WORKING PAPERS 2006

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2006-21

Permis de pollution et contraintes politiques dans un modèle à générations imbriquées

Pierre-André Jouvet, Fabien Prieur

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Abstract
We develop an overlapping generations model of growth in which production generates polluting harmful emissions. In order to control pollution, the government implements an emission permits system. However, subject to political constraints, it is not able to assign the optimal quota on emissions. Hence, in such a framework, regulating pollution solely by permits does not allow the decentralized economy to achieve the long run social optimum. Our contribution is then to show that the combination of the existing permits system with a policy intended to promote a price discrimination between agents on the permits market, is a mean not only to circumvent these rigidities but also to restore the Pareto optimality of the equilibrium.
Mot(s) clé(s)
2006-20

Coûts de transaction et dynamique non-linéaire des prix des actifs financiers : une note théorique

Slim Chaouachi, Fredj Jawadi

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Abstract
The debate of actuality concerns room occupied by the nonlinear models within modelling of the financial sets. To justify the nonlinearity inherent to these sets dynamics, we explore effects of the microstructure of the financial market and teachings of the behaviour finance theory (i.e. transaction costs, asymmetry of information, heterogeneity of investors, mimetic). We show that the presence of transaction costs dissuades the arbitration, limits transactions, deprives prices to fit linearly and continually and induces asymmetric deviations course.
Mot(s) clé(s)
Coûts de transaction, mésalignements de prix, Ajustement non-linéaire, asymétrie et persistance.
2006-19

Decomposing the causes of health care use inequalities: a micro-simulations approach

Hélène Huber

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Abstract
This work analyzes health care consumption behaviors. We focus on their impact on health care distribution within the French population. We run analyses on individual data and make use of microsimulations in order to evaluate the effects of the heterogeneity of individual behaviors.
We propose here an innovative method of the decomposition of health care use inequalities by factors. For a given morbidity, health care consumption is concentrated among the rich ; we show that half of this inequity is due to the heterogeneity of behaviors relative to the rank of individuals in the income distribution. This heterogeneity cannot be identified in the standard decompositions. We propose 3 applications of this method : a decomposition of inequality by factors for France, year 1998, the evaluation of the impact of CMU (universal free care) on the changes in health care use inequalities, and a comparison between the sources of inequality between elderly people (65+) and people aged 15 to 64.
Mot(s) clé(s)
Dépense de santé - Econométrie - Micro-simulations - Inégalités
2006-18

Testing the purchasing power parity in China

Olivier Darné, Jean-François Hoarau

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Abstract
In this paper we examine whether purchasing power parity holds in the long run in China for the period 1970:1 to 2006:5 from an alternative method relative to the previous studies. We underlined the effects of large, but infrequent shocks due to changes of Chinese exchange policy (undertaken since the China's foreign exchange reform) on the real exchange rate, using outlier
methodology. We also show that there is no endency to the purchasing power parity in China to hold in the long run during this period.
Mot(s) clé(s)
Purchasing power parity; real exchange rate; unit root tests; outliers; renminbi.
2006-17

Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte

Catherine Bruneau, Amine Lahiani

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Abstract
This paper implements a simulation-based method for estimating the parameters of Threshold Integrated Moving Average Models with contemporaneous asymmetry. Among many simulation-based methods we use the Indirect Inference method (II) with an autoregressive model as auxiliary model. To investigate the properties of the estimator in finite samples we refer to Monte Carlo methods. We apply our framework to the daily CAC40 index returns series and we find that this series exhibits an asymmetric response to shocks around a threshold.
Mot(s) clé(s)
2006-16

Rentabilité d'actifs et fluctuations économiques : une perspective d'équilibre général dynamique et stochastique

Kevin Elie Beaubrun-Diant, Julien Matheron

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Abstract
This review presents the main tools and results of the research between finance and macroeconomics. The ambition of this literature is to provide a joint analysis of the business cycle and financial asset returns. This paper adopts this perspective and suggests a critical analysis of the mechanisms of modelling a DSGE model, so that this one is compatible with the assets returns stylized facts without sacrificing for business cycle facts.
Mot(s) clé(s)
Fluctuations économiques, Prime de risque des actions, Formation d'habitudes, coût d'ajustement.
2006-15

Création de valeur actionnariale et chômage dans un modèle WS-PS

Nicolas Piluso

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Abstract
The purpose of the article is to analyse the consequences of the constraint of shareholder value on the wage level and equilibrium unemployment rate. We will relate the new program of maximization of the firm, as well as the one of the trade union. We obtain an increase of the unemployment rate when progressing from a maximization of profit to a maximization of the EVA. The unemployment rate is also now depending on others financial variables.
Mot(s) clé(s)
equilibrium unemployment; shareholder value; shareholding-employee; equilibrium wages; trade-union negotiations.
2006-14

Analyse microstructurelle du comportement du teneur de marché des changes : étude intra-journalière de l'activité d'un teneur de marché tunisien

