LUNCH

Co-auteur : Mateo Teixeira (Université Lumière Lyon 2)
résumé : This article addresses the growing gap between qualitative data on prices and money in France around World War II, and the available CPI. It gathers archival price data to calculate a new CPI for 1938-1949, incorporating both official and black-market prices. The study demonstrates the adequacy of available sources and the robustness of the new CPI, both in its construction and when compared to contemporary analyses. Three key findings are that France did not experience exponential price acceleration; that dictatorship (1940-1944) was no more effective at price control than democracy (1945-1949); and that the 1944-1945 wage increases had a minor impact on inflation, questioning the price-wage loop explanation of France’s post-war inflation.

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Co-auteurs : Khadija Bchi (Université d'Ottawa) et Myra Yazbeck (Université d'Ottawa)
Résumé : This paper proposes a decomposition approach for health concentration curves. Decomposing changes in health concentration curves gives additional insight compared to decomposing a single index such as the health concentration index. First, the results would be valid for a comprehensive set of indices. Second, and more importantly, it allows for identifying heterogeneous effects along socioeconomic ranks. We use inverse propensity weighting for the overall decomposition. We use multiple recentered influence function regressions on a grid of points to identify the impact of specific covariates. We weight these regressions by the inverse propensity score of the observations to correct for errors due to departure from linearity. The paper also derives the expressions of the recentered influence functions of the relative and absolute health concentration curves since the literature does not offer the expression of these recentered influence functions. We offer an empirical illustration using information on cigarette consumption from the National Health Interview Survey of 2000 and 2020.

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Co-auteurs : Gwen-Jiro Clochard (Institute of Social and Economic Research, Osaka University), Guillaume Hollard (CREST, CNRS et Ecole Polytechnique)
résumé : The contact hypothesis posits that interaction with outgroup members can reduce prejudice and improve intergroup relations. While the overall effects of contact have been found to be positive, some studies have found null or even negative effects. We aim to contribute to the understanding of the scope conditions of contact interventions, by singling out the effects of a common component of all existing contact interventions, namely bilateral discussions. Contact is found to be effective in increasing interethnic trust toward the individuals met during the intervention, in line with previous results from longer interventions. However, the results do not generalize to the collective level. Our heterogeneity analyses fail to find evidence of heterogeneity in the treatment effect.

Abstract : This paper proposes a general framework to measure power in market games: the power of an agent over an outcome is understood as the sensitivity of that outcome to counterfactual variations in the agent's preferences. On the one hand, this allows to generalise the Lerner index of pricing power, overcoming some of its limits and extending it to measure the power of a firm not only over its price, but also over its product type, over its competitors' profit or its power to discriminate. On the other, it allows to analyse power under perfect competition, shedding light on the unequal distribution of consumer sovereignty.
Lien vers l'article : https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4721252

Résumé : Nous étudions les perturbations dues à l’introduction d’une nouvelle technique dans une économie en croissance régulière. Hicks (1974) désigne par traverse la trajectoire conduisant à un nouveau sentier régulier, la nouvelle technique étant caractérisée par le remplacement d’une machine « rassise » par une machine « moderne ». La dynamique dépend des caractéristiques des deux machines. L’analyse de Hicks se fonde sur un modèle néo-autrichien et montre que les conditions d’existence d’une traverse de plein emploi sont restrictives. Nous simplifions et étendons le travail de Hicks et effectuons un parallèle avec celui de Pasinetti (1981, 1993) sur la dynamique structurelle, qui aborde un problème similaire dans un autre cadre théorique. La question des effets d’une innovation technologique sur l’emploi et les salaires remonte au moins à Ricardo (1817), passe au XXème siècle par Schumpeter et les nouvelles théories de la croissance, et reste plus que jamais d’actualité.
Papier : https://econpapers.repec.org/paper/drmwpaper/2024-12.htm

