Optimal marketing behavior in oligopoly

In this paper we first generalize the Dorfman-Steiner theorem to the case of an oligopoly with multiple competitive reactions and expansible industry demand. We then review the literature through a series of corollaries. On the basis of the theorem developed, we attempt to shed light on a oligopolistic market over a period characterized by the raise of a leader.     

Agriculture for development: new paradigm and options for success

The role of agriculture as an instrument for industrialization had been rigorously conceptualized in the 1960s and 1970s under the classical paradigm of development economics. After many implementation failures under import substitution industrialization policies and protracted neglect of agriculture under the policies of the Washington Consensus that followed the debt crisis, agriculture has gradually returned in the development agenda, especially with the food crisis. We argue in this article that a new paradigm has started to emerge as to how to use agriculture for development, pursuing a broadened development agenda. We explore the specifications of this paradigm and discuss conditions for successful implementation.     

Heterogeneous Matching with Transferable Utility: Two Labor Market Applications*

A labor market model under search frictions is developed, where participants are heterogeneous in productivity and the decision of which type of agents to match with is endogenized. Two applications are studied. It is observed that countries with high (low) unemployment tend to exhibit low (high) wage dispersion. And there is evidence showing that individual and firm characteristics have more explanatory power for the French than for the American wage data. Matching patterns can account for these two observations. In the absence of a minimum wage, I thus provide a theory of endogenous wage compression.     

DYNAMIC HEDGE FUND STYLE ANALYSIS WITH ERRORS‐IN‐VARIABLES

We revisit the traditional return‐based style analysis in the presence of time‐varying exposures and errors‐in‐variables (EIV). We apply a benchmark selection algorithm using the Kalman filter and compute the estimated EIV of the selected benchmarks. We adjust them by subtracting their EIV from the initial return series to obtain an estimate of the true uncontaminated benchmarks. Finally, we run the Kalman filter on these adjusted regressors. Analyzing EDHEC alternative index styles, we show that this technique improves the factor loadings and allows more precise identification of the return sources of the considered hedge fund strategy.     

Studying co-movements in large multivariate data prior to multivariate modelling

For non-stationary vector autoregressive models (VAR hereafter, or VAR with moving average, VARMA hereafter), we show that the presence of common cyclical features or cointegration leads to a reduction of the order of the implied univariate autoregressive-integrated-moving average (ARIMA hereafter) models. This finding can explain why we identify parsimonious univariate ARIMA models in applied research although VAR models of typical order and dimension used in macroeconometrics imply non-parsimonious univariate ARIMA representations.