Publications: Documents de travail

Publications: Documents de travail 2011

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2011-1 "Asset Allocation with Aversion to Parameter Uncertainty: A Minimax Regression Approach"

Sessi Tokpavi

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Résumé
This paper takes a minimax regression approach to incorporate aversion to parameter uncertainty into the mean-variance model. The uncertainty-averse minimax mean-variance portfolio is obtained by minimizing with respect to the unknown weights the upper bound of the usual quadratic risk function over a fuzzy ellipsoidal set. Beyond the existing approaches, our methodology offers three main advantages: first, the resulting optimal portfolio can be interpreted as a Bayesian mean-variance portfolio with the least favorable prior density, and this result allows for a comprehensive comparison with traditional uncertainty-neutral Bayesian mean-variance portfolios. Second, the minimax mean-variance portfolio has a shrinkage expression, but its performance does not necessarily lie within those of the two reference portfolios. Third, we provide closed form expressions for the standard errors of the minimax mean-variance portfolio weights and statistical significance of the optimal portfolio weights can be easily conducted. Empirical applications show that incorporating aversion to parameter uncertainty leads to more stable optimal portfolios that outperform traditional uncertainty-neutral Bayesian mean-variance portfolios.
Classification-JEL
Mot(s) clé(s)
Asset allocation; estimation error; aversion to uncertainty; min-imax regression; Bayesian mean-variance portfolios; least favorable prior
Fichier

2011-2 "On the link between credit procyclicality and bank competition"

Vincent Bouvatier, Antonia Lopez Villavicencio, Valérie Mignon

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Résumé
This paper investigates the relationship between bank competition and credit procyclicality for 17 OECD countries on the 1986-2009 period. We account for heterogeneity among countries in terms of bank competition through the use of a hierarchical clustering methodology. We then estimate panel VAR models for the identified sub-groups of economies to investigate whether credit procyclicality is more important when the degree of bank competition is high. Our findings show that while credit significantly responds to shocks to GDP, the degree of bank competition is not essential in assessing the procyclicality of credit for OECD countries.
Classification-JEL
C33 E32 E51 G21
Mot(s) clé(s)
Credit cycle; economic cycle; bank competition; financial stability; panel VAR.
Fichier

2011-3 "Child-related career interruptions and the gender wage gap in France"

Dominique Meurs, Ariane Pailhé, Sophie Ponthieux

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Résumé
In this paper, we investigate the extent of the effects of children and child-related time out of the labor market on the gender wage gap in France, with special attention to its impact on the accumulation and composition of human capital. Measuring this impact requires detailed information on the individuals‟ activity history that is rarely available. The French survey "Families and Employers" (Ined, 2005) provides this information. We first look at men's and women's wage determinants, including the penalties associated with unemployment and time out of the labor market. We find that having controlled for the jobs' characteristics and selection into employment, there is a penalty attached to child-related time out of the labor market, which affects only women. We do not find any direct negative impact of children on women's current hourly wage at the mean. Then for a sub-sample of men and women aged from 39 to 49, we use a decomposition of the gender wage gap into an "interruption" wage gap between women and a gender wage gap between women who have never taken child-related time out and men; we find that the wage gap between men and women who have never interrupted their participation in the labor force is essentially "unexplained", while the wage gap between women who have had child-related interruptions and women who have not is essentially "explained".
Classification-JEL
J13 J16 J24 J31
Mot(s) clé(s)
Wages; Human capital; Children; Family pay gap; Statistical discrimination; Wage gap decomposition
Fichier

2011-4 "Information and Communication Technologies and Skill Upgrading: the Role of Internal vs External Labour Markets"

Luc Behaghel, Eve Caroli, Emmanuelle Walkowiak

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Résumé
Following the adoption of information and communication technologies (ICT), firms are likely to face increasing skill requirements. They may react either by training or hiring the new skills, or by a combination of both. We first show that ICT are indeed skill biased and we then assess the relative importance of external and internal labour market strategies. We show that skill upgrading following ICT adoption takes place mostly through internal labour markets adjustments. The introduction of ICT is associated with an upward shift in firms' occupational structure, of which one third is due to hiring and firing workers from and to the external labour market, whereas two-thirds are due to promotions. Moreover, we find no compelling evidence of external labour market strategies based on "excess turnover". In contrast, French firms heavily rely on training in order to upgrade the skill level of their workforce, even if this varies across industries.
Classification-JEL
J23 J24 J41
Mot(s) clé(s)
Technical change; labour turnover; skill bias; training; internal labour markets
Fichier

2011-5 "Does OPEC still exist as a cartel? An empirical investigation"

Vincent Brémond, Emmanuel Hache, Valérie Mignon

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Résumé
The aim of this paper is to determine if OPEC acts as a cartel by testing whether the production decisions of the different countries are coordinated and if they have an influence on oil prices. Relying on cointegration and causality tests in both time series and panel settings, our findings show that the OPEC influence has evolved through time, following the changes in the oil pricing system. While the influence of OPEC is found to be important just after the counter-oil shock, our results show that OPEC is price taker on the majority of the considered sub-periods. Finally, by dividing OPEC between savers and spenders, we show that it acts as a cartel mainly with a subgroup of its members.
Classification-JEL
C22, C23, L11, Q40
Mot(s) clé(s)
Oil prices, oil production, OPEC, cartel, cointegration, causality
Fichier

2011-6 "Become Independent! The Paradoxical Constraints of France’s Auto-Entrepreneur Regime"

