Publications

Abstract Drift and volatility are two mainsprings of asset price dynamics. While volatilities have been studied extensively in the literature, drifts are commonly believed to be impossible to estimate and largely ignored in the literature. This paper shows how to detect drift using realized autocovariance implemented on high-frequency data. We use a theoretical treatment in which the classical model for the efficient price, an Itō semimartingale possibly contaminated by microstructure noise, is enriched with drift and volatility explosions. Our theory advocates a novel decomposition for realized variance into a drift and a volatility component, which leads to significant improvements in volatility forecasting.
Keywords Volatility Forecasting, Serial Covariance, High-frequency Data, Drift
Publication HAL Google Scholar
Abstract We analyze earnings responses to six large payroll tax and income tax reforms in France. Our findings indicate full pass-through to workers when there is a strong and transparent link between contributions and expected benefits. In contrast, employer payroll taxes with no tax-benefit linkage exhibit limited pass-through to workers, while income tax nominally borne by employees show nearly full passthrough. Together with a meta-analysis of the literature, we interpret these results as empirical support for the long-standing hypothesis that tax-benefit linkage matters for the incidence of payroll taxes. In the absence of such linkage, our findings suggest that the individual-level incidence of payroll taxes aligns with their statutory incidence.
Keywords Statutory incidence, Tax-Benefit Linkage, Payroll Tax, Tax Incidence
Publication HAL Google Scholar
Abstract Earnings are often top-coded (right-censored) in administrative registers. The censoring threshold in the case of Germany is the limit value for social security contributions, leading to a substantial fraction of censoring: For example, about 12 % of male workers in West Germany are affected, rising to above 30 % for highly educated prime-aged workers. This missing right tail of the earnings distribution constitutes a major problem for researchers studying earnings inequality and top incomes. We overcome this challenge by taking a distributional approach and semi-parametrically modelling the right tail as being Pareto-like. Non-censored earnings survey data matched to administrative records, derived from the SOEP-RV project, let us operate in a laboratory-like setting in which the targets are known. Our approach outperforms alternative imputation methods based on Tobit regressions.
Keywords Right-censored earnings, Top-coding, SOEP-RV, Heavy-Tailed Distribution, Extreme value index, Imputation
Publication HAL Google Scholar
Abstract In this paper, we examine rebalancing strategies for long-term institutional investors. Specifically, we test the difference in risk-adjusted performance between stock-bond portfolios based on buy-and-hold, periodic and threshold rebalancing strategies. Using the Norwegian Sovereign Wealth Fund (SWF) as a benchmark and an econometric approach based on a bootstrap test of Sharpe ratio differences, we show that the optimal rebalancing differs across economic and financial cycles. Furthermore, we find that the optimal strategy is periodic rebalancing except during recessions and crises when the buy-and-hold approach is best, thus calling into question the hypothesis of the countercyclical behaviour of SWFs. Our results are robust to alternative performance measures, asset allocations, investment horizons, rebalancing rules, nonnormal and noniid returns, transaction costs and time sampling. Finally, our findings promote the consideration of macroprudential rules to improve the Santiago Principles and a specific monitoring framework targeted at SWFs.
Keywords Portfolio rebalancing, Financial stability, Boobstrap test, Institutional investors
Publication HAL Google Scholar
Abstract We study optimal firm behavior under irreversible pollution risk for a general class of models with irreversible local pollution. Irreversibility comes from the decay rate of pollution dropping to zero above a pollution level featuring non-convexity. In addition, the firm can instantaneously move from a reversible to an irreversible pollution mode, following a Poisson process. First, we prove for the general class of models that for any value of the Poisson probability, the optimal emission policy leads to more pollution with the irreversibility risk than without in a neighborhood of the irreversibility threshold. It’s shown that the extent of uncertainty (as captured by the Poisson arrival rate) is second-order in this neighborhood. Next we study the robustness of the latter result at any pollution level in the case of linear-quadratic objective functions. We find that the general local result does not necessarily hold if actual pollution is far enough from the irreversibility threshold.