Co-auteur: Cyril Hédoin (URCA-Laboratoire Regards)

coauteurs : Donatella GATTI (CEPN, Université Sorbonne Paris Nord), Gaye-Del LO (CEPN, Université Sorbonne Paris Nord)

résumé :This paper identifies the determinants of OECD Environmental Policy Stringency (EPS) index using a panel of 21 European countries for the period 2009-2019. If there is a large literature on the macroeconomic, political, and social determinants of EPS, the people's attitudes or preferences toward environmental policies is still burgeoning. Thus, the main goal of this paper is to estimate the effects of people's awareness regarding environmental issues on the EPS indicator. Due to the endogeneity of preferences, we have applied an instrumental variable framework to estimate our empirical model. Our most important result is to show that individual environmental preferences do have a positive and significant effect on the level of EPS indicator once the endogeneity bias has been taken into account : on average, a rise in individual preferences of 10% in a country will increase its EPS indicator by at least 1.85%. Our results have important policy implications.

Résumé : The oligopoly equilibrium proposed by Cournot [1838] and the non-cooperative equilibrium presented by Nash [1950a, 1951] display strong similarities. More precisely, it is often considered that the Cournotian notion is a particular case of the general Nashian concept. This paper primarily argues that this conventional wisdom is incomplete and disputable, as Cournot actually raises three relevant points that are absent or implicit in Nash’s papers. First, the strategic rationality is clearly specified as reactive by Cournot, while Nash does not explicitly state that strategies are chosen as ‘best replies’. Second, disequilibrium coordination is tackled by Cournot through a process of alternate replies, while Nash defines a purely static concept of equilibrium. Third, the oligopolistic equilibrium is shown as inefficient by Cournot, while the frequent suboptimality of the strategic equilibrium is not treated by Nash. On a secondary note, this paper shows that the two first mentioned original Cournotian traits were not forgotten in the established corpus of microeconomics, as they were integrated in the making of the strategic equilibrium, sometimes explicitly named “Cournot-Nash equilibrium”, which arose as the main equilibrium concept of the post-Walrasian microeconomics starting in the 1970s.

coauteur : Mathieu Bunel (LEDI, Université de Bourgogne)
résumé: Echoing recent policies implemented in Seattle and Portland, we examine perceptions of the fairness of the first-come, first-served (FCFS) rule in the context of discrimination in the rental housing market. We use two original hypothetical survey experiments in which a rental agent is confronted with the discriminatory preferences of his landlord clients. A sample of 2,835 respondents representative of the US population was asked about which choice was the best, from a moral point of view: to allocate rental units exclusively to the non-discriminated group, exclusively to the discriminated group, or to whichever group applied first (FCFS rule). Factorial manipulations included in the design are, in Experiment A, the income effect of implementing the FCFS rule for the rental agent, who risks losing his landlord clients if he/she rents to the discriminated tenants and, in Experiment B, contextual effects (peer effects and social norms aligned with or divergent from the FCFS rule). Consistent with the literature, we find that the FCFS rule ranks high among other normative principles, but that its income impact has a causal effect on the support it receives from respondents. We also find that both peer effects and social norms have a causal effect on the support for the FCFS rule, with social norms having a stronger effect. Finally, we find that the respondents who are likely to experience discrimination are the least likely to support the FCFS rule.