Nadine Levratto, Evelyne Serverin

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Résumé
The Law on Economic Modernization of 4 August 2008 introduced a new form of individual entrepreneur, the auto-entrepreneur, the goal being to enhance the competitiveness of the French economy by promoting the entrepreneurial spirit. This paper proposes to discuss the auto-entrepreneur model with reference to the fundamentals of the theory of the firm and the legal variants of the auto-entrepreneur. The argument will be structured around the criterion of independence, and its various interpretations, which will be used to put the auto-entrepreneur model to the test. Three forms of autonomy are given precedence: productive (Section 1), concerning the availability of sufficient financing and material to provide professional services; managerial (Section 2), which measures the ability to assume the risks inherent to business, regarding both interested and third parties; and financial (Section 3), or the chances of earning enough money to subsist upon. The result, underscored in the conclusion to this article, is that the auto-entrepreneur regime appears best adapted as a means of supplementing income from another, unrelated activity or in retirement, which is contrary to every approach to business and enterprise.
Classification-JEL
L26, L21, K22
Mot(s) clé(s)
auto-entrepreneur; theory of the firm; combining activities; employment contract; entrepreneurship
Fichier

2011-7 "Bargaining with intertemporal maximin payoffs"

Michel De Lara, Pedro Gajardo, Vincent Martinet, Héctor Ramírez Cabrera

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Résumé
We present a new class of dynamic bargaining problems, called "bargaining problems with intertemporal maximin payoffs," that may reflect sustainability problems having to encompass conflicting issues in the long-run. Each bargainer (or stake-holder) has a representative indicator, namely a function of the state and decisions, and aims at maximizing its minimal value over time. Bargaining on sustainability issues consists in defining the vector of stake-holder's payoffs. We are interested in defining the set of feasible outcomes of such problems. This set is interpreted as a support for a social choice of sustainability objectives. We introduce a MONDAI condition – Monotonicity of Dynamics And Indicators – consistent with many economic problems and, in particular, "environmental economic" sustainability issues. We characterize the set of feasible outcomes for problems satisfying these monotonicity properties, and the bargaining solutions under the axioms of Pareto efficiency and Independence of Irrelevant Alternatives. We also provide a "satisficing" common decision rule to achieve any given solution. We then examine the time-consistency of the solution under the axioms of Veto Power and Individual Rationality.
Classification-JEL
Mot(s) clé(s)
bargaining theory; dynamics; maximin; monotonicity; feasibility set; sustainability
Fichier

2011-8 "A Generalized Nash-Cournot Model for the North-Western European Natural Gas Markets with a Fuel SubstitutionDemand Function: The GaMMES Model"

Ibrahim Abada, Vincent Briat, Steve A. Gabriel, Olivier Massol

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Résumé
This article presents a dynamic Generalized Nash-Cournot model to describe the evolution of the natural gas markets. The aim of this work is to provide a theoretical framework that would allow us to analyze future infrastructure and policy developments, while trying to answer some of the main criticisms addressed to Cournot-based models of natural gas markets. The major gas chain players are depicted including: producers, consumers, storage and pipeline operators, as well as intermediate local traders. Our economic structure description takes into account market power and the demand representation tries to capture the possible fuel substitution that can be made between the consumption of oil, coal and natural gas in the overall fossil energy consumption. We also take into account the long-term aspects inherent to some markets, in an endogenous way. This particularity of our description makes the model a Generalized Nash Equilibrium problem that needs to be solved using specialized mathematical techniques. Our model has been applied to represent the European natural gas market and forecast, until 2030, after a calibration process, consumption, prices, production and natural gas dependence. A comparison between our model, a more standard one that does not take into account energy substitution, and the European Commission natural gas forecasts is carried out to analyze our results. Finally, in order to illustrate the possible use of fuel substitution, we studied the evolution of the natural gas price as compared to the coal and oil prices. This paper mostly focuses on the model description.
Classification-JEL
Mot(s) clé(s)
Energy markets modeling; Game theory; Generalized Nash-Cournot equilibria; Quasi-Variational Inequality
Fichier

2011-9 "How strong is the global integration of emerging market regions? An empirical assessment"

Khaled Guesmi, Duc Khuong Nguyen

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Résumé
In recent years, various emerging market regions have actively taken part in the movements of globalization and world market integration. However, the process of financial integration appears to vary over time and differs significantly across emerging market regions. This paper attempts to evaluate the time-varying integration of emerging markets from a regional perspective (Asia, Latin America, Middle East, and Southeast Europe) based on a conditional version of the International Capital Asset Pricing Model (ICAPM) with DCC-GARCH parameters that allows for dynamic changes in the degree of market integration, global market risk premium, regional exchange-rate risk premium, and local market risk premium. Overall, our findings reveal several interesting facts. First, the time-varying degree of integration of four emerging regions, satisfactorily explained by the regional level of trade openness and the term premium of US interest rates, has recently tended to increase, but these markets still remain substantially segmented from the world market. Second, the local market risk premium is found to explain more than 50% of the total risk premium for emerging market returns. Finally, we show that conditional correlations usually underestimate and overstate the measure of time-varying market integration. The empirical results of this study have some important implications for both global investors and policy makers with respect to dedicated portfolio investments in emerging markets and policy adjustments.
Classification-JEL
Mot(s) clé(s)
time-varying integration; emerging markets; ICAPM; risk premium; DCC-GARCH
Fichier

2011-10 "Do followers really matter in Stackelberg competition?"