Keywords Irreversible pollution, Irreversibility thresholds, Uncertainty, Firm pollution control, Piecewise deterministic problems
Publication HAL Google Scholar
Abstract Not all barrels of oil are created equal: their extraction varies in both private cost and carbon intensity. Leveraging a comprehensive micro-dataset on world oil fields, alongside detailed estimates of carbon intensities and private extraction costs, this study quantifies the additional emissions and costs from having extracted the “wrong” deposits. We do so by comparing historical deposit-level supplies to counterfactuals that factor in pollution costs, while keeping annual global consumption unchanged. Between 1992 and 2018, carbon misallocation amounted to at least 11.00 gigatons of CO2-equivalent (GtCO2eq), incurring an environmental cost evaluated at $2.2 trillion (US$ 2018). This translates into a significant supply-side ecological debt for major producers of high-carbon oil. Looking forward, we estimate the gains from making deposit-level extraction socially optimal at about 9.30 GtCO2eq, valued at $1.9 trillion, along a future aggregate demand pathway coherent with the objective of net-zero emissions in 2050, and document unequal reserve stranding across oil nations.
Keywords Oil, Carbon mitigation, Misallocation, Stranded assets
Publication HAL Google Scholar
Abstract The modernisation theory of regime change is often perceived to be a murky paradigm, lacking theoretical or empirical foundations. In response, we clarify the links between education and regime change.More specifically, we propose that education contributes indirectly to the collapse of autocratic regimes because educated people engage in non-violent (civil) resistance that reduces the effectiveness of the security apparatus. We empirically test the validity of this 'defanging effect' of education. We indeed find that the combination of high autocracy and high education levels tends to trigger non-violent campaigns, which in turn increases the likelihood of a regime change, likely to be associated with political liberalisation.
Keywords Regime change, Modernisation, Education, Democratisation, Civil resistance, Autocracy
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Abstract La logique voudrait que Ricoeur se livre à une critique acerbe tant la conception dialectique de la justice qu'il défend, et conformément à laquelle le bon englobe le juste, s'oppose à la conception purement procédurale de Rawls. Pourtant, Ricoeur insiste sur l'extrême intérêt qu'il porte à « l'ouvrage immense de Rawls ». Ricoeur situe le projet rawlsien dans la dialectique de la justice, et le rapporte à l'un des moments de cette dialectique, à savoir le moment moral. Mais, l'enjeu majeur du commentaire de Ricoeur est plus large : il consiste à mettre l'accent sur le contenu aporétique du juste, lequel est pris « entre le légal et le bon ». L'aporie prend la forme, dans l'approche ricoeurienne de la justice sociale, de trois paradoxes : le paradoxe de la justice politique, le paradoxe de la justice juridique et le paradoxe de la justice socio-économique. Face à ces paradoxes, le projet rawlsien développé́ dans Théorie de la justice révèle à la fois ses forces et ses limites.
Keywords Justice sociale, Équité, Universalité, Ricoeur, Rawls
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Abstract Local proximal point algorithms with quasi distances to find critical points (or minimizer points in the convex case) of functions in finite dimensional Riemannian manifolds are introduced. We prove that bounded sequences of the algorithm generated by proper bounded from below, lower semicontinuous and locally Lipschitz functions have accumulation points which are critical points (minimizer points in the convex case). Moreover, for KurdykaLojasiewicz functions, the sequence globally converges to a critical point. We applied the algorithm to a behavioral traveler’s problem where an individual tries to satisfy locally his needs and desires by moving from one city to the next, with costs to move playing a major role.
Keywords Local search, Proximal algorithms, Riemannian manifolds, The behavioral traveler’s problem
Publication HAL Google Scholar
Abstract In this paper, we provide a better understanding of what drives sovereign wealth funds (SWFs) to improve their governance. Using the most recent SWF governance scoreboard from Maire et al. (2021), we estimate a fractional response model to determine whether SWF governance disclosure norms are driven by the search for internal or external legitimacy. Overall, we find that SWFs have better governance when they originate from democratic countries with high-quality, national governance. Our results also show that SWFs tend to have better gover-nance quality when they need to acquire external legitimacy vis-à-vis the target company and its government. In particular, we find that SWFs have an incentive to improve their governance when they are sufficiently inter-nationalized, when the amount of foreign assets invested abroad is sufficiently large or when the amount of shares acquired in developed countries is significant. These findings demonstrate how SWFs may proactively build legitimacy in host countries when they need to adapt their foreign entry strategies. Our results have important implications for understanding the determinants of SWF governance in general.
Keywords Transparency, Internationalization, Governance, Sovereign Wealth Funds
Publication HAL Google Scholar