La plupart des informations présentées ci-dessous ont été récupérées via RePEc avec l'aimable autorisation de Christian Zimmermann
Variational principles with generalized distances and the modelization of organizational changeJournal articleTruong Q. Bao, Phan Q. Khanh et Antoine Soubeyran, Optimization, Volume 65, Issue 12, pp. 2049-2066, 2016

This paper has a twofold focus. The mathematical aspect of the paper shows that new and existing quasimetric and weak r-distance versions of Ekeland’s variational principle are equivalent in the sense that one implies the other, and so are their corresponding fixed-point results. The practical aspect of the paper, using a recent variational rationality approach of human behaviour, offers a model of organizational change, where generalized distances model inertia in terms of resistance to change. The formation and breaking of routines relative to hiring and firing workers will be used to illustrate the obtained results.

Convergence in a sequential two stages decision making processJournal articleJuan-Enrique Martinez-Legaz et Antoine Soubeyran, Bulletin of the Iranian Mathematical Society, Volume 42, Issue 7, pp. 25-29, 2016

We analyze a sequential decision making process, in which at each stepthe decision is made in two stages. In the rst stage a partially optimalaction is chosen, which allows the decision maker to learn how to improveit under the new environment. We show how inertia (cost of changing)may lead the process to converge to a routine where no further changesare made. We illustrate our scheme with some economic models.

Are changes in the dispersion of hours worked a cause of increased earnings inequality?Journal articleDaniele Checchi, Cecilia Garcia-Peñalosa et Lara Vivian, IZA Journal of European Labor Studies, Volume 5, Issue 1, pp. 1-34, 2016

Earnings are the product of wages and hours of work; hence, the dispersion of hours can magnify or dampen a given distribution of wages. This paper examines how earnings inequality is affected by the dispersion of working hours using data for the USA, the UK, Germany, and France over the period 1989–2012. We find that hours dispersion can account for over a third of earnings inequality in some countries and that its contribution has been growing over time. We interpret the expansion in hours inequality in European countries as being the result of weaker union power that led to less successful bargaining concerning working hours.

Introduction To The Macroeconomic Dynamics Special Issue On Technology Aspects In The Process Of DevelopmentJournal articleThéophile T. Azomahou, Raouf Boucekkine, Pierre Mohnen et Bart Verspagen, Macroeconomic Dynamics, Volume 20, Issue 08, pp. 1953-1956, 2016

We present a set of theoretical and empirical papers and briefly describe the specific contributions to the Macroeconomic Dynamics special issue on technology aspects in the process of development.

Do We Need High Frequency Data to Forecast Variances?Journal articleDenisa Banulescu-Radu, Christophe Hurlin, Bertrand Candelon et Sébastien Laurent, Annals of Economics and Statistics, Issue 123/124, pp. 135-174, 2016

In this paper we study various MIDAS models for which the future daily variance is directly related to past observations of intraday predictors. Our goal is to determine if there exists an optimal sampling frequency in terms of variance prediction. Via Monte Carlo simulations we show that in a world without microstructure noise, the best model is the one using the highest available frequency for the predictors. However, in the presence of microstructure noise, the use of very high-frequency predictors may be problematic, leading to poor variance forecasts. The empirical application focuses on two highly liquid assets (i.e., Microsoft and S&P 500). We show that, when using raw intraday squared log-returns for the explanatory variable, there is a “high-frequency wall” – or frequency limit – above which MIDAS-RV forecasts deteriorate or stop improving. An improvement can be obtained when using intraday squared log-returns sampled at a higher frequency, provided they are pre-filtered to account for the presence of jumps, intraday diurnal pattern and/or microstructure noise. Finally, we compare the MIDAS model to other competing variance models including GARCH, GAS, HAR-RV and HAR-RV-J models. We find that the MIDAS model – when it is applied on filtered data –provides equivalent or even better variance forecasts than these models. JEL: C22, C53, G12 / KEY WORDS: Variance Forecasting, MIDAS, High-Frequency Data.