Ludovic A. Julien, Olivier Musy, Aurélien Saïdi

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Résumé
In this note, we consider a generalized T−stage Stackelberg oligopoly. We provide
a proof and an interpretation that under the two necessary and sufficient conditions
of linear aggregate demand and identical constant marginal costs, followers
do not matter for leaders. Leaders act as rational myopic agents, voluntarily ignoring
the number of followers and remaining stages, thereby behaving as Cournotian
oligopolists. Strategies of incumbent firms are invariant to entry of new cohorts.
Their profits can be studied by the way of two discount factors: the first impacting
markup and the second impacting output supply. Some implications in terms of
welfare and convergence toward competitive equilibrium are derived.
Classification-JEL
L13 L20
Mot(s) clé(s)
Leader’s markup discount factor; linear economy; follower’s output discount factor; myopic behavior
Fichier

2011-11 "Responsabilité civile et contrôle des activités représentant des risques mal connus"

Eric Langlais

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Résumé
Cette note s'intéresse aux mesures de prévention et au rôle de la responsabilité civile en matière de contrôle des activités associées à des risques imparfaitement connus ou inconnus, du type risque d'innovation ou dommages accidentels (à long terme) à l'environnement. L'une des spécificités de ces risques, outre la présence de biais de perception chez les citoyens, est qu'ils sont non assurables.
Classification-JEL
C7, D7, D8, C7, G3, H2, H4, K 1, K3, L5, Q2, Q5
Mot(s) clé(s)
Fichier
Le fichier n'existe pas

2011-12 "La transformation des actes gratuits en actes payants en médecine libérale. Une étude micro-économétrique longitudinale."

Philippe Batifoulier, Jeanne Lievaut

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Résumé
Cet article s'intéresse aux actes médicaux qui sont « donnés » aux patients sans contrepartie pécuniaire. Dans la littérature en économie de la santé, les actes gratuits sont associés à une forme extrême d'altruisme médical. La discrimination par les prix exprime la sensibilité du médecin à un type particulier de patient. Notre analyse économétrique (8002 médecins libéraux observés durant la période 1979-2000) permet de tester une autre hypothèse, selon laquelle la corrélation entre les actes gratuits et les actes payants est indépendante des effets dus à la demande de soins. Outre la validité de l'hypothèse, les résultats obtenus fournissent des éléments de compréhension des motivations de médecins auxquelles la littérature en économie de la santé accorde désormais une grande attention.
Classification-JEL
Mot(s) clé(s)
médecins libéraux, actes gratuits, actes payants, motivations, panel
Fichier

2011-13 "Construction of a fuel demand function portraying interfuel substitution, a system dynamics approach"

Ibrahim Abada, Vincent Briat, Olivier Massol

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Résumé
Most of the recent numerical market equilibrium models of natural gas markets use imperfect competition assumptions. These models are typically embedded with an oversimplified representation of the demand side, usually a single-variable affine function, that does not capture any dynamic adjustment to past prices. To remedy this, we report an effort to construct an enhanced functional specification using the system dynamics-based model of Moxnes (1987, 1990). Thanks to a vintage representation of capital stock, this putty-clay model captures the effect of both past and current energy prices on fuel consumption. Using a re-calibrated version of this model, we first confirm the pertinence of this modeling framework to represent interfuel substitutions at different fuel prices in the industrial sector. Building on these findings, a dynamic functional specification of the demand function for natural gas is then proposed and calibrated.
Classification-JEL
Mot(s) clé(s)
Fichier

2011-14 "Informational Externalities and Settlements in Mass Tort Litigations"

Bruno Deffains, Eric Langlais

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Résumé
This paper elaborates on a basic model of mass tort litigation, highlighting the existence of positive informational externalities a¤orded by
the discovery process (as a general technology of production of evidences) in order to study when a class action is formed, or when a sequence of individual trials is more likely. We illustrate the argument that when several plaintiffs file individually a lawsuit against the same tortfeasor, the resolution of the various cases through repeated trials produces positive informational externalities. When class actions are forbidden, these externalities only benefit to the later plaintiffs (through precedents, jurisprudence...). When they are allowed, the first filer may have an incentive to initiate a class action as far as it enables him to benefit from these externalities, through the sharing of information with later filers. We provide sufficient conditions under which a class action is formed, assuming a perfect discovery process. We also show that when contingent fees are used to reward attorneys' services, plaintiffs become neutral to the arrival of new information on their case.
Classification-JEL
Mot(s) clé(s)
Mass Tort Class Action, information sharing, repeated litigation, contingent fees
Fichier

2011-15 "Personal Bankruptcy Law, Fresh Starts, and Judicial Practice"

Régis Blazy, Bertrand Chopard, Eric Langlais, Ydriss Ziane

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Résumé
We explore the ways French judges respond to the possibility of discharging personal debts in exchange for liquidation of debtors’ assets. We present empirical results on the determinants of judicial selection between debtors whose debts are wiped out and those who have to reimburse them. We find that French judges tend to disqualify debtors with multiple creditors from debt discharge, and are sensitive to regional labor market conditions. These empirical results help us understand better how French personal bankruptcy laws perform compared to other national systems. Finally, our results serve to fill the gap between bankruptcy rules and judicial practice.
Classification-JEL
G33, K29
Mot(s) clé(s)
Personal bankruptcy, over-indebtedness
Fichier

2011-16 "On the volatility-volume relationship in energy futures markets using intraday data"

Julien Chevallier, Benoît Sévi

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Résumé
This paper investigates the relationship between trading volume and price volatility in the crude oil and natural gas futures markets when using high-frequency data. By regressing various realized volatility measures (with/without jumps) on trading volume and trading frequency, our results feature a contemporaneous and largely positive relationship. Furthermore, we test whether the volatility-volume relationship is symmetric for energy futures by considering positive and negative realized semivariance. We show that (i) an asymmetric volatility-volume relationship indeed exists, (ii) trading volume and trading frequency significantly affect negative and positive realized semivariance, and (iii) the information content of negative realized semivariance is higher than for positive realized semivariance.
Classification-JEL
C15 C32 C53 G1 Q4
Mot(s) clé(s)
Trading Volume; Price Volatility; Crude Oil Futures; Natural Gas Futures; High-Frequency Data; Realized Volatility; Bipower Variation; Median Realized Volatility; Realised Semivariance; Jump
Fichier

