tax as it increases the entry cost of noise traders and influences the range of possible equilibria. While there are multiple equilibria of exchange rate volatility without Currency Tax, there are only two aggregate exchange rate volatility corner equilibria after introducing a CTT. One of them is a low exchange rate volatility equilibrium. Moreover, we prove analytically the existence of an optimal tax rate for which the exchange rate volatility depends solely on fundamentals variance. In this case, few noise traders enter the market and there is cons...

In this paper, we analyse currencies' misalignments of the CFA zone countries and the adjust... more In this paper, we analyse currencies' misalignments of the CFA zone countries and the adjustment process of their real effective exchange rates towards their equilibrium level over the period 1985-2007. To this end, we firstly estimate, using panel cointegration techniques, a long term relationship between the real effective exchange rate and economic fundamentals. Secondly, we estimate a panel smooth transition error correction model in order to take into account non linearities in the convergence process of real exchange rates towards their equilibrium level. Two main results emerge from our analysis. Firstly, the real appreciation of effective exchange rates in the CFA zone countries from the 2000s did not translate, in 2007, into a real overvaluation comparable to that occurring before the devaluation of the CFA franc in 1994. However, some countries are exceptions, indicating a strong heterogeneity within the CFA zone. Finally, the convergence process of real effective exc...