résumé: La présentation s'appuie sur deux études. D'une part, il s'agit d'une étude empirique fondée sur une expérience de choix discrets avec près de 600 agriculteurs vietnamiens visant à mesurer comment des facteurs de marché et des facteurs hors marché peuvent influencer leurs préférences en matière d'adoption de pratiques d'agriculture biologique. Nos résultats suggèrent que les contrats de vente (avec des prix flexibles ou garantis), la formation et le soutien technique des agriculteurs, la présence des agriculteurs biologiques et, en particulier, celle des agriculteurs leaders officiels en agriculture biologique sont des facteurs encourageant les agriculteurs à se convertir à l'agriculture biologique. D'autre part, en nous intéressant uniquement au facteur de leadership, nous proposons une modélisation théorique à 2 agents, un agriculteur leader et un agriculteur suiveur (follower). Le leader, possédant une information privée sur la productivité de la technologie de production biologique, décide en premier, la part de sa surface de terre consacrée à la production biologique (le reste étant en agriculture conventionnelle). Le follower observe cette action et décide à son tour son engagement dans cette production. Les agriculteurs (leader et follower) peuvent coopérer sur la base d'une négociation à la Nash. Ce modèle théorique est par la suite confronté à des données expérimentales collectées également au Vietnam. Nos premiers résultats tendent à valider les conclusions de notre modèle théorique.

Thomas Jacquet : Modélisation et quantification de l'impact du climat sur les fluctuations macroéconomiques
Amady Léchenet : Essais sur la trajectoire de la transition énergétique : interconnexions, financiarisation et efficacité des marchés des matières premières énergétiques
Albin Salmon : Les enjeux des politiques monétaires domestiques et externes dans les pays d’Afrique subsaharienne
Benjamin Trouvé : Modélisation technico-économique des technologies de production d'hydrogène, routes commerciales et stratégies des acteurs

coauteurs : Paul Hubert (Banque de France & Sciences Po - OFCE) et Fabien Labondance (Université de Franche-Comté-CRESE & Sciences Po - OFCE).
résumé :
This paper investigates the effects of dissent in ECB meetings on asset prices and the formation of policy expectations, based on a novel index of dissent. Using intraday data, we exploit a particular feature of the ECB communication framework for identification: policy decisions are announced in a press release, but dissent is revealed during the press conference later that day. We document that dissent – both expansionary and restrictive – has a negative effect on stock prices and acts as an uncertainty shock. We provide evidence that expansionary dissent pushes down ex ante policy expectations and contributes to more positive monetary surprises.

coauteur : Ivan Ledezma (LEDi, Université de Bourgogne)
résumé :
We study how global value chain participation causally affects productivity at the firm level. We utilize an extensive dataset encompassing firms from countries of different income levels over the period 2006-2021, together with matching approaches to control for endogeneity. Our primary finding underscores that the simultaneous coordination of importing and exporting activities within a single firm leads to an increase in labor productivity. Positive effects on TFP are significant only within the subgroup of firms in the less developed countries and those operating in low-tech industries. Increased capital intensity appears as a plausible explanation of labor productivity gains. We also find higher innovation propensity, quality enhancements, and labor-cost reductions for two-way traders as channels through which GVC participation influences firms' technical change. The lower responsiveness of TFP in advanced countries can be explained by the different nature of technical change for firms operating closer to the world technology frontier.

Lucas Benyattou : Environnement institutionnel, croissance et régulation des Big Tech : trois essais en économie politique des institutions.

Nanxi Li : Combiner droit des accidents et responsabilité du fait des produits défectueux dans un monde d'Intelligence Artificielle.

Nolwenn Loisel : Essais en économie du crime et de la justice pénale.

Aswin Sivapragassam : Baisse de la participation électorale et ambiguïté stratégique liée aux positions incertaines des candidats