2011-17 "Well-being Disparities Within the Paris Region. A Capabilist Spatialized Outlook"

Lise Bourdeau-Lepage, Élisabeth Tovar

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Résumé
Les récentes émeutes urbaines qui ont embrasé la France en 2005 ont attiré l'attention sur les déterminants spatiaux du mécontentement social. Nous étudions la validation empirique du sentiment collectif d'une très forte augmentation des disparités de bien-être entre les communes franciliennes. Nous fondons notre indicateur de bien-être sur une version spatialisée de l'approche capabiliste de Sen. Celle-ci permet de tenir explicitement compte du rôle joué par la localisation résidentielle sur les réalisations, les opportunités et la liberté de choix des individus. En mobilisant des indicateurs multidimensionnels de pauvreté et à l'aide de l'analyse exploratoire des données spatialisées, nous montrons que le bien-être capabiliste spatialisé a augmenté entre 1999 et 2006. Par ailleurs, nous mettons en évidence un phénomène de rattrapage des communes les plus favorisées par les communes les plus défavorisées. Cependant, nous mettons également en lumière la forte polarisation des niveaux de bien-être les plus faibles sur le territoire francilien. Le fait que cette polarisation ait augmenté entre 1999 et 2006 et que certaines des communes les plus défavorisées aient vu leur niveau de bien-être diminuer pendant cette période pourrait expliquer la croyance collective d'une augmentation de la fracture socio-spatiale en Île-de-France.
Classification-JEL
Mot(s) clé(s)
bien-être capabiliste, disparités socio-spatiales, Île-de-France
Fichier

2011-18 "Fight Cartels or Control Mergers? On the Optimal Allocation of Enforcement Efforts within Competition Policy"

Andreea Cosnita-Langlais, Jean-Philippe Tropeano

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Résumé
This paper deals with the optimal enforcement of the competition law between the merger and anti-cartel policies. We examine the interaction of these two branches of the competition policy given the budget constraint of the competition agency and taking into account the ensuing incentives for firms’ behavior in terms of choice between cartels and mergers. We are thus able to conclude on the optimal competition policy mix. We show for instance that to the extent that a tougher anti-cartel action triggers more mergers taking place, the public agency will optimally invest only in control fighting for a tight budget, and then in both instruments as soon as the budget is no longer tight. However, if the merger’s coordinated effect is taken into account, then when resources are scarce the agency may optimally have to spend first on controlling mergers before incurring the cost of fighting cartels.
Classification-JEL
L41 K21 D82
Mot(s) clé(s)
competition law enforcement; antitrust; merger control; anti-cartel policy
Fichier

2011-19 "La déformation des comportements médicaux en faveur d’une logique de marchandisation"

Jeanne Lievaut

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Résumé
Dans cet article nous avons cherché à apporter des éléments de compréhension du comportement économique du médecin en nous appuyant sur les pratiques tarifaires volontaires (les actes avec dépassement (tarif élevé) et les actes gratuits (tarif nul)). En effet, ces dernières sont un moyen d'accéder aux motivations du médecin et d'appréhender la façon dont les professionnels de santé conçoivent l'activité médicale légitime. Une étude à l'aide de données longitudinales (7896 omnipraticiens libéraux observés durant la période de 1980 à 2000) a permis de contrôler le changement de cette conception au fil des années. Le résultat principal met en avant la déformation des comportements médicaux en faveur d'une logique de marchandisation au détriment d'une logique de "care".
Classification-JEL
Mot(s) clé(s)
honoraires, motivations, panel
Fichier

2011-20 "Is the Market Portfolio Efficient? A New Test to Revisit the Roll (1977) versus Levy and Roll (2010) Controversy"

Marie Brière, Bastien Drut, Valérie Mignon, Kim Oosterlinck, Ariane Szafarz

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Résumé
Levy and Roll (Review of Financial Studies, 2010) have recently revived the debate related to the market portfolio's efficiency suggesting that it may be mean-variance efficient after all. This paper develops an alternative test of portfolio mean-variance efficiency based on the realistic assumption that all assets are risky. The test is based on the vertical distance of a portfolio from the efficient frontier. Monte Carlo simulations show that our test outperforms the previous mean-variance efficiency tests for large samples since it produces smaller size distortions for comparable power. Our empirical application to the US equity market highlights that the market portfolio is not mean-variance efficient, and so invalidates the zerobeta CAPM.
Classification-JEL
G11, G12, C12
Mot(s) clé(s)
Efficient portfolio, mean-variance efficiency, efficiency test
Fichier

2011-21 "Choix de localisation des entreprises. L'arrivée des firmes chinoises et indiennes en Europe."

