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Bruno Biais, Christophe Bisière, Matthieu Bouvard et Catherine Casamatta
n° 17-817, mai 2017, révision janvier 2018
Blockchains are distributed ledgers, operated within peer-to-peer networks. If reliable and stable, they could offer a new, cost effective way to record transactions, but are they? We model the proof-of-work blockchain protocol as a stochastic game and analyse the equilibrium strategies of rational...
Milo Bianchi
n° 17-808, mai 2017
We match administrative panel data on portfolio choices with survey measures of financial literacy. When we control for portfolio risk, the most literate households experience 0.4% higher annual returns than the least literate households. Distinct portfolio dynamics are the key determinant of this...
Silvia Goncalves, Ulrich Hounyo et Nour Meddahi
n° 17-809, mai 2017
The main contribution of this paper is to propose a bootstrap method for inference on integrated volatility based on the pre-averaging approach, where the pre-averaging is done over all possible overlapping blocks of consecutive observations. The overlapping nature of the pre-averaged returns...
Tiziano De Angelis, Fabien Gensbittel et Stéphane Villeneuve
n° 17-815, mai 2017
This paper studies a 2-players zero-sum Dynkin game arising from pricing an option on an asset whose rate of return is unknown to both players. Using filtering techniques we first reduce the problem to a zero-sum Dynkin game on a bi-dimensional diffusion (X; Y ). Then we characterize the existence...
Christian Gollier
n° 871, mai 2017
Natural capital is complex to price notably because of the high uncertainties surrounding the substitutability of its future ecosystem services. We examine a two-tree Lucas economy where both the economic growth and the degree of substitutability are uncertain. We show that the uncertain...
Carole Bernard, Christoph Rheinberger et Nicolas Treich
n° 872, mai 2017
Catastrophe aversion and risk equity are important concepts both in risk management theory and practice. Ralph Keeney (1980) was the first to formally define these concepts. He demonstrated that the two concepts are always in con ict. Yet his result is based on the assumption that individual risks...
Prosper Dovonon, Silvia Goncalves, Ulrich Hounyo et Nour Meddahi
n° 870, mai 2017
Susan Athey, Christian Catalini et Catherine Tucker
mai 2017
‘Notice and Choice’ has been a mainstay of policies designed to safeguard consumer privacy. This paper investigates distortions in consumer behavior when faced with notice and choice which may limit the ability of consumers to safeguard their privacy using field experiment data from the MIT digital...
James K. Hammitt
vol. 68, n° 3, mai 2017, p. 335–356
Quantitative evaluation of environmental, health, and safety policies requires a metric for the value of changes in health risk. This metric should be consistent with both the preferences of the affected individuals and social preferences for distribution of health risks in the population. There...
Thierry Magnac
vol. 78, mai 2017, p. 117–129
We evaluate the impact of “foreign”fees paid by consumers on their cash withdrawals at automatic teller machines (henceforth ATMs). These so called foreign fees are paid when consumers withdraw cash from ATMs which are not owned by their home bank. We take advantage of a natural experiment whereby...
