Publications

Résumé We use tail expectiles to estimate alternative measures to the Value at Risk (VaR) and Marginal Expected Shortfall (MES), two instruments of risk protection of utmost importance in actuarial science and statistical finance. The concept of expectiles is a least squares analogue of quantiles. Both are M-quantiles as the minimizers of an asymmetric convex loss function, but expectiles are the only M-quantiles that are coherent risk measures. Moreover, expectiles define the only coherent risk measure that is also elicitable. The estimation of expectiles has not, however, received any attention yet from the perspective of extreme values. Two estimation methods are proposed here, either making use of quantiles or relying directly on least asymmetrically weighted squares. A main tool is to first estimate large values of expectile-based VaR and MES located within the range of the data, and then to extrapolate the obtained estimates to the very far tails. We establish the limit distributions of both of the resulting intermediate and extreme estimators. We show via a detailed simulation study the good performance of the procedures, and present concrete applications to medical insurance data and three large US investment banks.
Mots clés Asymmetric squared loss, Heavy tails, Extreme values, Coherency, Value at Risk, Extrapolation, Marginal expected shortfall, Expected shortfall, Expectiles
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Résumé Considering two-parent households with children, this study investigates the behavioral responses of men and women to a cash transfer program in Uruguay – Asignaciones Familiares-Plan de Equidad (AFAM-PE). We examine its effect on labor market responses, marital dissolution, and the decision-making process regarding the use of money. The assignment mechanism to the AFAM-PE exogenously alters the distribution of non-labor income across applicant households by targeting the monetary transfer (usually) to the female spouse. Our identification strategy exploits both the female targeting and a discontinuity in eligibility for enrollment into the program. Based on a regression discontinuity design and on a follow-up survey matched with program’s administrative records, this study finds that the program has significant negative effects on the formality choice of women at the eligibility cut-off. These responses seem to be associated with a lower rate of moving from unregistered jobs to formality. We also find suggestive evidence that the program results in women taking greater (perceived) responsibility for decisions in specific spheres of household expenditures. This study, represents one of the first efforts to analyze the distributional effects of CCT programs on different couples members’ behavioral responses. It offers relevant considerations for the ongoing debate about the impacts of these kind of programs on women’s agency in developing countries, suggesting the need to discuss new designs for social assistance that reduce discouraging effects on formality.
Mots clés Women’s decision-making, Labor market behavior, Intra-household allocations, Conditional cash transfer program
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Résumé In this article we extend the research on risk-based asset allocation strategies by exploring how using an SRI universe modifies properties of risk-based portfolios. We focus on four risk-based asset allocation strategies: the equally weighted, the most diversified portfolio, the minimum variance and the equal risk contribution. Using different estimators of the matrix of covariances, we apply these strategies to the EuroStoxx universe of stocks, the Advanced Sustainability Performance Index (ASPI) and the complement of the ASPI in the EuroStoxx universe from March 15, 2002 to May 1, 2012. We observe several impacts but one is particularly important in our mind. We observe that risk-based asset allocation strategies built on the entire universe, concentrate their solution on non-SRI stocks. Such risk-based portfolios are therefore under-weighted in socially responsible firms.
Mots clés Turnover, Combinatorics, Alternative and risk-based strategies, Socially responsible investment, Theory of Computation, Diversification, Operation Research/Decision Theory, Performance, Robust covariances matrix
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Résumé This paper aims at clarifying the analytical conditions under which financial globalization originates welfare gains in a simple endogenous growth setting. We focus on an open-economy AK model in which the capital-deepening effect of financial globalization boosts growth in a in permanent but entails an entry cost in order to access international credit markets. We show that constrained borrowing triggers substantial welfare gains, even at small levels of international financial integration, provided that the autarkic growth rate is larger than the world interest rate. Such conditional welfare benefits boosted by stronger growth—long-run gain—arise in our preferred model without investment commitment and they range, relative to autarky, from about 2% in middle-income countries to about 13% in OECD-type countries under international financial integration. Sizeable benefits emerge despite the fact that consumption initially falls—short-run pain—which is, however, shown not to dwarf positive growth changes.
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Résumé Conventional wisdom says that the middle classes in many developed countries have recently suffered losses, in terms of both the share of the total population belonging to the middle class, and also their share in total income. Here, distribution-free methods are developed for inference on these shares, by means of deriving expressions for their asymptotic variances of sample estimates, and the covariance of the estimates. Asymptotic inference can be undertaken based on asymptotic normality. Bootstrap inference can be expected to be more reliable, and appropriate bootstrap procedures are proposed. As an illustration, samples of individual earnings drawn from Canadian census data are used to test various hypotheses about the middle-class shares, and confidence intervals for them are computed. It is found that, for the earlier censuses, sample sizes are large enough for asymptotic and bootstrap inference to be almost identical, but that, in the twenty-first century, the bootstrap fails on account of a strange phenomenon whereby many presumably different incomes in the data are rounded to one and the same value. Another difference between the centuries is the appearance of heavy right-hand tails in the income distributions of both men and women.