Imen Kouki, Hélène Raymond

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Abstract
The aim of this paper is to test if the price setting strategy of a Tunisian trader on the foreign exchange market can be adequately described by the microstructural model developed by Madhavan and Smidt (1991) and Lyons (1995). We test for informational and inventory effects. The dataset used involves intraday quotes of a medium size bank on the USDTND and EURTND exchange rates, from the 1st January 2002 to the 27th November 2003. Our results confirm an inventory effect and an informational effect from the transactions with the Central Bank of Tunisia, but only for the USDTND exchange rate. The microstructure approach does not help to explain the EURTND quotes. The management of Tunisia exchange rate regime could offer an explanation for these mitigated results. Our results also show that, despite the financial liberalization politics followed by Tunisia for two decades, the Central Bank of Tunisia interventions still strongly act on both USDTND and EURTND quotes.
Mot(s) clé(s)
2006-13

Minimal group identity and gender in ultimatum games

Camille Chaserant

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Abstract
Social identity, or group membership, affects economic outcomes. However, this influence may differ according to the nature of the groups involved. Investigating the weakest group cohesion necessary to influence individual behaviors, we undertook three linked ultimatum game experiments involving a minimal categorization process. Three main results are presented here: (i) Belonging to a minimal group affects behaviors; (ii) Men and women differ systematically in the nature of this influence and (iii) The 'label' given to a minimal group is in itself not neutral.
Mot(s) clé(s)
minimal group, ultimatum game, social identity, gender
2006-12

Why environmental regulation may lead to no-regret pollution abatement?

Thierry Bréchet, Pierre-André Jouvet

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Abstract
Empirical evidence support the existence of pollution abatement possibilities at negative costs, the so-called 'no-regret options'. We provide a microeconomic rationale for the existence of such potential at the firm's level under environmental regulation. An econometric application confirms that marginal pollution abatement cost curves with no-regret options are compatible with a standard production function, as stated in our theoretical model.
Mot(s) clé(s)
No-regret options, pollution, regulation
2006-11

Anticipations, prime de risque et structure par terme des taux d'intérêt : une analyse des comportements d'experts

Georges Prat, Remzi Uctum

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Abstract
Using Consensus Forecasts monthly surveys, we show that experts' interest rate expectations in the Eurofranc market do not verify the rational expectations hypothesis. Instead, these expectations are found to be generated by a mixed process combining the traditional adaptive, regressive and extrapolative processes augmented by macroeconomic effects (price, income, money). This mixed expectational process is shown to verify the term structure relation of interest rates based on the portfolio choice model, where a state-space representation is introduced to account for the unobservable part of the long term asset in the portfolio: (i) the risk premium depends on the variance of the short term asset and on the covariance between the latter and inflation, and (ii) the estimated values of the term structure parameter and of the risk aversion coefficient are in accordance with their theoretical values. Nevertheless, due to transaction costs, the adjustment of the market rates on the portfolio equilibrium relation occurs gradually.
Mot(s) clé(s)
term structure of interest rates, expectations, risk premium
2006-10

Robustness of equilibrium price dispersion in finite market games

Régis Breton, Bertrand Gobillard

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Abstract
We propose an approach to restricting the set of equilibria in a strategic market game and use it to assess the robustness of the price dispersion results obtained by Koutsougeras [2003, J. Econ. Theory 108, 169-175] in the multiple trading posts setup. More precisely, we perturb the initial game by the introduction of transaction costs and our main results are the following. (i) No equilibrium with price dispersion of the game with costless transactions can be approached by equilibria with positive transaction costs as costs get arbitrarily small. (ii) When this type of perturbation is considered the set of equilibrium outcomes is not a®ected by the number of trading posts.
Mot(s) clé(s)
Strategic market games, law of one price, equilibrium selection.
2006-9

Moneychangers and Commodity Money

Vincent Bignon, Richard Dutu

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Abstract
We study the role played by coin experts, called moneychangers, in the metallic money system. To do that, we introduce intermediaries that can expertise and certify coins into the VeldeWeber and Wright's (1999) model of commodity money with imperfectly recognizable coins. We show under which conditions buyers have their coins certified, how circulation by weight and circulation by tale equilibria are affected by moneychangers, and whether moneychangers increase welfare.
Mot(s) clé(s)
Commodity money, Search, Information, Moneychangers.
2006-8

Evolution et sensibilité des stock-options : cas du marché français

Abdelaziz Elmarzougui

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Abstract
This paper studies the evolution and incentive effects of the stock-options allotted to the top-managers of the CAC40’s 18 large companies between 1994 and 2003. A database linked to 184 plans of stock-options is used. Three periods of analysis were considered: before, during and after the financial bubble of the 1990’s end. Our results show that the stock-options in France evolved in a spectacular way between 1994 and 2003. Their values were closely related to the stock prices and strike variations. Moreover, we find that the stock-options sensitivity to volatility is more significant during the bubble than before or after. Thus the incentives created by the stock-options are not monotonous, they are a function of the market trends.
Mot(s) clé(s)
stock-options ; incitations ; rémunération des dirigeants ; évaluation des options.
2006-7

Stockage des permis de pollution en incertitude et règle de partage optimal de risques

