Publications
What does the American movie industry tell us about the economic role of Wall Street and the perception of the stock market over time? Through a substantial corpus of American films from the 20c. and 21c, this article illustrates how, in three distinct periods, Hollywood has been able to stage finance and contribute to the myth of Wall Street. A minor subject until the 1980s, these years have seen the appearance of financial blockbusters with the rise of the financialization of the economy. The subprime crisis renews the genre, questioning the place of the stock market and the ethics of traders.
This paper highlights the procyclical and unstable behaviour of mutual funds, characterized by a varying sensitivity on common asset pricing factors. It proposes a novel factor model that allows for regime changes associated with macroeconomic and financial state variables. Estimated on a panel covering 825 US equity mutual funds over a period of 30 years, it appears that the yield curve, the dividend yield, short term interest rates and the industrial production coincide with regimes switches in the Fama–French factors. Furthermore, the estimated regimes coincide with financial crises and economic downturns, thus confirming the procyclical behaviour of mutual funds' returns. These findings, coupled with the emerging systemic role of mutual funds, promote the consideration for a specific macroprudential regulatory framework targeted at the mutual fund industry.
During the medieval and early modern periods the Middle East lost its economic advantage relative to the West. Recent explanations of this historical phenomenon—called the Long Divergence—focus on these regions’ distinct political economy choices regarding religious legitimacy and limited governance. We study these features in a political economy model of the interactions between rulers, secular and clerical elites, and civil society. The model induces a joint evolution of culture and political institutions converging to one of two distinct stationary states: a religious and a secular regime. We then map qualitatively parameters and initial conditions characterizing the West and the Middle East into the implied model dynamics to show that they are consistent with the Long Divergence as well as with several key stylized political and economic facts. Most notably, this mapping suggests non-monotonic political economy dynamics in both regions, in terms of legitimacy and limited governance, which indeed characterize their history.
We study price personalization in a two period duopoly with horizontally differentiated products. In the second period, a firm has collected detailed information on its old customers, using it to engage in price personalization. Customers, when returning to buy, may choose to incur a cost in order to access the standard offer of their previous provider in addition to its personalized offer and the standard offer of its rival. The analysis confirms that firms’ second period profits are boosted when consumers are active in this sense (being equal to perfect price discrimination ones when initial market hares do not differ too much) but it reveals that this advantage is dissipated and possibly over-dissipated by the resulting fierce first-period competition for the market. Two-period aggregate profits are smaller with active customers provided the consumers are naive and/or the firms patient enough. Consumers’ access to both personalized and standard firms’ offers which benefit the oligopolists in mature markets may plausibly hurt them in emergent ones. The equilibrium is shown not to depend on the level of the cost as long as it is below some critical value.
This paper constructs internationally consistent measures of macroeconomic uncertainty. Our econometric framework extracts uncertainty from revisions in data obtained from standardized national accounts. Applying our model to post-WWII real-time data, we estimate macroeconomic uncertainty for 39 countries. The cross-country dimension of our uncertainty data allows us to study the impact of uncertainty shocks under varying degrees of employment protection legislation. Our empirical findings suggest that the effects of uncertainty shocks are stronger and more persistent in countries with low employment protection compared to countries with high employment protection. These empirical findings are in line with a theoretical model under varying firing cost.
Revealed and stated preference techniques are widely used to assess willingness to pay (WTP) for non-market goods as input to public and private decision-making. However, individuals first have to satisfy subsistence needs through market good consumption, which affects their ability to pay. We provide a methodological framework and derive a simple ex post adjustment factor to account for this effect. We quantify its impacts on the WTP for non-market goods and the ranking of projects theoretically, numerically and empirically. This confirms that non-adjusted WTP tends to be plutocratic: the views of the richest – whatever they are – are more likely to impact decision-making, potentially leading to ranking reversal between projects. We also suggest that the subsistence needs-based adjustment factor we propose has a role to play in value transfer procedures. The overall goal is a better representation of the entire population’s preferences with regard to non-market goods.
We formulate a hydro-economic model of the North-Western Sahara Aquifer System (NWSAS) to assess the effects of intensive pumping on the groundwater stock and examine the subsequent consequences of aquifer depletion. This large system comprises multi-layer reservoirs with vertical exchanges, all exploited under open access properties. We first develop a theoretical model to account for relevant features of the NWSAS by introducing, in the standard Gisser-Sanchez model, a non-stationary demand and quadratic stock-dependent cost functions. In the second step, we calibrate parameters values using data from the NWSAS over 1955–2000. We finally simulate the time evolution of the aquifer system with exploitation under an open-access regime. We specifically examine time trajectories of the piezometric levels in the two reservoirs, the natural outlets, and the modification of water balances. We find that natural outlets of the two reservoirs might be totally dried before 2050.
We propose an inertial proximal point method for variational inclusion involving difference of two maximal monotone vector fields in Hadamard manifolds. We prove that if the sequence generated by the method is bounded, then every cluster point is a solution of the non-monotone variational inclusion. Some sufficient conditions for boundedness and full convergence of the sequence are presented. The efficiency of the method is verified by numerical experiments comparing its performance with classical versions of the method for monotone and non-monotone problems.
The impacts of money in US politics have long been debated. Building on principal-agent models, we test whether and to what degree companies’ political donations lead to their favored treatment in federal procurement. We expect the impact of donations on favoritism to vary by the strength of control by political principals over their bureaucratic agents. We compile a comprehensive dataset of published federal contracts and registered campaign contributions for 2004–15. We develop risk indices capturing tendering practices and outcomes likely characterized by favoritism. Using fixed effects regressions, matching, and regression discontinuity analyses, we find confirming evidence for our theory. A large increase in donations from $10,000 to $5m (in USD) increases favoritism risks by about 1/4th standard deviation (SD). These effects are largely partisan, with firms donating to the party that holds the presidency showing higher risk. Donations influence favoritism risks most in less independent agencies: the same donation increases the risk of favoritism by an additional 1/3rd SD in agencies least insulated from politics. Exploiting sign-off thresholds, we demonstrate that donating contractors are subject to less scrutiny by political appointees.
In many societies, parents are involved in selecting a spouse for their child, integrating this with decisions about premarital investment such as education. Do spousal preferences of parents and children conflict? We estimate parents’ spousal preferences based on survey choices between random profiles, elicited from parents or other relatives who actively search for a spouse on behalf of their adult child in Kunming, China. We simulate marriage outcomes based on preferences for age and education and compare them with patterns in the general population and with the preferences of a survey of students. The common concern that there may be aversion to highly educated or high-earning wives is somewhat corroborated in parents’ preferences but not in students’ preferences, nor in outcomes, where homogamy is common and wives who are more educated than husbands are as common as husbands who are more educated than wives. Parents prefer wives younger than their husbands, yet most couples are the same age, an outcome consistent with student preferences. Overall, divergences between parental and child preferences exist but are neither major nor very influential in explaining observed outcomes. Fears that highly educated women face diminished marriage prospects appear less serious than often claimed.
