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Emmanuel Thibault
n° 16-651, mai 2016
The use of GDP as the main index of progress and welfare of a country has been the subject of a long debate amongst economists. Using and extending the saversspenders theory recently popularized by Mankiw (2000, AER), we analyze the theoretical relationships between GDP and the welfare of a society...
Sébastien Gadat, Ioana Gavra et Laurent Risser
n° 16-652, mai 2016
Discrete structures like graphs make it possible to naturally and exibly model complex phenomena. Since graphs that represent various types of information are increasingly available today, their analysis has become a popular subject of research. The graphs studied in the field of data science at...
Sébastien Gadat, Clément Marteau et Cathy Maugis
n° 16-653, mai 2016, révision février 2018
Ingrid Van Keilegom et Anne Vanhems
n° 16-654, mai 2016
We consider a semiparametric transformation model, in which the regression func- tion has an additive nonparametric structure and the transformation of the response is assumed to belong to some parametric family. We suppose that endogeneity is present in the explanatory variables. Using a control...
Martial Dupaigne et Patrick Fève
n° 16-655, mai 2016
This paper inspects the mechanism shaping government spending multipliers in various smallscale DSGE setups with endogenous labor supply and capital accumulation. We analytically characterize the short-run investment multiplier, which in equilibrium can be either positive or negative. The...
Patrick Fève et Alain Guay
n° 16-656, mai 2016
This paper investigates the contribution of sentiments shocks to US fluctuations in a Structural VAR setup with long, medium and short run restrictions. Sentiments shocks are identified as shocks orthogonal to fundamentals that accounts for most of the variance of confidence. We assess our...
Sumudu Kankanamge et Thomas Weitzenblum
n° 16-657, mai 2016
This paper examines the optimal time-consistent unemployment insurance policy in a search economy with incomplete markets. In a context of repeated choice without a commitment device, we show that the optimal replacement rate depends on how frequently in time the policy can be revised. The exact...
Audrey Desbonnet et Sumudu Kankanamge
n° 16-658, mai 2016
In this paper, we investigate the importance of aggregate fluctuations for the assessment of the optimal level of public debt in an incomplete markets economy. We start by building a steady state model in which households are only subject to uninsurable idiosyncratic risk and evaluate the optimal...
Christian Gollier
n° 863, mai 2016
We fill a gap in the literature by formally defining the notion of aversion to risk of regret. An agent is sensitive to regret when her ex-post utility depends upon the forgone best payoff. An increase in the risk of regret occurs when the actual payoff and this best alternative become...
Joao Correia da silva et Faria Gonçalo
vol. 22, n° 7, mai 2016, p. 601–626
Literature on dynamic portfolio choice has been finding that volatility risk has low impact on portfolio choice. For example, using long-run US data, Chacko and Viceira [2005. “Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets.” The Review of Financial...
