Is power more evenly balanced in poor households?

The structure of intra-household allocation is crucial to know whether a transfer from a rich household to a poor one translates into a transfer from a rich individual to a poor one. If rich households are more unequal than poor ones, then a progressive transfer among households reduces intra-household inequality, hence inequality among individuals. More specifically, two conditions have to be satisfied for extending Generalized Lorenz judgments from household level to individual one. The fraction of the couple's expenditures devoted to goods jointly consumed should decrease at the margin with the couple's income as well as the part of private expenditure devoted to the disadvantaged individual. This double concavity condition is non-parametrically tested on the French Household Expenditure Survey (2000). It is not rejected by the data and supports the view that power is more evenly distributed in poor households.     

Expectation-driven fluctuations and welfare loss under free trade in two-country models

This paper investigates the interlinkage in the business cycles based on expectation-driven fluctuations of large-country economies in a free-trade equilibrium. We consider a two-country, two-good, two-factor general equilibrium model with sector-specific externalities. We show that some country's expectation-driven fluctuations can spread throughout the world once trade opens even if the other country has determinacy under autarky. We thus prove that under free trade, globalization and market integration can have destabilizing effects on a country's competitive equilibrium. Finally, we characterize a configuration in which opening to international trade improves the stationary welfare at the world level but deteriorates the stationary welfare of the country that imports investment goods and exports consumption goods. We conclude that in opposition to the standard belief, international trade might not be beneficial to all trading partners in the long run.     

An International Analysis of Earnings, Stock Prices and Bond Yields

Abstract:  This paper assesses the contemporaneous relationship between stock prices, earnings and long-term government bond yields for a large number of countries. The time period of our data spans several decades. In a time series framework our analysis first tests the presence of a long-term contemporaneous relationship between these three variables (the so-called Fed model). Next, we assess if government bond yields play a significant role in the long-run relationship. Our empirical results question the validity of the Fed model in the sense that we show that long-term market movements are mainly driven by the earnings yield and not the differential between bond and earnings yields. As such, our analysis validates the results of Asness (2003) for a much larger collection of countries while using a dynamic time series (cointegration) framework. Finally, we also show that changes in long-term government bond yields have a short-term impact on stock prices.     

The kinetic quality of store design: An Exploration of its influence on shopping experience

Kinetic quality of store space is the appreciation of the store with regard to the movements and gestures that can be performed during the shopping trip. Few researches have studied this concept despite its potential influence on shopping outcomes. In this paper, we show that the kinetic quality of the store has an impact on hedonic and utilitarian shopping values and on purchase. The impact on shopping value is similar in magnitude to that of atmospheric quality. Music and visual esthetics positively influence kinetic quality.     

Asset pricing models with errors-in-variables

This paper revisits Fama and French [Fama, Eugene F., French, Kenneth R., (1993) Common risk factors in the returns on stock and bonds. Journal of Financial Economics 33 (1), 3–56] and Carhart [Carhart, Mark M., 1997. On persistence in mutual fund performance. Journal of Finance 52 (1), 57–82] multifactor model taking into account the possibility of errors-in-variables. In their well known paper, Fama and French [Fama, Eugene F., French, Kenneth R., 1997. Industry costs of equity. Journal of Financial Economic 43 (2), 153–193] concluded that estimates of the cost of equity for the three-factor model of FF (1993) were imprecise. We argue that this imprecision is even more severe because of the pervasive effects of measurement errors. We propose Dagenais and Dagenais [Dagenais, Marcel G., Dagenais, Denyse L., 1997. Higher moment estimators for linear regression models with errors in the variables. Journal of Econometrics 76 (1–2), 193–221] higher moments estimator as a solution. Our results show that estimates of the cost of equity obtained with Dagenais and Dagenais estimator differ sharply from popular OLS estimates and shed a new light on performance attribution and abnormal performance (α). Adapting the Generalized Treynor Ratio, recently developed by Hübner [Hübner, Georges, 2005. The generalized treynor ratio. Review of Finance 9 (3), 415–435], we show that the performance of managed portfolios with multi-index models should be revisited in presence of errors-in-variables.     

Uncovered interest parity: it works, but not for long

If an investor borrows in a low interest currency and invests in a high interest currency, the interest differential accrues in a lumpy manner, formally just like the dividend payments on a stock. The investor will receive the interest differential discretely at the point when a position is rolled over from one day to the next. A position that is not held open overnight receives no interest differential because intradaily interest rates are zero. Using a large data set of intradaily exchange rate data, we run uncovered interest parity (UIP) regressions over different short time intervals taking careful account of the settlement rules in the spot foreign exchange market. We find results that are supportive of the uncovered interest parity hypothesis over very short windows of data that span the time of the discrete interest payment. However, adding even a few hours to the span of the window destroys the positive uncovered interest parity results.     

Multicrop Production Models with Multinomial Logit Acreage Shares

The main objective of this paper is to show that the MultiNomial Logit (MNL) framework can be used for deriving simple acreage share models. More specifically we show that MNL acreage choice models can be defined as parts of consistent multicrop models. When coupled with suitably designed crop production models, e.g. a specific parameterization of the standard quadratic yield function, the parameters of these multicrop models are easily interpreted and estimated. Although MNL acreage choice models are usually derived by aggregating crop choices defined at the plot level, we show that these models can also be derived by considering a profit maximisation problem at the farm level. This provides a simple theoretical background for the Standard MNL acreage share model, as well as for simple extensions of these models: the Nested MNL acreage share models. An empirical application on French farm-level data over the period 1996–2007 investigates the empirical performances of the multicrop econometric models based on the proposed MNL framework for modelling acreage choices.     

A never-decisive and anonymous criterion for optimal growth models

We address in this paper the question of the existence of a Social Welfare Function that would be sustainable and would allow us to obtain solutions to optimal growth models. We define sustainability by two new axioms called Never-decisiveness of the present and Never-decisiveness of the future. We first show that a SWF which has Never-decisiveness properties cannot be defined on a ball of $l_{\infty }^{+}$ . We must (i) restrict to the set of utility streams for which the value of the SWF is finite and (ii) introduce additional assumptions in order to obtain the Never-decisiveness properties. Our main result in this paper is therefore to show that the undiscounted utilitarian criterion is an anonymous and never-decisive criterion for optimal growth models. We consider the set of utilities of consumptions which are generated by a specific technology, namely a technology with decreasing returns for high levels of capital, and restrict ourselves to good programs, i.e., any program for which intertemporal utility is well defined.