Françoise Hay, Yong He, Christian Milelli, Yunnan Shi

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Résumé
L’article analyse les choix de localisation de firmes originaires des « économies émergentes », en l’occurrence les firmes chinoises et indiennes, dans les pays développés, plus précisément l’Europe. Cela conduit à une remise en cause des postulats antérieurs fondés sur le pré-requis d’un avantage compétitif de la part de l’investisseur étranger. Les motivations qui président au choix de localisation de ces entreprises leur sont spécifiques alors que le niveau de développement atteint par leur pays d’origine rentre en ligne de compte.
Si deux motivations sont clairement identifiables – l’accès aux marchés et la recherche d’actifs spécifiques – il ressort que le poids de la deuxième est relativement plus important pour les firmes chinoises, surtout en début de période (1990-2001), que pour les firmes indiennes. Le repli de la recherche d’actifs spécifiques de la part des firmes chinoises lors de la dernière période s’explique par des effets d’apprentissage.
Le résultat d’ensemble obtenu pour les firmes chinoises est toutefois ambivalent. D’un côté, il est contre intuitif au regard de la structure et des performances de l’économie chinoise dont la dynamique d’ensemble demeure tirée par les exportations de biens manufacturés ; l’Europe étant désormais son premier marché d’exportation. Et de l’autre, les firmes chinoises ont un besoin aigu de technologies au sens large, de même que les firmes indiennes mais à un niveau moindre, pour conforter ou construire leurs compétences et leur positionnement à la fois sur leur marché national et à l’international.
La primauté de l’accès au marché pour les firmes indiennes découle de manière explicite de leur focalisation sectorielle en Europe sur deux secteurs d’activité, l’informatique et la pharmacie.
Classification-JEL
Mot(s) clé(s)
Fichier

2011-22 "Familles monoparentales allocataires du RMI ou de l’API et trappes à inactivités : les enseignements de l’enquête sur les expérimentations du rSa en France."

Ai-Thu Dang, Danièle Trancart

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Résumé
Jusqu'à la généralisation du rSa (revenu de solidarité active), le 1er juin 2009 en France métropolitaine et le 1er janvier 2011 dans les départements d'outre-mer, à Saint-Martin, Saint-Barthélemy et Saint-Pierre et Miquelon, les familles monoparentales pauvres bénéficiaient soit du RMI (revenu minimum d'insertion), soit de l'API (allocation pour parent isolé). En fusionnant le RMI et l'API, le rSa unifie la catégorie de parents isolés bénéficiaires de prestations d'assistance et abandonne la logique de politique spécifique pour les parents isolés démunis ayant la charge de jeunes enfants.
Pour évaluer la pertinence empirique de la thèse selon laquelle les familles monoparentales bénéficiaires de minima sociaux sont victimes des trappes à inactivité, nous avons exploité les données de l'enquête de la DREES auprès des allocataires du RMI ou de l'API dans le cadre des expérimentations du rSa. Nos résultats soulignent l'hétérogénéité de la population étudiée en termes de caractéristiques socio-démographiques, de parcours professionnels antérieurs, et de trajectoires professionnelles durant la période d'observation (octobre 2007 à mai 2008). Nous montrons également que la probabilité d'accès à l'emploi est très dépendante des caractéristiques individuelles (âge, niveau de diplôme, état de santé, le fait d'avoir deux enfants ou plus et le fait d'avoir connu de longues périodes d'inactivité). Les problèmes de garde d'enfants, l'absence de qualification et une santé dégradée sont les principaux freins à l'accès à un emploi stable et de qualité.
Classification-JEL
I38, J08, J22
Mot(s) clé(s)
rSa, parents isolés, minima sociaux, trappe à inactivité, prestation subordonnée à l'exercice d'un emploi, politiques d'activation
Fichier

2011-23 "Free lunch in the oil market: a note on Long Memory"

Sylvain Prado

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Résumé
In the crude oil market the phenomenon of Long Memory can be easily identified with the help of the simple (but effective) methodology of Katsumi Shimotsu. The Exact Local Whittle estimator and two testing strategies provide a strong assessment of the phenomenon. We present evidences and we suggest a profit opportunity. Furthermore, the existence of Long Memory discloses an inefficient oil market.
Classification-JEL
C22, F47, G17, Q47
Mot(s) clé(s)
oil market, long memory, ARFIMA-FIGARCH
Fichier

2011-24 "The Ricardian Dynamics Revisited"

Christian Bidard

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Résumé
The Ricardian dynamics describe the substitution of a new marginal method for an outgoing marginal method when demand increases. The process of extension or intensi…cation of cultivation allows for spasmodic changes in prices and rents but is smooth on the physical side. We criticize the notion of extension of cultivation and show the existence of non-Ricardian equilibria, when some good is not produced by a marginal method. The working of the dynamics requires that the incoming method satisfies a productivity condition which is expressed in algebraic terms. A parallel is drawn between Ricardo's views on dynamics and the working of a Lemke algorithm for linear complementarity problems.
Classification-JEL
B12, D24, D33
Mot(s) clé(s)
Dynamics, Lemke, Linear Complementarity Problem, Rent, Ricardo
Fichier

2011-25 "On the link between forward energy prices: A nonlinear panel cointegration approach"

Marc Joëts, Valérie Mignon

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Résumé
This paper investigates the relationship between forward prices of oil, gas, coal, and electricity using a nonlinear panel cointegration framework. To this end, we consider a panel of 35 maturities and control for the economic and financial environment using equity futures prices. Estimating the cointegrating relationship, we find that oil, gas and coal forward prices are positively linked, while the negative link between oil and electricity prices is consistent with a substitution effect between the two energy sources on the long run. Estimating panel smooth transition regression (PSTR) models, we show that the forward oil price adjustment process toward its equilibrium value is nonlinear and asymmetric, putting forward the key role played by self-sustaining dynamics and speculation phenomena.
Classification-JEL
C33, Q40
Mot(s) clé(s)
forward energy prices; speculation; panel cointegration; nonlinear model; PSTR
Fichier

2011-26 "The Scope of Open Licenses in Cultural Contents Production and Distribution"

