Publications

Abstract Top incomes are often related to Pareto distribution. To date, economists have mostly used Pareto Type I distribution to model the upper tail of income and wealth distribution. It is a parametric distribution, with interesting properties, that can be easily linked to economic theory. In this paper, we first show that modeling top incomes with Pareto Type I distribution can lead to biased estimation of inequality, even with millions of observations. Then, we show that the Generalized Pareto distribution and, even more, the Extended Pareto distribution, are much less sensitive to the choice of the threshold. Thus, they can provide more reliable results. We discuss different types of bias that could be encountered in empirical studies and, we provide some guidance for practice. To illustrate, two applications are investigated, on the distribution of income in South Africa in 2012 and on the distribution of wealth in the United States in 2013.
Keywords Inequality measures, Top incomes, Pareto distribution
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Abstract The goal of this paper is to provide and examine an important extension of the usual portfolio insurance, namely to study the notion of portfolio performance participation. In this framework, the portfolio is based on two risky assets: the rst one corresponds to a reserve asset, while the second one is considered as an active asset which has usually both a higher mean and a higher variance. We aim at insuring a given percentage of the reserve asset return, whatever the market uctuations. The two main performance participation methods are the Option-Based Performance Participation (OBPP) and the Constant Proportion Performance Participation (CPPP). We compare these two portfolio strategies by means of various criteria such as their payo¤s at maturity, their four rst moments and their cumulative distributions functions. We also compare their dynamic hedging properties by computing in particular their deltas and vegas.
Keywords CPPP, OBPP, Performance participation, Portfolio insurance, CPPP
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Abstract In finitely repeated public goods games, contributions are initially high, and gradually decrease over time. Two main explanations are consistent with this pattern: (i) the population is composed of free-riders, who never contribute, and conditional cooperators, who contribute if others do so as well; (ii) strategic players contribute to sustain mutually beneficial future cooperation, but reduce their contributions as the end of the game approaches. This paper analyzes experimentally these explanations, by manipulating group composition to form homogeneous groups on both the preference and the strategic ability dimensions. Our results highlight the role of strategic ability in sustaining contributions, and suggest that the interaction between the two dimensions also matters: we find that groups that sustain high levels of cooperation are composed of members who share a common inclination toward cooperation and also have the strategic abilities to recognize and reap the benefits of enduring cooperation.
Keywords Strategic sophistication, Free riding, Conditional cooperation, Public goods, Voluntary contribution
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Abstract This paper is concerned with the historical roots of gender equality. It proposes and empirically assesses a new determinant of gender equality: gender-specific outside options in the marriage market. In particular, enlarging women's options besides marriage-even if only temporarily-increases their bargaining power with respect to men, leading to a persistent improvement in gender equality. We illustrate this mechanism focusing on Belgium, and relate gender-equality levels in the 19th century to the presence of medieval, female-only communities called beguinages that allowed women to remain single amidst a society that traditionally advocated marriage. Combining geo-referenced data on beguinal communities with 19th-century census data, we document that the presence of beguinages contributed to decrease the gender gap in literacy. The reduction is sizeable, amounting to a 12.3% drop in gender educational inequality. Further evidence of the beguinal legacy is provided leveraging alternative indicators of female agency.
Keywords Culture, Economic Persistence, Institutions, Religion, Gender Gap
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Abstract We provide evidence on the link between the policy response to the SARS CoV-2 pandemic and conflicts worldwide. We combine daily information on conflict events and government policy responses to limit the spread of SARS CoV-2 to study how demonstrations and violent events vary following shutdown policies. We use the staggered implementation of restriction policies across countries to identify the dynamic effects in an event study framework. Our results show that imposing a nation-wide shutdown is associated with a reduction in the number of demonstrations, which suggests that public demonstrations are hampered by the rising cost of participation. However, the reduction is short-lived, as the number of demonstrations are back to their pre-restriction levels in two months. In contrast, we observe that the purported increase in mobilization or coordination costs, following the imposition of restrictions, is not followed by a drop of violent events that involve organized armed groups. Instead, we find that the number of events, on average, increases slightly following the implementation of the restriction policies. The rise in violent events is most prominent in poorer countries, with higher levels of polarization, and in authoritarian countries. We discuss the potential channels underlying this heterogeneity.
