The objective of this paper is to provide a complete framework to aggregate different quantile and expectile models for obtaining more diversified Value-at-Risk and Expected Shortfall measures, by applying the diversification principle to model risk. Following Taylor (2008) and Gouriéroux and...

We provide an economic valuation of the riskiness of risk models by directly measuring the impact of model risks (specification and estimation risks) on VaR estimates. We find that integrating the model risk into the VaR computations implies a substantial minimum correction of the order of...

We present a continuous time non-tatonnement process for frictionless and perfectly competitive markets with (possibly non-convex) production, where the natural rate of unemployment (NRU) emerges as the asymptotic value of unemployment. Consumers and producers are myopic and repeatedly...

The inclusion of time in the household domestic production function allows to calculate full prices that are in turn used to estimate consistent monetary and time elasticities on micro cross-sectional data. This article provides elasticity estimates for different commodity groups in absence of...

We study the testability implications of public versus private consumption. The distinguishing feature of our approach is that we start from a revealed preference characterization of collectively rational behavior. Remarkably, we find that assumptions regarding the public or private nature of...

This paper contributes to the discussion of the compatibility of consumers' behavior in "real" life with GARP. Within expenditure panel data we observe a relatively low rate of violation (240 out of 3630 households). We show that these violations do not imply an "irrational" behavior of the...

Static competitive equilibria in economies with incomplete markets are generically constrained suboptimal. Allocations induced by strategic equilibria of imperfectly competitive markets are also generically inefficient. In both cases, there is scope for Pareto-improving amendments. In an...

In the spirit of Smale's work, we consider pure exchange economies with general consumption sets. In this paper, the consumption set of each household is described in terms of a function called possibility function. The main innovation comes from the dependency of each possibility function with...

The aim of this article is to analyze the economic literature from the last thirty years in the field of addiction and to study its relation to the theory of rational choice (TRC). We show that the application of the TRC to addictive behaviors appeared in a context of reciprocity of stakes, i.e....

In this paper, ambiguity aversion to uncertain survival probabilities is introduced in a life-cycle model with a bequest motive to study the optimal demand for annuities. Provided that annuities return is sufficiently large, and notably when it is fair, positive annuitization is known to be...