Financial Risk Management, Firm Structure & Valuation, an Empirical Analysis.

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Does IMF Induce Political Business Cycles? An Empirical Analysis on Latin America's Indebted Countries.

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Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables

This paper assesses the empirical performance of an intertemporal option pricing model with latent variables which generalizes the Hull-White stochastic volatility formula. Using this generalized formula in an ad-hoc fashion to extract two implicit parameters and forecast next day S&P 500 option prices, we obtain similar pricing errors than with implied volatility alone as in the Hull-White case. When we specialize this model to an equilibrium recursive utility model, we show through simulations that option prices are more informative than stock prices about the structural parameters of the model. We also show that a simple method of moments with a panel of option prices provides good estimates of the parameters of the model. This lays the ground for an empirical assessment of this equilibrium model with S&P 500 option prices in terms of pricing errors.

Wage Policy of Firms: an Empirical Investigation.

This paper analyzes the dynamics of wages and workers' mobility within firms with a hierarchical structure of job levels. The theoretical model proposed by Gibbons and Waldman (1999), that combines the notions of human capital accumulation, job rank assignments based on comparative advantage and learning about workers' abilities, is implemented empirically to measure the importance of these elements in explaining the wage policy of firms. Survey data from the GSOEP (German Socio-Economic Panel) are used to draw conclusions on the common features characterizing the wage policy of firms from a large sample of firms. The GSOEP survey also provides information on the worker's rank within his firm which is usually not available in other surveys. The results are consistent with non-random selection of workers onto the rungs of a job ladder. There is no direct evidence of learning about workers' unobserved abilities but the analysis reveals that unmeasured ability is an important factor driving wage dynamics. Finally, job rank effects remain significant even after controlling for measured and unmeasured characteristics.

Does the Barro-Gordon Model Explain the Behavior of US Inflation? a Reexamination of the Empirical Evidence

This paper tests the predictions of the Barro-Gordon model using US data on inflation and unemployment. To that end, it constructs a general game-theoretical model with asymmetric preferences that nests the Barro-Gordon model and a version of Cukierman’s model as special cases. Likelihood Ratio tests indicate that the restriction imposed by the Barro-Gordon model is rejected by the data but the one imposed by the version of Cukierman’s model is not. Reduced-form estimates are consistent with the view that the Federal Reserve weights more heavily positive than negative unemployment deviations from the expected natural rate.

Finance and Growth : Empirical Evidence from Developing Countries, 1960-1990

This paper examines the empirical relationship between financial intermediation and economic growth using cross-country and panel data regressions for 69 developing countries for the 1960-1990 period. The main results are : (i) financial development is a significant determinant of economic growth, as it has been shown in cross-sectional regressions; (ii) financial markets cease to exert any effect on real activity when the temporal dimension is introduced in the regressions. The paradox may be explained, in the case of developing countries, by the lack of an entrepreneurial private sector capable to transform the available funds into profitable projects; (iii) the effect of financial development on economic growth is channeled mainly through an increase in investment efficiency.

Factors associated with psychotropic drug use among community-dwelling older persons: A review of empirical studies

Affiliation: Faculté de pharmacie, Université de Montréal

Valuing Sovereign Default Risk - A Pricing Formula and its Empirical Results for the Mexican External Debt.

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Regulatory History Material as an Extrinsic Aid to Interpretation: An Empirical Study on the Use of RIAS by the Federal Court of Canada

Since 1986, the Canadian Public Administration is required to analyze the socio-economic impact of new regulatory requirements or regulatory changes. To report on its analysis, a Regulatory Impact Analysis Statement (RIAS) is produced and published in the Canada Gazette with the proposed regulation to which it pertains for notice to, and comments by, interested parties. After the allocated time for comments has elapsed, the regulation is adopted with a final version of the RIAS. Both documents are again published in the Canada Gazette. As a result, the RIAS acquires the status of an official public document of the Government of Canada and its content can be argued in courts as an extrinsic aid to the interpretation of a regulation. In this paper, an analysis of empirical findings on the uses of this interpretative tool by the Federal Court of Canada is made. A sample of decisions classified as unorthodox show that judges are making determinations on the basis of two distinct sets of arguments built from the information found in a RIAS and which the author calls “technocratic” and “democratic”. The author argues that these uses raise the general question of “What makes law possible in our contemporary legal systems”? for they underline enduring legal problems pertaining to the knowledge and the acceptance of the law by the governed. She concludes that this new interpretive trend of making technocratic and democratic uses of a RIAS in case law should be monitored closely as it may signal a greater change than foreseen, and perhaps an unwanted one, regarding the relationship between the government and the judiciary.

An empirical study of the impact of two antipatterns on program comprehension

Les antipatrons sont de “mauvaises” solutions à des problèmes récurrents de conception logicielle. Leur apparition est soit due à de mauvais choix lors de la phase de conception soit à des altérations et des changements continus durant l’implantation des programmes. Dans la littérature, il est généralement admis que les antipatrons rendent la compréhension des programmes plus difficile. Cependant, peu d’études empiriques ont été menées pour vérifier l’impact des antipatrons sur la compréhension. Dans le cadre de ce travail de maîtrise, nous avons conçu et mené trois expériences, avec 24 sujets chacune, dans le but de recueillir des données sur la performance des sujets lors de tâches de compréhension et d’évaluer l’impact de l’existence de deux antipatrons, Blob et Spaghetti Code, et de leurs combinaisons sur la compréhension des programmes. Nous avons mesuré les performances des sujets en terme : (1) du TLX (NASA task load index) pour l’éffort ; (2) du temps consacré à l’exécution des tâches ; et, (3) de leurs pourcentages de réponses correctes. Les données recueillies montrent que la présence d’un antipatron ne diminue pas sensiblement la performance des sujets alors que la combinaison de deux antipatrons les entrave de façon significative. Nous concluons que les développeurs peuvent faire face à un seul antipatron, alors que la combinaison de plusieurs antipatrons devrait être évitée, éventuellement par le biais de détection et de réusinage.