Keywords Mobility, Violence, Conflict, SARS CoV-2
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Abstract This paper evaluates if same-sex marriage (SSM) laws, approved in several European Union countries over the past decades, have contributed to favor gay-friendly opinions among people depending on their social interactions. We propose a dyadic model in which individuals learn about the social norm conveyed by a law through strong and weak ties. We show that the relative importance of these social ties in shaping individuals’ opinions depends on the alignment between the law and the local social norm. Using the 2002–2016 European Social Surveys, we test the theoretical predictions with a pseudo-panel dynamic difference-in-difference setting relying on the progressive adoption of SSM in European countries. We show that strong ties induce a lower increase in gay-friendly opinions following the adoption of SSM when the law is aligned with the local social norm. When the law clashes with this norm, strong ties induce a larger increase.
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Abstract Financial inclusion is a policy priority in both developed and developing countries. Yet almost one in four people remain financially excluded around the globe, with the vast majority living in the developing world. In this paper, we argue that financial resilience: an individual’s ability to function effectively in adverse financial situations, can better help us assist people to cope with financial adversity, develop effective policy and, ultimately, improve economic development. This paper builds on an existing financial resilience measurement framework and adapts it to develop a measure appropriate to the context of developing countries. Indonesia, where one in three people are financially excluded, is used as a case country from which to draw conclusions. We use the Indonesia Family Life Survey and put forward the country’s first snapshot of financial resilience. Implications for research and policy are presented.
Keywords Indonesia, Poverty, Economic development, Financial resilience, Financial inclusion
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Abstract Scarcity of data on the health impacts and associated economic costs of heat waves may limit the will to invest in adaptation measures. We assessed the economic impact associated with mortality, morbidity, and loss of well-being during heat waves in France between 2015 and 2019. Methods Health indicators monitored by the French national heat wave plan were used to estimate excess visits to emergency rooms and outpatient clinics and hospitalizations for heat-related causes. Total excess mortality and years of life loss were considered, as well as the size of the population that experienced restricted activity. A cost-of-illness and willingness-to-pay approach was used to account for associated costs. Results Between 2015 and 2019, the economic impact of selected health effects of heat waves amounts to €25.5 billion, mainly in mortality (€23.2 billion), minor restricted activity days (€2.3 billion), and morbidity (€0.031 billion). Conclusion A better understanding of the economic impacts of climate change on health is required to support concrete adaptation actions and to alert decision-makers to the urgency of the situation.
Keywords Climate change, Economic assessment, Mortality, Heat-related illness, Extreme heat
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Abstract This chapter provides a review of the recent literature on bubble testing in real estate markets. Starting from a theoretical overview of the specificities of real estate assets we assess the latest econometric methodology to detect the periods when a real estate bubble is present. In an illustration for the case of Japan's house prices over four decades, we focus on a two-step econometric strategy to first filter out the fundamental component in the price-to-rent ratio and then test for the possible explosive character of the, non-fundamental, residual. Such a strategy enables researchers both to avoid misleading signals about spurious bubbles, and to detect bubbles which may be hidden when focusing only on the price-to-rent ratio.
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Abstract Deviations of asset prices from the random walk dynamic imply the predictability of asset returns and thus have important implications for portfolio construction and risk management. This paper proposes a real-time monitoring device for such deviations using intraday high-frequency data. The proposed procedures are based on unit root tests with in-fill asymptotics but extended to take the empirical features of high-frequency financial data (particularly jumps) into consideration. We derive the limiting distributions of the tests under both the null hypothesis of a random walk with jumps and the alternative of mean reversion/explosiveness with jumps. The limiting results show that ignoring the presence of jumps could potentially lead to severe size distortions of both the standard left-sided (against mean reversion) and right-sided (against explosiveness) unit root tests. The simulation results reveal satisfactory performance of the proposed tests even with data from a relatively short time span. As an illustration, we apply the procedure to the Nasdaq composite index at the 10-minute frequency over two periods: around the peak of the dot-com bubble and during the 2015–2106 stock market sell-off. We find strong evidence of explosiveness in asset prices in late 1999 and mean reversion in late 2015. We also show that accounting for jumps when testing the random walk hypothesis on intraday data is empirically relevant and that ignoring jumps can lead to different conclusions.
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