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Government Solvency, Austerity and Fiscal Consolidation in the OECD: A Keynesian Appraisal of Transversality and No Ponzi Game Conditions.

Azizi, Karim; Canry, Nicolas; Chatelain, Jean-Bernard; … - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2013

This paper investigates the relevance of the No-Ponzi game condition for public debt (i.e. the public debt growth rates has to be lower than the real interest rate, a necessary assumption for Ricardian equivalence) and of the transversality condition for the GDP growth rate (i.e. the GDP growth...

Persistent link: https://www.econbiz.de/10010643643

France 0 - 0 Brésil. L'échec du réformisme.

Herrera, Rémy; Sabadini, Mauricio - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008

This paper compares the economic policies of the "left-wing" governements in France (1981-1986) and Brazil (2003-2007) and analyzes the causes, manifestations et consequences of the failure of these "reformisms". The originality of the French neoliberalism is to have been introduced by...

Persistent link: https://www.econbiz.de/10005696777

A short note on option pricing with Lévy Processes.

Guegan, Dominique; Lalaharison, Hanjarivo - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010

In this paper, we provide exact formulas for the pricing of European options under the risk neutral measure, whereas under the historic measure the data follow two types of models : a GARCH process with Lévy innovations, or a GARCH process with Poisson jumps. This approach aims to take...

Persistent link: https://www.econbiz.de/10008727368

Option pricing with discrete time jump processes.

Guegan, Dominique; Ielpo, Florian; Lalaharison, Hanjarivo - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2011

models (NIG-Lévy, Merton-jump (Merton 1976) and Duan based model (Duan 2007)). By combining these different class of models …

Persistent link: https://www.econbiz.de/10009225975

Option pricing with discrete time jump processes.

Guegan, Dominique; Ielpo, Florian; Lalaharison, Hanjarivo - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2011

models (NIG-Lévy, Merton-jump (Merton 1976) and Duan based model (Duan 2007)). By combining these different class of models …

Persistent link: https://www.econbiz.de/10010721555

Un MEDAF à plusieurs moments réalisés.

Hurlin, Christophe; Kouontchou, Patrick; Maillet, Bertrand - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010

asset pricing models. Estimations are conducted using several methodologies aiming to neutralize data measurement and model … global adjustment of the extended model with market data. …

Persistent link: https://www.econbiz.de/10008635797

Martingalized historical approach for option pricing.

Chorro, Christophe; Guegan, Dominique; Ielpo, Florian - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009

In a discrete time option pricing framework, we compare the empirical performance of two pricing methodologies, namely the affine stochastic discount factor and the empirical martingale correction methodologies. Using a CAC 40 options dataset, the differences are found to be small : the higher...

Persistent link: https://www.econbiz.de/10005012516

Macroeconomic effects of consumer debt: three theoretical essays.

Allain, Olivier - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2014

Post-Keynesian economists have quite recently begun to draw attention to the consumer debt. However, as they omit the principal payment, they implicitly assimilate this debt as perpetual loans. The goal of this article is mainly methodological. We first develop a ‘Keynesian’ overlapping...

Persistent link: https://www.econbiz.de/10011123709

Growth Strategy with Social Capital and Physical Capital- Theory and Evidence: the Case of Vietnam.

Van, Cuong Le; Nguyen, Anh-Ngoc; Nguyen, Ngoc-Minh - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2014

We study the impact of social capital in both simple theoretical and empirical model with the main assumption is the … price of physical capital is a decreasing function of social capital. In our theoretical model, there exists a critical …. Moreover, the output depends positively and non-linearly on the social capital. Our empirical model that captures the impact of …

Persistent link: https://www.econbiz.de/10011184307

Tackling the instability of growth: A Kaleckian model with autonomous demand expenditures.

Allain, Olivier - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2013

This article presents a Kaleckian model enriched by introducing autonomous public expenditure which grows at an …

Persistent link: https://www.econbiz.de/10010632874