Massimiliano Gambardella

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Résumé
This paper aims to explore the impact of ex-ante legal status of creator on ex-post open license choice. It first describes the emergents Creative Commons licenses in Open Cultural Contents production and distribution. It introduces the two open models of diffusion and production, followed by creators. It orders the licenses according with their degree of openness in production as well as in diffusion. Then the paper presents an empirical analysis of the impact of legal status of creators on open license choice using an original database of video under Creative Commons licenses, created from the Internet Archive. The results show the existence of two models, Open Diffusion model and Open Production, that the creator has to balance when he/she decides the license. The results also show that in order to obtain benefit from the community, the For-Profit actors are more likely to adopt a high degree of openness in license.
Classification-JEL
D20, L82
Mot(s) clé(s)
Open Production, Open Diffusion, Creative Commons, Open Licenses, Extrinsic, Intrinsic, Monetary, Non-Monetary, Motivations, Institutional Analysis and Development Framework, Common Goods, Digital Goods, For-Profit, Non-Profit.
Fichier

2011-27 "A new monthly chronology of the US industrial cycles in the prewar economy"

Amélie Charles, Olivier Darné, Claude Diebolt, Laurent Ferrara

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Résumé
This article extends earlier efforts at redating the US industrial cycles for the prewar period (1890–1938) using the methodologies proposed by Bry and Boschan (1971) and Hamilton (1989) and based on the monthly industrial production index constructed by Miron and Romer (1990). The alternative chronology detects 90% of the peaks and troughs identified by the NBER and Romer (1994), but the new dates are consistently dated earlier for more than 50% of them, especially as regards the NBER troughs. The new dates affect the comparison of the average duration of recessions and expansions in both pre-WWI and interwar eras. Whereas the NBER reference dates show an increase in average duration of the expansions between the pre-WWI and interwar periods, the new dates show evidence of shortened length of expansions. However, the new dates confirm the traditional finding that the length of contractions increases between the both eras.
Classification-JEL
C22; E32
Mot(s) clé(s)
Industrial business cycle; Dating chronology
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2011-28 "Misalignments and Dynamics of Real Exchange Rates in the CFA Franc Zone"

Cécile Couharde, Issiaka Coulibaly, Olivier Damette

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Résumé
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 exchange rates towards their equilibrium level also differs substantially between country groups. These results tend to show the difficulty to apply a single exchange rate policy in the CFA zone and rather call for further coordination and policy harmonization between the countries.
Classification-JEL
C23, F31, O1
Mot(s) clé(s)
CFA zone, misalignments, panel smooth transition model
Fichier

2011-29 "Cliométrie du chômage et des salaires en France, 1950-2008"

Michel-Pierre Chélini, Georges Prat

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Résumé
Le but de cet article est de représenter les évolutions macroéconomiques du taux de chômage et des variations de salaires en France sur la période 1950-2008. Sur le plan théorique, l'équation du chômage distingue un facteur chronique caractérisé par l'excès des salaires réels horaires (charges sociales incluses) par rapport aux gains de productivité, un facteur conjoncturel caractérisé par l'écart entre le taux de croissance de la production et sa valeur de long terme, et enfin un facteur structurel incluant les composantes frictionnelle, technologique et volontaire du chômage. L'équation des salaires suppose classiquement que les variations des salaires dépendent des gains de productivité et de l'inflation. Sur le plan empirique, le cadre d'analyse est celui d'une représentation simultanée du chômage et des variations de salaires fondée sur un modèle Espace-Etat estimé suivant la méthodologie du filtre de Kalman, permettant l'introduction de paramètres variables suivant les dates. Conformément à ces hypothèses, le taux de chômage est apparu dépendre de la composante chronique (avec une sensibilité variable suivant les dates), de la composante conjoncturelle (sensibilité fixe) et d'une composante structurelle constante d'environ 4%. Les composantes estimées indiquent que le taux de chômage chronique est pratiquement inexistant jusqu'au début des années 1970, date à laquelle il se développe pour atteindre un maximum de 7.8% en 1994, pour ensuite diminuer et passer au dessous de 2% en 2008. La composante conjoncturelle est en accord avec la loi d'Okun qui relie négativement la variation du chômage à celle de la production, ce type de chômage ne semblant se développer qu'après le choc pétrolier de 1973. Enfin, la spécification retenue indique un ajustement progressif du chômage par rapport aux facteurs susvisés, le délai moyen d'influence estimé étant de l'ordre de 3,3 années. Concernant la dynamique des salaires nominaux, elle apparaît effectivement déterminée par le taux de variation de la productivité et le taux d'inflation. L'élasticité par rapport à l'inflation est apparue très variable, allant d'une valeur proche de l'unité en début de période vers une valeur voisine de zéro en fin de période, ce résultat devant être relié à la désinflation, à la désindexation et à la diminution du pouvoir syndical observés au cours de la période.
Classification-JEL
E24, J2, J30
Mot(s) clé(s)
taux de chômage, salaires, économie Française
Fichier

2011-30 "Count, trade, venture and desire: why money is at the core of decentralized economies"

Fabrice Tricou

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Résumé
This paper defends two related ideas: pure market and capitalist economies are different economic societies; neither can be adequately represented by theories of value but both can be accurately distinguished by a monetary approach. Within the framework of a simple modeling, we propose a conceptual clarification in four points. Firstly, market and capitalist economies are instituted by a principle of social quantification: money as the unit of account. Secondly, both economies are set in motion by a medium of circulation: money as the general equivalent. Thirdly, pure market society homogeneity is based on generalized access to money as the vehicle of autonomous expense (the carrier of unilateral action), while capitalist society heterogeneity is based on direct access to money reserved only to entrepreneurs and closed to monetarily dependent wage earners. Fourthly, if independent workers (integrated in a social division of labor) can be seen as motivated by the individual pursuit of utility, capitalists (engaged in an objective logic of capital accumulation) are driven by the subjective desire for money.
Classification-JEL
B00, D51, E42, P00
Mot(s) clé(s)
money, market, capitalism
Fichier

