Showing papers by "HEC Paris published in 1990"

Performance of currency portfolios chosen by a Bayesian technique: 1967–1985

Abstract: This paper is about normative currency portfolio rules. It assumes logarithmic investors who maximize the expected utility from lognormal currency returns with and without short sales restrictions. A number of implementable portfolio diversification policies are tried out on a large body of data covering nine major currencies and eighteen years of weekly observations. In doing so, we present ways of dealing with the ‘estimation risk’ in an international context. The necessary mean and covariance inputs are provided by a Bayesian prior on the means and by sample means and covariance matrices, which are estimated from weekly sample data. While some policies do produce abnormal returns (over and beyond proper reward for risk), none does so in a statistically significant way. This means that the evidence does not allow one to conclude that market participants are improperly diversified. As a byproduct of this investigation, techniques are found which would allow portfolio managers to earn a proper reward for risk by following a purely mechanical procedure; such techniques may be valuable in a multi-country world where the aggregate portfolio of currencies and securities is unknown and is not supposed to be efficient.

Monetary contracting between central banks and the design of sustainable exchange-rate zones

Abstract: An exchange-rate system is a set of contracts which commits central banks to intervene in the foreign-exchange market The design features of the system include: the rules of intervention, the limits placed on exchange rates and the "crisis scenario" which describes possible transitions to new regimes in case one central bank runs out of reserves or borrowing capacity This paper considers the various trade-offs one faces in designing an exchange-rate system Svensson (1989) has already analyzed the degree of variability in the exchange rate, the interest rate and the fundamentals But the tradeoff also pertains to the amount of reserves which the central banks must have on hand in order to forestall a speculative attack and make the system sustainable The amount of reserves needed depends crucially on the assured crisis scenario

Analyse de la structure des marchés et étude du concept de concurrence entre les marques : une application sur données de panel

Abstract: Une des phases essentielles dans l'analyse de la structure d'un marche est d'etablir une mesure des relations entre les marques. Cette recherche a pour objectif d'etudier la validite de plusieurs mesures de la relation entre marques qui ont ete proposees dans la litterature. La recherche comporte deux parties. Dans la premiere, apres avoir propose une methodologie pour l'analyse de la structure des marches, nous presentons les concepts qui sont lies indirectement (Situation d'Usage, Recherche de Variete, Modeles de choix) ou directement (Substituabilite, Concurrence, Definition des Marches) au domaine de l'analyse de la structure des marches. Nous presentons ensuite un panorama exhaustif des modeles d'analyse des relations entre marques, modeles qui procedent a partir de donnees de jugement ou donnees de comportement des consommateurs. Dans la deuxieme partie, nous nous centrons sur l'etude de la concurrence entre les marques a partir de donnees de comportement. La recherche est menee sur les donnees du panel SCAN 5000 de la societe Nielsen, pour quatre marches de produits de consommation frequente. Nous considerons dans cette recherche que la concurrence entre deux marques est un concept theorique non observable et que, par consequent, les mesures qui ont ete proposees dans la litterature n'en sont que des operationnalisations particulieres. Pour apprecier la validite de ces mesures nous utilisons les techniques qui ont ete developpees en Psychometrie (la theorie de la mesure) et appliquees a la mesure de phenomenes psychologiques ou sociologiques. Nous proposons en outre une mesure de la concurrence permettant de prendre en compte la non-symetrie des relations de concurrence et possedant les proprietes d'une distance. D'autre part, nous etudions l'influence de plusieurs variables (Revenu, CSP, Quantite Consommee, Taille du Foyer, Point de Vente, Periode d'observation) sur la mesure de la concurrence

Risk-sharing on the labour market and second-best wage rigidities

Abstract: The starting point of the analysis is that a significant proportion of the labour force is not covered by efficient labour contracts. In particular, the non-existence of forward labour contracts limits the opportunity of efficient risk-sharing through private arrangements among young labour-suppliers and capital-owners. In such a context, state-dependent labour taxes and employment subsidies would be required to achieve ex ante Pareto efficiency. In the absence of employment subsidies, a certain (limited) degree of downward wage rigidity is in general Pareto superior to full wage flexibility. At the second-best optimum so defined, productive efficiency is sacrificed in some states, in order to achieve greater efficiency in risk-sharing. Thus, the unemployment associated with wage rigidity is inefficient, though voluntary due to the levels of benefits, and second-best efficient. A limited degree of wage discrimination by hiring date is typically part of the second-best policy.