Mots clés Middle class, Canada, Bootstrap
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Résumé In economics, rank-size regressions provide popular estimators of tail exponents of heavy-tailed distributions. We discuss the properties of this approach when the tail of the distribution is regularly varying rather than strictly Pareto. The estimator then over-estimates the true value in the leading parametric income models (so the upper income tail is less heavy than estimated), which leads to test size distortions and undermines inference. For practical work, we propose a sensitivity analysis based on regression diagnostics in order to assess the likely impact of the distortion. The methods are illustrated using data on top incomes in the UK.
Mots clés Top incomes, Heavy tails, Rank size regression, Extreme value index, Regular variation
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Résumé Asymptotic and bootstrap inference methods for inequality indices are for the most part unreliable due to the complex empirical features of the underlying distributions. In this paper, we introduce a Fieller-type method for the Theil Index and assess its finite-sample properties by a Monte Carlo simulation study. The fact that almost all inequality indices can be written as a ratio of functions of moments and that a Fieller-type method does not suffer from weak identification as the denominator approaches zero, makes it an appealing alternative to the available inference methods. Our simulation results exhibit several cases where a Fieller-type method improves coverage. This occurs in particular when the Data Generating Process (DGP) follows a finite mixture of distributions, which reflects irregularities arising from low observations (close to zero) as opposed to large (right-tail) observations. Designs that forgo the interconnected effects of both boundaries provide possibly misleading finite-sample evidence. This suggests a useful prescription for simulation studies in this literature.
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Résumé Owing to recent concerns about the negative externalities of traditional fuel use on the environment and health, the issue of the household fuel transition in developing countries, from dirty fuels towards clean fuels, is receiving growing research attention. This paper provides an up-to-date survey of the economic literature on household fuel use in these countries. We first present the conceptual and theoretical frameworks. Then we discuss the empirical results that show the wide range of factors that drive the household fuel transition and can be understood better by linking them with theory.
Mots clés Household decisions Fuel transition Energy consumption
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Résumé This paper illustrates the “Sen-Nussbaum-type” capability approach to the measurement of youth wellbeing using the newly developed Exploratory Structural Equation Modelling (ESEM). It offers insights into how the capability to achieve wellbeing can be measured in a conflict-affected and resource-constrained setting. The methodology is applied to nationally representative data taken from the Palestinian Family Survey. The population of interest is youth aged 15 to 29. Three capability dimensions are identified: health awareness, knowledge and living conditions. Results show an interrelation between capability dimensions. It is especially important to note the effect of knowledge capabilities on both health awareness and living conditions indicators. Results also confirm the importance of some (exogenous) factors such as the education of the household head in the conversion of capabilities into achievements. Capabilities are shown to be highest in the West Bank for both knowledge and living conditions compared to the Gaza Strip.
Mots clés The occupied Palestinian territories, Developing countries, Wellbeing, Wealth, Knowledge, Health awareness, Exploratory structural equation model, Capability approach
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Résumé Background The contribution of income inequality to health inequality has been widely examined in developed countries. However, little evidence exists on the effect of health on income inequality in resource-constrained settings. Findings from previous studies have indicated several mechanisms through which health affects income inequality, with the labour market being an important channel. Given the different levels of development, there are reasons to believe that health might represent a greater constraint on earnings in low-income settings. The aim of this study was to examine the relation between income and health in the West Bank and Gaza Strip. Methods Data were extracted from the 2004 Household Health Expenditure Survey, which covered 4014 households. We applied a Shapley value approach to assess the contribution of health to income inequality. The analysis involved estimating and decomposing the relative Gini index. The contribution of each variable to income inequality was then computed as the average marginal effect, holding all other covariates at the mean. Findings Results indicated clear age-specific health-income gradients. This is particularly apparent in the working-age population. Results also indicated that chronically ill people live in households witht low income. The regression analyses showed a negative effect of the proportion of adults in the household with chronic illness on income. The lack of education and employment appear to have the highest negative effect on income. The decomposition analyses revealed that ill health contributes to income inequality, whereas such an effect is reduced when we controlled for employment status. Interpretation Our results suggested the presence of a ubiquitous relation between health and income. The contribution of health to income inequality depends on how it is distributed. Evidence supports a significant effect of ill health on income, which mainly operates through employment. Additionally, variation in exposure to health risks is a potentially important mechanism through which health might generate income inequality. Funding None. Contributors MA-Z contributed to the study design, data analysis, and the writing of the Abstract. MEW contributed with input for data analysis. MB contributed to data collection, data management, data interpretation, tables, and figures. All authors have seen and approved the final version of the Abstract for publication. Declaration of interests We declare no competing interests.
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