2011-31 "Fraud, Investments and Liability Regimes in Payment Platforms"

Anna Creti, Marianne Verdier

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Résumé
In this paper, we discuss how fraud liability regimes impact the price structure that is chosen by a monopolistic payment platform, in a setting where merchants can invest in fraud detection technologies. We show that liability allocation rules distort the price structure charged by platforms or banks to consumers and merchants with respect to a case where such a responsibility regime is not implemented. We determine the allocation of fraud losses between the payment platform and the merchants that maximises the platform's profit and we compare it to the allocation that maximises social welfare.
Classification-JEL
G21, L31, L42
Mot(s) clé(s)
payment card systems, interchange fees, two-sided markets, fraud, liability
Fichier

2011-32 "Reputation on a credence good market: an economic analysis of professional self-regulation"

Camille Chaserant, Sophie Harnay

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Résumé
This article provides a rationalization of (at least partial) professional self-regulation resting on the joint production of individual and collective reputations and its impact on the quality of professional services. It presents a short model that aims to show that (i) a high-quality steady-state exists in a market for a credence goods and that (ii) the likelihood of high quality increases when the market is self-regulated by the profession in comparison to the situation where there is no self-regulation. The law and economics literature usually criticizes self-regulation as a modern form of corporatism; we show that it may help to regulate quality when clients are faced with opportunistic professionals.
Classification-JEL
K4, L14, L15, L43, L84, D8
Mot(s) clé(s)
professional services, credence goods, self-regulation, individual reputation, collective reputation
Fichier

2011-33 "Analyse économique et droit pénal : contributions, débats, limites"

Eric Langlais

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Résumé
L'article passe en revue les objections opposées à la théorie économique du crime inspirée par l'article fondateur de Becker (JPE, 1968), en distinguant celles qui relèvent d'une critique méthodologique radicale - externe - de celles - internes - qui interrogent plutôt la robustesse de ses conclusions en adoptant la même méthodologie. Les critiques externes résultent essentiellement de la lecture faite par les juristes des travaux de Becker. Elles visent la classification implicite entre comportement criminel et actes légaux qui est supportée par l'analyse économique du crime, ou la représentation stylisée et par trop simplificatrice du droit pénal qui en découle, qui oublierait les fonctions principales du droit pénal (sanction/réhabilitation) pour ne se focaliser que sur la dissuasion. Les juristes les plus avertis des principes méthodologiques fondant plus généralement l'analyse économique, ont aussi chercher à montrer les incohérences internes de la théorie économique du crime, qui postule l'existence d'une valeur sociale pour le crime. Les critiques internes se sont, elles, concentrées sur le résultat central de Becker : l'efficacité des sanctions monétaires élevées (maximales) pour la dissuasion des comportements criminels et en contrepartie, l'optimalité d'une fréquence de contrôles et de d'application de ces sanctions aussi faible que possible. La littérature a justifié que ce mix n'est socialement optimal que dans la mesure où l'utilisation des sanctions monétaires se fait à un coût marginal nul soit pour les autorités publiques, soit pour les criminels. Mais dans de nombreuses circonstances, les sanctions monétaires ont un coût marginal social (positif), qu'il soit public ou privé. L'article conclut sur quelques enseignements fournis par les tests empiriques de la théorie du crime. Si ceux-ci mettent clairement en évidence que l'effet de dissuasion résulte principalement (de la fréquence) du contrôle des activités illicites, de façon plus générale, ils corroborent les principales prédictions de la théorie économique du crime.
Classification-JEL
K14, K42
Mot(s) clé(s)
économie du crime, Becker, dissuasion et politique de mise en oeuvre optimale, fonctions du code pénal
Fichier

2011-34 "On price convergence in Eurozone"

David Guerreiro, Valérie Mignon

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Résumé
We investigate price level convergence with Germany in eleven countries belonging to the Eurozone between January 1970 and July 2011. Relying on smooth transition regression models, we show that the price convergence process is nonlinear, depending on the size of the price differential: for most countries, price convergence occurs only when price differentials with Germany exceed a certain threshold. Moreover, our findings put forward some heterogeneity across the Eurozone members in terms of price convergence speed, that can be explained by the evolution of price-competitiveness, rigidities in labor markets, but also by specialization patterns.
Classification-JEL
C22, E31, F15, F41
Mot(s) clé(s)
price convergence, Eurozone, smooth transition regression models, half-life
Fichier

2011-35 "Motivations médicales et politiques d’incitations"

Nicolas Da Silva

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Résumé
Une des raisons invoquées pour expliquer les effets limités des incitations financières sur le comportement du médecin tient à l'hypothèse de substituabilité des motivations. Les motivations extrinsèques évinceraient les motivations intrinsèques (MI). Nous cherchons ici à mettre en avant les conditions théoriques de ce « crowding out effect » (COE). Dans un premier temps il semble que le COE soit imputable à une asymétrie d'information entre la tutelle et le médecin. Ce dernier est alors susceptible d'interpréter l'incitation comme une mauvaise nouvelle sur ces capacités à réaliser la tâche ou bien comme un signal négatif source de perte de prestige social. Dans un second temps nous mettons en avant les difficultés soulevées par l'hypothèse de MI. Elle suppose en effet que l'effort ne soit pas strictement « désutile » et que le médecin soit capable d'un authentique désintéressement. Mots clefs : Médecin – Motivation intrinsèque – Motivation extrinsèque – Prestige – Désintéressement – Effet d'éviction.
Classification-JEL
Mot(s) clé(s)
Médecin, Motivation intrinsèque, Motivation extrinsèque, Prestige, Désintéressement, Effet d'éviction.
Fichier