RÉSUMÉ. Nous considérons dans cet article des modèles de régression MIDAS pour examiner l'influence de la fréquence d'échantillonnage des prédicteurs sur la qualité des prévisions de la volatilité quotidienne. L'objectif principal est de vérifier si l'information incorporée par les prédicteurs à haute fréquence améliore la qualité des précisions de volatilité, et si oui, s'il existe une fréquence d'échantillonnage optimale de ces prédicteurs en termes de prédiction de la variance. Nous montrons, via des simulations Monte Carlo, que dans un monde sans bruit de microstructure, le meilleur modèle est celui qui utilise des prédicteurs à la fréquence la plus élevée possible. Cependant, en présence de bruit de microstructure, l'utilisation des měmes prédicteurs à haute fréquence peut ětre problématique, conduisant à des prévisions pauvres de la variance. L'application empirique se concentre sur deux actifs très liquides (Microsoft et S & P 500). Nous montrons que, lors de l'utilisation des rendements intra-journaliers au carré pour la variable explicative, il y a un « mur à haute fréquence » – ou limite de fréquence – au-delà duquel les prévisions des modèles MIDAS-RV se détériorent ou arrětent de s'améliorer. Une amélioration pourrait ětre obtenue lors de l'utilisation des rendements au carré échantillonnés à une fréquence plus élevée, à condition qu'ils soient préfiltrés pour tenir compte de la présence des sauts, de la saisonnalité intra-journalière et/ou du bruit de microstructure. Enfin, nous comparons le modèle MIDAS à d'autres modèles de variance concurrents, y compris les modèles GARCH, GAS, HAR-RV et HAR-RV-J. Nous constatons que le modèle MIDAS – quand il est appliqué sur des données filtrées – fournit des prévisions de variance équivalentes ou měme meilleures que ces modèles.

Own-wage labor supply elasticities: variation across time and estimation methodsJournal articleOlivier Bargain et Andreas Peichl, IZA Journal of Labor Economics, Volume 5, Issue 1, pp. 1-31, 2016

There is a huge variation in the size of labor supply elasticities in the literature, which hampers policy analysis. While recent studies show that preference heterogeneity across countries explains little of this variation, we focus on two other important features: observation period and estimation method. We start with a thorough survey of existing evidence for both Western Europe and the USA, over a long period and from different empirical approaches. Then, our meta-analysis attempts to disentangle the role of time changes and estimation methods. We highlight the key role of time changes, documenting the incredible fall in labor supply elasticities since the 1980s not only for the USA but also in the EU. In contrast, we find no compelling evidence that the choice of estimation method explains variation in elasticity estimates. From our analysis, we derive important guidelines for policy simulations.

In Which Context is the Option Clause Desirable?Journal articleMathieu Bédard, Journal of Business Ethics, Volume 139, Issue 2, pp. 287-297, 2016

The option clause is a contractual device from free banking experiences meant to prevent banknote redemption duels. It has been used within the Diamond and Dybvig (J Pol Econ 91: 401–419, 1983) framew

Social Capital as an Engine of Growth: Multisectoral Modelling and ImplicationsJournal articleYouyou Baende Bofota, Raouf Boucekkine et Alain Pholo Bala, Macroeconomic Dynamics, Volume 20, Issue 08, pp. 2093-2122, 2016

We propose an endogenous growth model incorporating social capital. Social capital serves only as an input in the production of human capital and it involves a cost in terms of the final good. In contrast to alternative specifications, this model ensures that social capital enhances productivity gains by playing the role of a timing belt that drives the transmission and propagation of all productivity shocks. We find that, depending on the measure of social capital, the elasticity of human capital with respect to social capital varies from 6% to 10%. Finally, we investigate the short-term dynamics and imbalance effect properties of the model, depending on the value of this elasticity. In particular, we show that when the substitutability of social capital for human capital increases, the economy is better equipped to surmount initial imbalances, as individuals may allocate more working time to the final good sector without impeding economic growth.

La conception organique des institutions de Carl Menger a-t-elle anticipé ce qu’est un système adaptatif complexe ?Journal articleGilles Campagnolo et Gilbert Tosi, Revue d'Histoire de la Pensée Économique, Volume 2, pp. 41-72, 2016


Hayek au Japon : la réception d’une pensée néolibéraleJournal articleGilles Campagnolo, Revue de Philosophie Economique / Review of Economic Philosophy, Volume 17, Issue 1, pp. 171-208, 2016

La réception de la pensée de Friedrich Hayek au Japon dépend naturellement de caractéristiques propres à l’histoire de la modernisation dans ce pays, à partir de la seconde moitié du xixe siècle. Le contexte géographique et culturel est-asiatique, les clichés attachés au Japon peuvent conduire à s’étonner du succès de la pensée de l’auteur représentant d’une forme de « néolibéralisme ». Mais des traits épistémologiques et philosophiques, dont la démonstration est proposée ici, rendent compte de ce fait frappant. Au pays de la vie organisée en groupes à tous niveaux, l’impact fut considérable des idées du théoricien de l’individualisme méthodologique, militant du libre-échange et héritier sans doute le plus fameux de l’école économique autrichienne. L’écho de la pensée du fondateur de l’école, Carl Menger (1840-1921) dont les archives sont en partie conservées au Japon s’y fait également entendre. Un pan de théorie économique du libéralisme au xxe siècle a ainsi rencontré, loin de sa base d’origine, une réception attentive au pays du Soleil levant.