Publications

La plupart des informations présentées ci-dessous ont été récupérées via RePEc avec l'aimable autorisation de Christian Zimmermann
Product and Labour Market Regulations, Production Prices, Wages and ProductivityJournal articleGilbert Cette, Jimmy Lopez et Jacques Mairesse, Review of Economics and Institutions, Volume 7, Issue 2, pp. 29, 2016

This study is an attempt to evaluate the effects of product and labour market regulations on industry productivity through their various impacts on changes in production prices and wages. In a first stage, the estimation of a regression equation on an industry*country panel, with controls for country*industry and country*year fixed effects, show that multi-factor productivity is negatively and significantly influenced by both indicators of industrial prices from same industry and weighted average of industrial prices from other industries, and by indicators of country wages weighted by industry labour shares for low and high skilled workers. In a second stage, an economic policy simulation of the implications these results on the basis of their calibration by the OECD product and labour market anti-competitive regulation indicators suggests that nearly all countries could expect sizeable gains in multifactor productivity from deregulation reforms.

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.

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

Pour le fondateur de l’école autrichienne, Carl Menger (1840-1921), nombre d’institutions sociales sont « organiques », non volontaires (« pragmatiques »). En épistémologie, aujourd’hui, elles peuvent s’interpréter comme systèmes adaptatifs complexes. Ainsi la monnaie selon Menger. On la confronte ici aux systèmes adaptatifs complexes vus comme évolutifs et fondés sur trois principes fondamentaux : variation, interaction et sélection. Menger les anticipe ou du moins conduit à eux en droit fil.

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.

On the Environmental Efficiency of Water Storage: the Case of a Conjunctive use of Ground and RainwaterJournal articleHubert Stahn et Agnès Tomini, Environmental Modeling & Assessment, Volume 21, Issue 6, pp. 691-706, 2016

Rainwater harvesting, consisting in collecting runoff from precipitation, has been widely developed to stop groundwater declines and even raise water tables. However, this expected environmental effect is not self-evident. We show in a simple setting that the success of this conjunctive use depends on whether the runoff rate is above a threshold value. Moreover, the bigger the storage capacity, the higher the runoff rate must be to obtain an environmentally efficient system. We also extend the model to include other hydrological parameters and ecological damages, which respectively increase and decrease the environmental efficiency of rainwater harvesting.

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.

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.

Introduction to the special issue on recent developments in Financial EconometricsJournal articleSerge Darolles, Christian Gourieroux et Sébastien Laurent, Annals of Economics and Statistics, Issue 123-124, pp. 7-8, 2016

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Is firm-sponsored training a palliative? A common agency approachJournal articleHejer Lasram et Didier G. Laussel, Applied Economics, Volume 48, Issue 57, pp. 5581-5592, 2016

We analyse the issue of firm-sponsored training under product market imperfections. In this setting, qualification becomes a public good for firms when their profits are increasing in the stock of skilled workers but remains a private good to students/workers. Students have to pay a tuition fee but at the same time firms sponsor education: universities sell training to both. We prove that the proportion of skilled workers is larger in more competitive economies/industries while the share of firms in the financing of training is a monotonically decreasing function of the degree of competition. An increase of the latter indeed increases the equilibrium skilled wage while reducing its sensitivity to an increase of the supply of skilled workers. The firms’ aggregate expenditures on training per worker are nevertheless a nonmonotonic function of the competitiveness of the economy.

Equality of Opportunity: Theory and MeasurementJournal articleJohn E. Roemer et Alain Trannoy, Journal of Economic Literature, Volume 54, Issue 4, pp. 1288-1332, 2016

During the last third of the twentieth century, political philosophers actively debated about the content of distributive justice; the ruling ethical view of utilitarianism was challenged by various versions of equality of opportunities. Economists formulated several ways of modeling these ideas, focusing upon how individuals are placed with respect to opportunities for achieving various outcomes, and what compensation is due to individuals with truncated opportunities. After presenting a review of the main philosophical ideas (section 2), we turn to economic models (sections 3 and 4). We propose a reformulation of the definition of economic development, replacing the utilitarian measure of GDP per capita with a measure of the degree to which opportunities for income acquisition in a nation have been equalized. Finally, we discuss issues that the econometrician faces in measuring inequality of opportunity, briefly review the empirical literature (section 6), and conclude (section 7).