Dominique Henriet

Faculty ,  Centrale Méditerranée

Econometrics, Finance and mathematical methods
Henriet
Status
Emeritus professor
Research domain(s)
Finance, Health economics, Public economics
Thesis
1985, University of Paris-Dauphine
Contact
dominique.henriet[at]centrale-med.fr
Address

AMU - AMSE
5-9 Boulevard Maurice Bourdet, CS 50498
​13205 Marseille Cedex 1

Abstract In the microfinance sector, experienced lenders enjoy an information advantage over first-time entrepreneurs. Our study proposes an analysis of the business training provided on a par with microloans and its potential effect on borrowers’behavior. First, we present a simple theoretical mechanism showing that an information advantage concerning borrower risk can lead to a non-monotonic relationship between risk and business training provision. Second, using a hand-collected data set of loan applications to a French MFI, we empirically examine the relationship between business training provision and borrower risk, controlling for selection bias and endogeneity. The collected evidence supports the existence of a non-monotonic relationship and shows that business training significantly increases the survival time of loans. Our results are robust to alternative econometric models.
Keywords Business training, Microcredit, Informed lender
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Abstract We study a risk-sharing agreement where members exert a loss-mitigating action which decreases the amount of reimbursements to be paid in the pool. The action is costly and members tend to free-ride on it. An optimal risk-sharing agreement maximizes the expected utility of a representative member with respect to both the coverage and the (collective) action such that efficiency is restored. We study the sustainability of the optimal agreement as equilibrium in a repeated game with indefinite number of repetitions. When the optimal agreement is not enforceable, the equilibrium with free-riding emerges. We identify an interesting trade-off: welfare generated by the optimal risk-sharing agreement increases with the size of the pool, but at the same time the pool size must not be too large for collective choices to be self-enforcing. This generates a discontinuous effect of pool size on welfare.
Keywords Repeated interactions, Optimal risk-sharing agreement, Loss-mitigating actions, Collectively optimal
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Abstract Certains marchés d’assurance sont sujets au phénomène bien connu des « cycles de souscription », composés d’une phase de tensions au cours de laquelle les primes et les profits augmentent alors que les capacités s’amenuisent, suivie d’une phase de relâchement caractérisée par des prix à la baisse et la reconstitution des capacités. Ces cycles sont difficiles à expliquer dans le cadre classique des marchés financiers parfaits. Ils impliquent une certaine prédictibilité des primes, une corrélation entre leROE(return on equity) des assureurs et les sinistres, ce qui semble contredire le principe d’absence d’opportunité d’arbitrage. Nous montrons que ces propriétés peuvent parfaitement s’expliquer dans un modèle d’équilibre concurrentiel avec frictions financières. Notre modèle étend l’approche classique de la théorie de la ruine à un modèle macroéconomique où les primes d’assurance sont endogènes et résultent de l’équilibre entre offre et demande de contrats. Les compagnies déterminent leurs politiques de souscription et d’émission ou rachat d’actions de façon à maximiser leur valeur boursière. Les primes d’assurance sont une fonction déterministe de la capitalisation boursière totale des assureurs. Nos résultats expliquent pourquoi les primes d’assurance sont prévisibles ainsi que la corrélation entreROEet sinistres. En fait, plutôt que de véritables cycles, les primes et les capacités oscillent entre deux valeurs extrêmes avec des renversements de tendance lorsque l’une de ces valeurs est atteinte.Notre modèle illustre la puissance de la nouvelle génération de modèles macroéconomiques avec frictions financières, initiée par Brunnermeier et Sannikov (2014), susceptibles de s’appliquer avec succès à l’analyse d’autres questions importantes pour les marchés d’assurance et de réassurance.
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Abstract We develop a continuous-time general-equilibrium model to rationalise the dynamics of insurance prices in a competitive insurance market with financial frictions. Insurance companies choose underwriting and financing policies to maximise shareholder value. The equilibrium price dynamics are explicit, which allows simple numerical simulations and generates testable implications. In particular, we find that the equilibrium price of insurance is (weakly) predictable and the insurance sector always realises positive expected profits. Moreover, rather than true cycles, insurance prices exhibit asymmetric reversals caused by the reflection of the aggregate capacity process at the dividend and recapitalisation boundaries.
Keywords Underwriting cycles, Continuous-time model, Financial frictions
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Abstract Despite growing calls to phase it out, oil exploration persists, often justified by the natural decline of existing fields and potential efficiency gains from discoveries. This paper quantifies the global welfare and environmental impacts of restricting oil exploration. We develop a global dynamic model calibrated to a granular dataset of 14,637 proven oilfields, accounting for heterogeneity in private extraction costs, capacity constraints, life-cycle carbon intensities of oil barrels, along with exploration dynamics and basin-specific estimates of yet-to-find resources. We find that exploration restrictions are an effective second-best climate policy: in the absence of a global carbon tax, a universal ban increases global welfare by$12.5 trillion due to lower social costs of oil production and use (assuming a social cost of carbon of$200/tCO2eq). A partial ban by OECD and BRICS countries alone captures 66% of these gains. Under optimal carbon pricing, however, a global ban yields a modest $0.3 trillion welfare loss, as it precludes access to lower-social-cost deposits and prevents the easing of short-run capacity constraints.
Keywords Stranded assets, Second-best, Ban, Carbon tax, Climate change, Oil exploration
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Abstract The microcredit market, where inexperienced micro-borrowers meet experienced microfinance institutions (MFIs), is subject to reversed asymmetric information. Thus, MFIs' choices can shape borrowers' beliefs and their behavior. We analyze how this mechanism may influence microfinance institution decisions to allocate business training. By means of a theoretical model, we show that superior information can lead the MFI not to train (or to train less) riskier borrowers. We then investigate whether this mechanism is empirically relevant, using data from a French MFI. Confirming our theoretical reasoning, we find a non-monotonic relationship between the MFI's decision to train and the risk that micro-borrowers represent.
Keywords Microcredit, Reversed asymmetric information, Looking-glass self, Bivariate probit, Scoring model
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Abstract We derive testable conditions ensuring that the income tax is optimal when agents are ex-ante identical but face idiosyncratic income risk. The optimal tax depends positively on both absolute risk aversion and risk variance and negatively on labor supply elasticity and absolute prudence. The comparison with the formula of the optimal non-linear income tax provides the restrictions on both the preferences and the income distribution conditional on effort ensuring that the optimal tax is indeed linear. In general it requires that the ratio of absolute prudence to absolute risk aversion be no less than two; if the income density has a linear likelihood ratio, it requires a (generalized) logarithmic consumption utility. Under HARA utility and linear or logarithmic likelihood ratios, explicit solutions for the optimal non-linear income tax are derived.
Keywords Optimal Income Taxation, Income risk, Linear and nonlinear income tax
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