Co-auteurs : Mathieu Picault (LEO - Orléans)
Abstract : Nous définissons le concept de Couverture Politique Opportuniste de la Banque Centrale (CPOBC) qui correspond à une modification opportuniste de la popularité des partis politiques imputable à la couverture médiatique de la politique monétaire. Plus précisément, nous supposons que le traitement médiatique de la politique monétaire dans la presse a un impact significatif sur la popularité des partis politiques nationaux avant les élections. Afin d’étudier l’existence de ce concept, nous mobilisons des côtes de popularité mensuelles de 6 partis politiques allemands sur la période allant de janvier 2005 à décembre 2021. Par la suite, nous mesurons la couverture médiatique à travers une analyse textuelle sur plus de 26.000 articles de presse provenant de 6 journaux allemands. Enfin, nous estimons des fonctions de popularité pour ces partis politiques allemands au sein desquels nous introduisons nos mesures textuelles en interaction avec une variable muette prenant la valeur 1 le mois précédent une élection. Notre analyse met en évidence l’existence de ces CPOBCs en Allemagne le mois précédent une élection fédérale ou le mois précédent une élection européenne. Ce résultat est robuste à l’utilisation d’un modèle SUR, la définition de périodes pré-électorales différentes, la mise en place de deux analyses de sentiment, l’utilisation de données issue de Google Trends et la prise en compte de l’intérêt de l’opinion publique pour les membres de la BCE. De plus, il semble que l’existence des CPOBCs dépend de l’idéologie des journaux étudiés.

Article

Coauteurs : Béatrice Cherrier (CNRS - CREST) et Pedro Garcia Duarte (INSPER)
Abstract : In this paper, we trace the rise of heterogeneous household models in mainstream macroeconomics from the turn of the 1980s to the early 2000s, when these models evolved into an identifiable and consistent literature. We show that different communities across the US and Europe considered heterogeneous agents for various reasons and developed models that differed in their theoretical and empirical strategies. Minnesota economists primarily focused on incorporating stochastic heterogeneity into general equilibrium models. Other researchers refined growth models or tried to find alternatives to the permanent income hypothesis, leading them to explore more structural heterogeneity. We also document the computational challenges that some of these communities faced, how they gradually became aware of each other's work, and how they faced criticisms from macro- and microeconomists, many of them trained in European countries and dissatisfied with the theoretical and empirical aggregation strategies underlying these models.

Article

Abstract: Empirical evidence shows that men and women make different educational choices and hold different types of occupations. In this paper, we study the case of medical studies in France: a very competitive field in which there are today more women than men and where high gender imbalances in terms of medical specialty choices are observed. We investigate the determinants of the gender gap of specialty choices that takes place at the end of the 6th year of medical studies after taking a national exam that rank the students allowing them to sequentially choose a specialty from the available residency positions. We confirm that women perform less and thus have a more constrained specialty choice set than men. The taste for competition largely explains this gender gap. We also show that even when facing the same choice set, women choose different specialties than men and that is mainly because women have different tastes for specialties amenities.

Coauteurs : Paul Beaudry (Banque du Canada), Fabrice Collard (TSE), Patrick Fève (TSE), Franck Portier (University College London)

Résumé: Most macroeconomic models, both fully structural models as well as SVAR models, view economic outcomes as the product of a combination of endogenous and exogenous dynamic forces. In particular, the exogenous forces are generally modeled as a set of linearly independent dynamics processes. In this paper we begin by showing that this dual dynamic structure is sufficient to identify the entire set of structural impulse responses inherent to any such model. No extra restrictions are necessary. We then use this observation to suggest how it can be used to evaluate common SVAR restrictions (impact restrictions, long-run restrictions and proxy-VAR), as well as help transpire the role of cross-equation restrictions inherent to more structural models.

Coauteurs : N. Boussaha (USTHB, Alger), A. Khalfi (USTHB, Alger)
Résumé : In this paper, we propose a new threshold model to deal with the asymmetry and leverage effect in the volatility of financial time series. Our model generalizes the classical threshold stochastic volatility model. By introducing a new flexible and smooth regime-switching mechanism, we avoid the sudden jump in the log-volatility imposed by the classical model. More precisely, we propose a new threshold model that we call Buffered Threshold Stochastic Volatility (BTSV) model. After the definition of our model, we derive a sufficient condition for the strict stationarity of the model. Then, we develop a Sequential Monte Carlo method to estimate the parameters. Next, we analyse the performance of the proposed method through a simulation study. Finally, we apply our new methodology to model the Honeywell International Inc and Standard and Poor Composite 500 stock market indices. This empirical analysis shows that BTSV model is a competitive alternative for the asymmetry modelling in financial returns analysis.