2011-36 "Small, alone and poor: a merciless portrait of insolvent French firms, 2007-2010"

Nadine Levratto, Luc Tessier, Messaoud Zouikri

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Résumé
This empirical paper investigates the path to bankruptcy for a sample of French firms in default, in particular the decision to file a petition for bankruptcy, the arbitrage between rescuing and liquidation and the effective survival. The procedure is depicted as a sequence of three steps in which judges play a crucial role as they decide whether a company is insolvent or not and determine whether an insolvent company deserves to be rescued or, on the contrary, should be liquidated, the market having the last word since the effective success depends on the capability of the firm to recover from the judicial proceedings. We test different hypotheses about the variables influencing each possibility which include i) the role of the market in the firm's health, ii) the influence of financial structures, iii) the importance of corporate governance and iv) the inherent corporate factors of probable survival. Using three linked LOGIT models, our first finding is that the probability to default depends mainly on the market. Secondly the probability to be rescued depends essentially on the financial structure. Finally, the probability for the firm to remain in business in the long term is largely influenced by the market and profitability. Our results also support the idea that governance, size and resources are the main determinants of exit from the market or success of any company.
Classification-JEL
D20, G32, G33, K20
Mot(s) clé(s)
Insolvency, bankruptcy, firm default, financial indicators, size, logit models.
Fichier

2011-37 "Worker information and firm disclosure:Analysis on French linked employer-employee data"

Corinne Perraudin, Héloïse Petit, Antoine Rebérioux

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Résumé
Information disclosure requirements significantly increased in French listed companies in the early 2000s, converging toward the U.S./U.K. stock market standards. Following the burgeoning literature on relations between corporate governance and labor, we investigate the consequences of this process regarding worker information: does more information for shareholders mean more information for workers? We take advantage of a French (representative) establishment survey that generates linked 'employer–employee' data at two points in time, 1998 and 2004. Our results strongly suggest that worker information has improved in listed companies but not in private ones, as an externality of the financialization process. We find however that this extra information is only partially correlated with greater employee satisfaction, as measured through the perception of fair recognition by supervisors.
Classification-JEL
J53, G39, J28, C21
Mot(s) clé(s)
information sharing, firm disclosure, corporate governance, job satisfaction, linked employer employee data
Fichier

2011-38 "Working in family firms: less paid but more secure? Evidence from French matched employer-employee data"

Andrea Bassanini, Thomas Breda, Eve Caroli, Antoine Rebérioux

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Résumé
We study compensation packages in family and non-family firms. Using French matched employer-employee data, we first show that family firms pay on average lower wages. We find that part of this wage gap is due to low wage workers sorting into family firms and high wage workers sorting into non-family firms. However, we also find evidence that company wage policies differ according to ownership status, so that the same worker is paid differently under family and non-family firm ownership. We also find evidence that family firms are characterised by lower job insecurity, as measured by dismissal rates and by the subjective risk of dismissal perceived by workers. In addition, family firms appear to rely less on dismissals – and more on hiring reductions – than non-family firms when they downsize. We show that compensating wage differentials account for a substantial part of the inverse relationship between the family/non-family gaps in wages and job security.
Classification-JEL
G34, J31, J33, J63, L26
Mot(s) clé(s)
family firms, wages, job security, compensating wage differentials, linked employer-employee data
Fichier

2011-39 "External Shocks and Monetary Policy in a Small Open Oil Exporting Economy"

Jean-Pierre Allegret, Mohamed Tahar Benkhodja

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Résumé
To investigate the dynamic effect of external shocks on an oil exporting economy, we estimate, using Bayesian approach, a DSGE model based on the features of the Algerian economy. The main purpose is to investigate the dynamic effect of four external shocks (oil price shock, USD/EUR exchange rate shock, international inflation shock and international interest rate shock) and to examine the appropriate monetary policy strategy for Algerian economy, given its structural characteristics and the pattern of the external shocks. We analyze the impulse response functions of our external shocks according to alternative monetary rules. The welfare cost associated with each monetary policy rule has been considered. Our main findings show that, over the period 1990Q1-2010Q4, core inflation monetary rule allows better to stabilize both output and inflation. This rule also appears to be the best way to improve a social welfare.
Classification-JEL
E3, E5, F4
Mot(s) clé(s)
Monetary policy, external shocks, oil exporting economy, Algeria, DSGE model
Fichier

2011-40 "Gender Regimes and Welfare States in France: A historical perspective"

Ai-Thu Dang, Jean-Marie Monnier

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Résumé
This paper has a twofold aim. First, we will analyze the system of family benefits in relation with the income tax system in France through the adoption of a historical and gender perspective. While typologies of welfare states frequently neglect taxation, in our view, one must take family taxation into account because it provides incentives and disincentives for paid income. Moreover, in the case of France, a close relationship exists between family benefits and taxation on income, one that stems from certain discussions—discussions led to the birth of the French system.Second, we will demonstrate how and to what extent France has moved away from the male-breadwinner model. However, any decline of the malebreadwinner model does not, in turn, indicate a corresponding shift toward a dual caregiver model. Indeed, the current French model has ambiguous effects on gender relations.
Classification-JEL
J16, J18, J21
Mot(s) clé(s)
gender regimes, gender relations, unpaid work, French policy reform
Fichier
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