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Financial Markets Equilibrium with Heterogeneous Agents
Cvitanic, Jaksa; Jouini, Elyès; Malamud, Semyon; Napp, … - HAL - 2012
This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may dier in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity on the...
Persistent link: https://www.econbiz.de/10009360288
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Incomplete markets, liquidation risk and the term structure of interest rates
Challe, Edouard; Grand, François Le; Ragot, Xavier - HAL - 2007
We construct a general equilibrium model with incomplete markets and borrowing constraints, in order to study the term structure of real interest rates. Agents are subject to both aggregate and idiosyncratic income shocks, which latter may force them into early portfolio liquidation whilst in...
Persistent link: https://www.econbiz.de/10010738818
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Incomplete markets, liquidation risk, and the term structure of interest rates
Challe, Edouard; Grand, François Le; Ragot, Xavier - HAL - 2013
We analyse the term structure of interest rates in a general equilibrium model with incomplete markets, borrowing constraint, and positive net supply of government bonds. Uninsured idiosyncratic shocks generate bond trades, while aggregate shocks cause uctuations in the trading price of bonds....
Persistent link: https://www.econbiz.de/10010739059
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Generating Yield Curve Stress-Scenarios
Charpentier, Arthur; Villa, Christophe - HAL - 2010
Several authors have proposed to combine movements in princi- pal components to generate scenarios of "large" historical changes in term structures, i.e. stress-scenarios. This approach, however, has at least two shortcommings. This paper answers at these two problems and proposes a general...
Persistent link: https://www.econbiz.de/10008793692
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Category-based Tail Comovement
Charpentier, Arthur; Galariotis, Emilios; Villa, Christophe - HAL - 2009
Traditional …financial theory predicts that comovement in asset returns is due to fundamentals. An alternative view is … that of Barberis and Shleifer (2003) and Bar- beris, Shleifer and Wurgler (2005) who propose a sentiment based theory of … independent. In this paper we extend the sentiment based theory of comovement so as to cover the whole spectrum of dependence …
Persistent link: https://www.econbiz.de/10008793727
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Female Access to Credit in France: How Microfinance Institutions Import Disparate Treatment from Banks
Cozarenco, Anastasia; Szafarz, Ariane - HAL - 2013
sample period is split in two: before and after the MFI implemented France's regulatory EUR 10,000 loan ceiling. In the first …
Persistent link: https://www.econbiz.de/10010933836
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Does the law alone explain the rise in bankruptcies in XIXth century France?
Hautcoeur, Pierre-Cyrille; Levratto, Nadine - HAL - 2006
This paper is the first result of a project aiming at understanding the history of bankruptcy law from an empirical economic perspective. By contrast with some proponents of "law and economics" (e.g. La Porta & alii, 1998), we consider that the impact of bankruptcy law on national economic...
Persistent link: https://www.econbiz.de/10010930170
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Impact of information on intentions to vaccinate in a potential epidemic: swine-origin Influenza A (H1N1)
Chanel, Olivier; Luchini, Stephane; Massoni, Sébastien; … - HAL - 2010
of the swine-origin A (H1N1) 2009 pandemic, we use an interactive study among the general public in the South of France …
Persistent link: https://www.econbiz.de/10010930176
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Retirement intentions of older migrant workers: Does health matter?
Vaillant, Nicolas Gérard; Wolff, François-Charles - HAL - 2012
could play a minor effect in immigrants' decision to retire. Using detailed data on immigrants living in France collected in …
Persistent link: https://www.econbiz.de/10009651574
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Évolution des dépenses communales de transports collectifs et de voirie. (Cas des communes de plus de 10 000 habitants)
Mignot, Dominique; Moreau, Patrick; Pochet, Pascal - HAL - 1990
Cette étude faite au niveau général du budget ne présage cependant rien en ce qui concerne le détail de chacun des postes de dépense. Or, l'hypothèse d'un investissement en grande partie lié aux dépenses passées et aux caractéristiques actuelles est tout à fait plausible pour le...
Persistent link: https://www.econbiz.de/10009216358