coauteurs : Nadine Levratto (Université Paris Nanterre), Matthieu Chtioui (OFGL) et Luc Tessier (Ecole de Management de Normandie)

résumé :
Depuis le milieu des années 1990, le primat de la baisse des dépenses publiques et les politiques d’offre fondées sur le contrôle des salaires et la réduction des coûts de production se sont imposés, accentuant les critiques à l’égard de la fiscalité. Le résultat de ce mouvement est particulièrement visible du côté des entreprises dont les prélèvements obligatoires, après avoir augmenté au cours de la période 2009-2013 connaissent depuis une réduction sensible et rapide qui contraste avec la hausse ininterrompue et marquée des taux des ménages (Plane & Sampognaro, 2015). En dépit de cette situation, les différentes organisations professionnelles françaises, plus que celles d’autres pays de l’OCDE, ont contribué à renforcer ce mouvement en arguant du poids de la fiscalité des entreprises, en général, et des impôts dits « de production », en particulier, qui figurent parmi les plus élevés d’Europe (DG Trésor, Rapport économique, social et financier - PLF pour 2020, p. 174).
Les entreprises, notamment au niveau national via leurs fédérations représentatives, se plaignent de la charge que la fiscalité locale fait peser sur leur bilan et marges financières. La fiscalité locale est présentée comme un frein au développement et surtout à la réindustrialisation du pays sans qu’il y ait de mise en perspective avec les biens et services collectifs que ces impositions locales permettent de financer...

Co-auteurs : Ariane Bousquet (Renault et Université d'Evry) et Maria-Eugenia Sanin (Université d'Evry)

Résumé : Fuel taxes being very unpopular, most environmental policies in the automobile sector consists in subsidies, standards, or feebates. A major drawback to the effectiveness of such policies is that they only affect new cars. However, the interaction between first-hand and second-hand markets has not been documented yet. This paper investigates how environmental taxes on new cars affect prices in the used-car market. Focusing on the French feebate on new vehicles, I use a unique data set from the leading French car-selling platform. I find a statistically significant effect of taxes on the prices of used cars. This pass-through to used car prices fades after one to two years. On the contrary, I do not find any effect of subsidies on low-emission vehicles on used car prices. These results indicate that sellers of relatively young polluting cars manage to pass the taxes they paid at registration to buyers in the used car markets. They also indicate that subsidies do not significantly decrease prices in second-hand markets. More generally, these preliminary findings bring new perspectives to the evaluation of the effectiveness and distributive effects of environmental policies in the automobile sector.

Co-auteurs: M.H. Rahman (Universités de Durham et Curtin), M.A. Ulubasoglu (Université de Deakin) 

Résumé : We exploit the exogenous variation in the timing and intensity of storms in island countries to estimate the storms' effect on the extent of democracy. Using a rich panel dataset spanning the period 1950–2020, our difference-in-differences estimations, which allow multiple treatments over time, indicate that storms trigger autocratic tendencies in island countries by reducing the Polity2 score by about four percent in the following year. These findings resonate with our simple dynamic game-theoretical model, which predicts that governments move towards autocracy by placating citizens with post-disaster assistance in response to citizens’ insurgency threat in the absence of relief, giving rise to the political regime of “storm autocracies”. Our results survive a battery of robustness analyses, randomization tests, potential spatial biases, and other falsification and placebo checks.

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Co-auteur : Maxime Lucet (étudiant Master PSE)

Résumé : The commitment of companies to the transition process to a low carbon, circular and sustainable economy in France relies, alongside other regulatory instruments, on mandatory public disclosure of information. Several laws have been passed in the 2000s that contribute to increase both the quantity and verifiability of available information. In this ongoing study, we provide a qualitative analysis of companies environmental and climate reporting in the lights of developments in disclosure legislation. We detail an NLP pipeline used to create and analyze a dataset of about 120k pages of publicly available reports from 27 French companies over 12 years. We highlight that, despite the legislation influenced companies discourse towards greater compliance, firms have heterogeneous practices regarding public disclosure of information.

