Leslie Berlin. The Man behind the Microchip: Robert Noyce and the Invention of Silicon Valley. New York: Oxford University Press, 2005. xi + 402 pp. ISBN 0-19-516343-5, $30.00.

The last few years have seen a number of books on the rise ofSilicon Valley. Martin Kenney’s Understanding SiliconValley (2000), Ross Bassett’s To the Digital Age (2002),Frederick Terman at Stanford by C. Stewart Gillmor (2004), andmy own book on Making Silicon Valley (2006) are notable examples.Another addition to this literature is The Man behind the Microchip:Robert Noyce and the Invention of Silicon Valley by     

Stock selection using a multi-factor model - empirical evidence from the French stock market

Using a Barra-type factor model, we have attempted to determine whether it is possible to beat the benchmark by taking advantage of anomalies established in the financial empirical literature. More specifically we have built an equity premium model based on three sets of factors (accounting variables, stock market characteristics and sector indicators) using a Bayesian method corrected for heteroscedasticity to estimate risk premiums, a technique that takes agents' learning into account. The results are encouraging: first, the factors that carried most weight on the equity premiums corroborated the results of empirical studies described in the financial literature, secondly, the portfolios constructed from our methodology and simulated outside our sample, returned higher performance than the benchmark and rewarded the supplement of volatility.     

The Risk Map: A new tool for validating risk models

This paper presents a new method to validate risk models: the Risk Map. This method jointly accounts for the number and the magnitude of extreme losses and graphically summarizes all information about the performance of a risk model. It relies on the concept of a super exception, which is defined as a situation in which the loss exceeds both the standard Value-at-Risk (VaR) and a VaR defined at an extremely low probability. We then formally test whether the sequences of exceptions and super exceptions are rejected by standard model validation tests. We show that the Risk Map can be used to validate market, credit, operational, or systemic risk estimates (VaR, stressed VaR, expected shortfall, and CoVaR) or to assess the performance of the margin system of a clearing house.     

May business mentors act as opportunity brokers and enablers among university students?

Networks are recognized as a central component of the entrepreneurial process, in particular with regard to opportunity identification and exploitation. In this study, we specifically analyze the role of mentors who are in business as opportunity brokers and enablers among university students with entrepreneurial intentions. Our investigation on 1022 students from 13 French-language universities based in Canada, France, Belgium and Algeria indicates that mentors in business, contrary to other mentors, support opportunity identification and exploitation among university students. Although student gender, entrepreneurial experience and education have a more pronounced effect, mentoring is the only element that can be controlled for through the creation of formal support programs. These results call on public authorities, and universities in particular, to implement formal mentoring programs to support students who are interested in starting their own business, and who would not otherwise have access to business mentors in their environment.     

Measuring and testing Granger causality over the spectrum: An application to European production expectation surveys

Decomposing Granger causality over the spectrum allows us to disentangle potentially different Granger causality relationships over different frequencies. This may yield new and complementary insights compared to traditional versions of Granger causality. In this paper, we compare two existing approaches in the frequency domain, proposed originally by Pierce [Pierce, D. A. (1979). R-squared measures for time series. Journal of the American Statistical Association, 74, 901–910] and Geweke [Geweke, J. (1982). Measurement of linear dependence and feedback between multiple time series. Journal of the American Statistical Association, 77, 304–324], and introduce a new testing procedure for the Pierce spectral Granger causality measure. To provide insights into the relative performance of this test, we study its power properties by means of Monte Carlo simulations. In addition, we apply the methodology in the context of the predictive value of the European production expectation surveys. This predictive content is found to vary widely with the frequency considered, illustrating the usefulness of not restricting oneself to a single overall test statistic.     

Do banks overstate their Value-at-Risk?

This paper is the first empirical study of banks’ risk management systems based on non-anonymous daily Value-at-Risk (VaR) and profit-and-loss data. Using actual data from the six largest Canadian commercial banks, we uncover evidence that banks exhibit a systematic excess of conservatism in their VaR estimates. The data used in this paper have been extracted from the banks’ annual reports using an innovative Matlab-based data extraction method. Out of the 7354 trading days analyzed in this study, there are only two exceptions, i.e. days when the actual loss exceeds the disclosed VaR, whereas the expected number of exceptions with a 99% VaR is 74. For each sample bank, we extract from historical VaRs a risk-overstatement coefficient, ranging between 19 and 79%. We attribute VaR overstatement to several factors, including extreme cautiousness and underestimation of diversification effects when aggregating VaRs across business lines and/or risk categories. We also discuss the economic and social cost of reporting inflated VaRs.     

Recent estimates of exchange rate pass-through to import prices in the euro area

This paper provides an update on the exchange rate pass-through (ERPT) estimates for 12 euro area (EA) countries. First, based on quarterly data over the 1990–2012 period, the study does not find a significant heterogeneity in the degree of pass-through across the monetary union members, in contrast to previous empirical studies. As the authors use a longer time span for the post-EA era than existing studies, this is not surprising, since the process of monetary union has entailed some convergence towards more stable macroeconomic conditions across EA member states. Second, when assessing the stability of pass-through elasticities, the authors find very weak evidence of a decline around the inception of the euro in 1999. However, their results reveal that a downtrend in ERPT estimates became apparent starting from the beginning of the 1990s. This observed decline was synchronous to the shift towards reduced inflation regimes in their sample of countries. Finally, the authors notice that the distinction between “peripheral” and “core” EA economies in terms of pass-through has significantly decreased over the last two decades.     

Central Bank Currency Swaps and the International Monetary System

Central bank currency swaps have emerged as a de facto key feature of the international monetary system, with the US Federal Reserve having extensive recourse to them during the financial crisis, and their exploitation by the People’s Bank of China to help internationalizing the renminbi. Combined with the unlimited and exclusive power of central banks to create money these swaps can match the volatility of international capital flows. However, they have so far not been associated with conditionality, and are more precarious than alternative institutional arrangements. Strictly framing the discretionary use of this tool seems unrealistic but an internationally agreed set of principles would enable a fairer and perhaps more efficient exploitation of this instrument.