Séminaires de recherche


Closing Down the Shop: Optimal Health and Wealth Dynamics near the End of Life

Mardi | 2016-05-31
15h-16h20 en sully05

Florian PELGRIN – Julien HUGONNIER – Pascal ST-AMOUR

This paper examines health and wealth distributions under which agents approaching the end of life choose to close down the shop, i.e. a depletion of the health stock is optimally selected (and eventually accelerated), leading to states characterized by indifference between life, and death. We rely on a life cycle model (Hugonnier et al., 2013) with health spending, portfolio, insurance and consumption decisions for which we have closed-form optimal decisions in order to characterize optimal health and wealth dynamics. This model is estimated structurally using HRS data over a population of elders. Under economically plausible, and statistically verified conditions, we end that, unless sufficiently rich and healthy, agents will optimally select expected depletion of their health capital. Moreover, there exists a threshold wealth below which all agent deplete their health, regardless of how healthy they are. Finally, we identify a wealth and health locus below which agents accelerate their health depletion. Importantly, wealth is also expected to decline for all, such that all surviving agents eventually enter the closing down phase.

A Tobit Model with Social Interactions under Incomplete Information

Mardi | 2016-05-31
16h20-17h40 en Sully05

Yang CHAO – Lung-fei LEE – Xi QU

We build a model to analyze censored behaviors for socially associated agents under ageneral form of incomplete information. Employing the analytical tools used by Yang andLee(2014), we find that there is a unique equilibrium when parameters are within a reasonablerange. We utilize the rate of censoring and the average observed outcomes to identifymodel parameters. We suggest estimating the model by the maximum likelihood methodwith inner-loop fixed point iterations, which performs well in Monte Carlo experiments. Weapply the model to investigate municipal property tax rates in North Carolina and findsignificant competition effects.

Leisure Time and the Sectoral Composition of Employment

Mardi | 2016-05-24
16-17h20 salle des thèses

Xavier RAURICH – Edgar CRUZ

In the second half of the twenty century we observe two important patterns of structural change; first, a large shift of employment from the agriculture and manufacturing sectors to the service sector, and, second, a sustained increase in the amount of time devoted to leisure activities. We relate these two patterns of structural change by arguing that during leisure time we consume recreational services. The observed increase in leisure time then implies an increase in the consumption of these services, which introduces a new mechanism of structural change. In order to measure the relevance of this mechanism, we construct a multi-sector exogenous growth model with biased technological change. The new feature of the model is the introduction of recreational activities, which depend on both leisure time and on the consumption of recreational services. We introduce these activities by assuming a nested CES utility function. We show that the model explains the two patterns of structural change. We also show that the introduction of recreational activities improves the performance of the numerical simulations. Finally, we study the effects of fiscal policy. We show that the reduction in GDP due to an increase in the labor income tax is substantially larger when we consider that during leisure time we consume recreational services

Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier

Mardi | 2016-05-17
16-17h20 Sully05

Christian DE PERETTI – Hanene BEN SALAH – Mohamed CHAOUCH – Ali GANNOUN – Abdelwahed TRABELSI

The DownSide Risk (DSR) model for portfolio optimisation allows to overcome the drawbacks of the classical Mean-Variance model concerning the asymmetry of returns and the risk perception of investors. This model optimization deals with a positive definite matrix that is endogenous with respect to portfolio weights. This aspect makes the problem far more difficult to handle. For this purpose, Athayde (2001) developed a new recursive minimization procedure that ensures the convergence to the solution. However, when a finite number of observations is available, the portfolio frontier presents some discontinuity and is not very smooth. In order to overcome that, Athayde (2003) proposed a Mean Kernel estimation of the returns, so as to create a smoother portfolio frontier. This technique provides an effect similar to the case in which continuous observations are available. In this paper, Athayde model is reformulated and clarified. Then, taking advantage on the robustness of the median, another nonparametric approach based on Median Kernel returns estimation is proposed in order to construct a portfolio frontier. A new version of Athayde’s algorithm will be exhibited. Finally, the properties of this improved portfolio frontier are studied and analysed on the French Stock Market.

Trade, complexity and distance: an empirical investigation

Mardi | 2016-05-10
16h-17h20 Sully05

Sandrine NOBLET

The aim of this paper is to link the complexity of production process and the geographical dimension of fragmentation. More specially, we address the following questions: 1) how does complexity affect import volumes? and 2) how does complexity act the sensitivity of trade flows to the distance? To do so, we construct an indicator of complexity from US input-output tables. This indicator is then introduced in a gravity equation (using Comtrade Data) as a regressor and as an interaction term with the distance. Our results show that: imports are reduced by complexity and that more complex production processes are related to higher distance coefficient (in absolute value).

Partisan stereotypes

Mardi | 2016-04-19
Sully05 de 16h à 17h20

Pierre-Guillaume MEON

Using two surveys, we study how respondents process visual cues to identify the political orientation (left- vs. right-wing) of French deputies, based on their official photographs only, to test the type of heuristic that they use. We first confirm that respondents outperform random guesses. Second, we find that their categorizations correlate with observable characteristics (gender, color of the tie, jewelry) and subjective assessments of deputies’ personality traits (attractiveness, competence, trustworthiness). Third, the cues that respondents use are consistent with the actual characteristics of left- and right-wing deputies. Fourth, the magnitude of the marginal impact of a characteristic on the probability that a respondent categorizes a photograph as left- or right-wing increases strictly with the representativeness of that characteristic. Finally, we find evidence that some characteristics correlate with categorization errors. Those findings are at odds with a Bayesian inference but consistent with the representativeness heuristics suggested by Kahneman and Tversky (1972) and recently modelled by Bordalo, Gennaioli, and Shleifer (2014).

To be or not to be a G-SIB: Does it matter?

Mardi | 2016-04-05
17h00-18h10 Sully05

Sebastian SCHICH – Oana TOADER

Recent regulatory reform efforts are squarely focusing on eliminating the notion that large and potentially systemic banks are “special”, and ensuring effective resolution of G-SIBs is a key element of the FSB agenda to end “too-big-to-fail”. The paper assesses progress in this regard, using as a measure estimates of the value of implicit guarantees for a sample of 27 G-SIBs and 177 other large banks from 23 countries from 2007 to 2015. It finds that G-SIBs benefit from a significantly higher value of implicit guarantee than other banks, controlling for intrinsic strength and the identity of the supposed “guarantor”, i.e. the sovereign. It also confirms earlier results that weaker banks and those with a stronger sovereign benefit from higher values of implicit guarantees. It fails however to find evidence that inclusion of a bank in the FSB’s G-SIB list (the “treatment”) reduces the value of the implicit guarantee.