Co-auteurs : Julien Jacqmin (Neoma Business School, Rouen), Jean-Christophe Poudou (Université de Montpellier)

Résumé : Renewable energy communities involve various agents who decide to jointly invest in renewable production units and storage. This paper examines how these communities interact with the energy system and can decrease its overall cost. First, we show that a renewable energy community cancontribute positively to welfare if the electricity produced by the investment is consumed close to its place of production, i.e. if the community has a high degree of self-consumption. Second, our analysis identifies the condition on prices and grid tariffs to align the community's interest with welfare maximization. We also show that some of these grid tariffs do not have a negative impact on non-members of the community and could therefore limit potential distributional issues. Third, we argue that various internal organization of the renewable energy communities are feasible. The internal organization impacts the distribution of benefits among members but not the global efficiency of the community.

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Coauteur: Yann Lecorps (Université du Mans)

Résumé: We investigate whether the International Criminal Court (ICC), launched in 2002, effectively deters ruling leaders and criminal groups under its jurisdiction from engaging in egregious violence against civilians. We exploit killings data from a panel of 176 countries over the period 1989-2019 and estimate Interactive Fixed Effects models to control for the endogeneity of the ratification process. ICC jurisdiction has negative effects on violence committed by non-governmental forces in high-risk countries, previously characterized by civil violence and weak institutions. The evidence regarding violence by governments is more mixed, a pattern that is consistent with the institutional fragility of the Court.

Co-auteur : Federico Carril-Caccia (University of Granada)

Résumé : This study contributes to the literature seeking to test the pollution haven’s hypothesis (PHH), by focusing on the influence of environmental policy on the location’s decision of cross-border Mergers and Acquisitions (M&As). To this end, we build an original database for M&As for 34 host countries, 100 source countries, 54 sectors during the period 1995-2015. An important contribution of the study is to implement a structural gravity approach that accounts for omitted bias, border effects and simultaneity bias. This is the first study applying this method to bilateral FDI at the sector level. Our aim is to test whether laxer environmental regulation may favour inward M&As in general or in more polluting sectors in particular. Our preliminary results confirm that more stringent environmental policies make countries less attractive to foreign investors planning to invest through M&As. This especially the case, as expected, when sectors of destination contaminate more than the average as measured by greenhouse gases emissions per employee. Finally, the effect of more stringent environmental policy does not significantly affect the amount invested (intensive margin).

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Résumé : Cette présentation a pour objectif de faire le point sur le Mécanisme d’Ajustement Carbone aux Frontières (MACF) dont la Commission Européenne a décidé le démarrage sous forme transitoire à partir de 2023 dans le cadre de son Green Deal. La présentation replace dans un premier temps le MACF dans le contexte plus large de la politique climatique de l’UE, en soulignant notamment comment il s’inscrit dans l’évolution de long terme du marché du carbone européen, l’EU-ETS. Dans un second temps, les modalités du MACF, telles que connues à ce jour, sont présentées et analysées. Dans un troisième temps, la capacité du MACF à faciliter l’accélération de la décarbonation de l’économie européenne en s’appuyant sur l’EU-ETS est discutée et une première évaluation qualitative est proposée.