Johanna Etner, Pierre-André Jouvet

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Abstract
The well known economic advantage of tradable permits over command and control obviously vanish if firms do not trade because of policy uncertainty. In fact, uncertainty about changes in the permits program could make firms reluctant to invest in tradable permits. This article proposes to give optimal risk sharing rules in order to respond to policy risk. We show how banking of tradable permits can be used as a tool of policy risk control.
Mot(s) clé(s)
firm behavior, tradable permits, policy risk
2006-6

Equilibres multiples avec chômage, coûts de transaction et concurrence monopolistique

Ludovic A. Julien, Nicolas Sanz

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Abstract
The properties of WS-PS model are modified when trade activity is explicitly modelled. We introduce transaction costs on the output market to capture multiplicity whatever the degree of returns to scale. The price setting curve can become downward-sloping in the unemployment rate-real wage space. Trading externalities reinforce the effect of strategic complementarities between firms, leading to multiple unemployment equilibria. Moreover, a positive shock on the bargaining power of workers decreases the unemployment rate and the real wage at the low equilibrium, but increases both of them at the high equilibrium.
Mot(s) clé(s)
multiple unemployment equilibria, transaction costs, monopolistic competition
2006-5

Recovering viable fisheries

Luc Doyen, Vincent Martinet, Olivier Thebaud

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Abstract
This paper develops a formal analysis of the recovery processes for a fishery, from undesired to desired levels of sustainable exploitation, using the theoretical framework of viability control. We define sustainability in terms of biological, economic and social constraints which need to be met for a viable fishery to exist. Biological constraints are based on the definition of a minimal resource stock to be preserved. Economic constraints relate to the existence of a minimum profit per vessel. Social constraints refer to the maintenance of a minimum size of the fleet, and to the maximum speed at which fleet adjustment can take place. Using fleet size and fishing effort per vessel as control variables, we identify the states of this bioeconomic system for which sustainable exploitation is possible, i.e. for which all constraints are dynamically met. Such favorable states are called viable states. We then examine possible transition phases, from non-viable to viable states. We characterize recovery paths, wih respect to the economic and social costs of limiting catches during the recovery period, and to the duration of this transition period. Sensitivity of each of the constraints to transition costs and time are analyzed. The analysis is applied to a single stock fishery; preliminary results of an empirical application to the bay of Biscay nephrops fishery are presented.
Mot(s) clé(s)
sustainable fishing, recovery, fishery policies, bio-economic modeling
2006-4

Interactions des politiques monétaire et budgétaires en union monétaire : évaluation dans un cadre nouveau keynésien

Pascale Duran-Vigneron

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Abstract
In this paper, we focus on the interactions between monetary and fiscal policies in a two-country model of a monetary union. This model has micro foundations in a framework of monopolistic competition and sticky prices. By simulations, we study the combination of optimal policies face to an asymmetric supply shock in a heterogeneous monetary union. Then we want to explore the contribution of fiscal policies in economic stabilisation according to the form of the asymmetry between the countries.
Mot(s) clé(s)
2006-3

A note on price-taking and price-making behaviours in pure exchange economies

Ludovic A. Julien, Fabrice Tricou

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Abstract
This paper explores the rationale of price-taking and price-making behaviours in the context of Walrasian and Cournotian pure exchange economies. Beside the influence of the number of agents, we underline the role of the structure of preferences in the definition and in the working of market power. Through three equilibrium variations of the same basic economy, we obtain several results about price manipulation, about asymptotic identifications for large economies and for degenerate preferences, and about welfare comparisons. Perfect competition does not only correspond to the case of large economies, but may also concern economies where fundamental market powers are more or less equivalent.
Mot(s) clé(s)
2006-2

Innovative work practices, information technologies and working conditions: evidence for France

Philippe Askenazy, Eve Caroli

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Abstract
We investigate the impact of new work practices and information and communication technologies (ICT) on working conditions in France. We use a unique French dataset providing information on individual workers for the year 1998. New work practices include the use of quality norms, job rotation, collective discussions on work organization and working time flexibility. Working conditions are captured by occupational injuries as well as indicators of mental strain. We find that workers involved in the new practices face working conditions that are significantly worse than those of workers in non innovative work practices. But, the picture is mixed for ICT that seem to make the workplace safer and less risky.
Mot(s) clé(s)
new work practices, technology, working conditions, occupational injuries
2006-1

Optimal growth in overlapping generations with a directly polluting sector and an indirect one

Pierre-André Jouvet, Philippe Michel, Gilles Rotillon

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Abstract
We study the optimal growth path and its decentralization in an overlapping generations model with two consumption goods and pollution effect. We consider two production sector i.e. one with a direct effect of pollution and the other with an indirect pollution effect by using energy. In the presence of externalities, decentralization of an optimal path needs some specific taxes in addition to lump-sum transfers. The introduction of a market for pollution permits, concerning only the polluting sector, neutralizes the external environmental effects. We show that there is a unique management of permits such that the equilibrium coincides with the optimal path: all permits should be auctioned i.e. no free permits to firms. This conclusion is in contradiction with the usual practice of grandfathering.
Mot(s) clé(s)
optimal growth, environment, market of permits
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