Proxy-means testing (PMT) is a method used to assess household or individual welfare level based on a set of observable indicators. The accuracy, and therefore usefulness of PMT relies on the selection of indicators that produce accurate predictions of household welfare. In this paper I propose...

We build a continous-time general equilibrium model of a two-country, pure-exchange economy featuring taxes on the repatriation of dividends. We find approximate closed-form expressions for asset prices, returns joint dynamics and equity portfolios, thus giving a full description of equilibrium...

Impact of monetary policy on asset prices : lessons from a MIU model applied to the Fed Abstract -A tractable consumption-based and money-based asset pricing model is built to relate in closed form the risk premium, the risk free rate and the volatility of asset price to parameters of monetary...

Social and environmental ratings provided by social rating agencies are multidimensional. Using the six sub-ratings provided by the Vigeo rating agency, we perform a principal component analysis and we highlight three main socially responsible (SR) dimensions related to (1) the direct...

The aim of the paper is to analyze the impact of heterogeneous beliefs in an otherwise standard competitive complete markets discrete time economy. The construction of a consensus belief, as well as a consensus consumer are shown to be valid modulo a predictable aggregation bias, which takes the...

This paper studies the effects of multiple investment horizons and investors' bounded rationality on the price dynamics. We consider a pure exchange economy with one risky asset, populated with agents maximizing CRRA-type expected utility of wealth over discrete investment periods. An investor's...

In this article, we specify the different approaches followed by the economists and the financial economists in order to use chaos theory. We explain the main difference using this theory with other research domains like the mathematics and the physics. Finally, we present tools necessary for...

This paper focuses on the use of dynamical chaotic systems in Economics and Finance. In these fields, researchers employ different methods from those taken by mathematicians and physicists. We discuss this point. Then, we present statistical tools and problems which are innovative and can be...

We investigate some statistical properties of the new k-factor Gegenbauer process with heteroscedastic noises One of the goals of the paper is to give tools which permit to use this model to explain the behaviour of certain data sets in finance and in macroeconomics. Monte Carlo experiments are...