Nabil Daher sous la direction d’Antonia Lopez-Villavicencio et de Pauline Gandré
« L'impact macroéconomique des catastrophes naturelles liées au changement climatique »

Michaël Guilloussou sous la direction de Cécile Couharde et de Rémi Generoso
« Le rôle de l’agriculture dans la relation climat-migration dans un contexte de changement climatique : le cas de la Corn Belt »

Daniela Lima Rente sous la direction de Tarek Jaber Lopez et de Noémi Berlin
« Les leviers de la consommation de fruits et légumes : une analyse par l’économie »

Maryam Soltani sous la direction de Saïd Souam et d’Eliane El Badaoui
« Women empowerment, children’s outcomes, and time allocation under severe gender norms. An application to Iran »

Co-auteurs : Christine de la Maisonneuve (OECD), David Turner (OCDE)

Résumé: Ce papier fournit une nouvelle mesure de capital humain qui s’appuie sur les enquêtes PISA et PIAAC, et les années moyennes de scolarité. La nouvelle mesure est une moyenne pondérée par cohorte des scores PISA antérieurs (représentant la qualité de l'éducation) de la population en âge de travailler et des années moyennes de scolarité correspondantes (représentant la quantité d'éducation). Contrairement à la littérature existante, les poids relatifs de chaque composante ne sont ni imposés ni calibrés mais directement estimés. Le papier constate que l'élasticité du stock de capital humain par rapport à la qualité de l'éducation est trois à quatre fois plus grande que par rapport à la quantité d'éducation. La nouvelle mesure a un lien étroit avec la productivité, le potentiel de gains de productivité étant beaucoup plus important quand ils résultent d’une amélioration de la qualité plutôt que de la quantité du capital humain. L'ampleur de ces gains potentiels de PGF est comparable à une amélioration standardisée similaire de la réglementation des marchés de produits, mais les effets se matérialisent avec des délais beaucoup plus longs. Le papier montre, à travers l'exemple de l'enseignement pré-primaire, comment simuler l'impact d'une réforme particulière de la politique éducative sur le capital humain et la productivité.

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Mehdi Aït-Hamlat, sous la direction de Saïd Souam
« Interconnexions entre criminalité et terrorisme, impact sur les populations et les politiques publiques »

Florian Baudoin sous la direction de Laurence Scialom
« Les risques financiers d’origine climatique: des stress tests climatiques à une approche macroéconomique »

Tanguy Bonnet sous la direction de Valérie Mignon
« Les métaux stratégiques dans la transition énergétique : investissements, valorisation et politiques pub »

co-auteur: Remzi Uctum

Using survey-based monthly oil price expectations, we measure ex-ante oil risk premiums for 3- and 12-month horizons over a period of thirty years. We show that these premiums, which are particularly appropriate to analyzing investors’ decision-making, are nearly uncorrelated with the ex-post premiums usually employed in the literature where the expected price is replaced by the ex-post realized price. We consider a simple portfolio choice model from which each risk premium can be expressed as the product of the risk price and the expected variance of oil returns, both of these components depending on time and horizon. A two-horizon model of risk premiums, where the risk prices are represented as stochastic unobservable components and the expected variances as weighted averages of actual and past instantaneous variances, is estimated using the Kalman filter methodology. We find that the representative investor is mostly risk seeking at the short horizon and mostly risk averse at the long horizon. The prevalence of risk-aversion when oil market is bullish and of risk seeking when it is bearish is consistent with the predictions of the prospect theory. A dominant upward sloping term structure of ex-ante oil risk premiums is evidenced over our extended period. Our oil risk prices are shown to depend on economic and oil market-related factors.

Co-auteurs : Bruno Ducoudré (Banque de France), Eric Heyer (OFCE), Mathieu Plane (OFCE), Raul Sampognaro (OFCE) et Xavier Timbeau (OFCE)

Co-auteure: Emmanuelle Augeraud-Véron (Bordeaux School of Economics)

Co-auteurs: Elisabeth Tovar et Mathieu Bunel (Université de Bourgogne)

Co-auteurs : Tim Meyer (LMU Munich), Anna Kerkhof (ifo Institute for Economic Research and LMU Munich), Carmelo Cennamo (Copenhagen Business School)

Co-auteure: Mariyana Zapryanova