Latent Variable Models for Stochastic Discount Factors.

Latent variable models in finance originate both from asset pricing theory and time series analysis. These two strands of literature appeal to two different concepts of latent structures, which are both useful to reduce the dimension of a statistical model specified for a multivariate time series of asset prices. In the CAPM or APT beta pricing models, the dimension reduction is cross-sectional in nature, while in time-series state-space models, dimension is reduced longitudinally by assuming conditional independence between consecutive returns, given a small number of state variables. In this paper, we use the concept of Stochastic Discount Factor (SDF) or pricing kernel as a unifying principle to integrate these two concepts of latent variables. Beta pricing relations amount to characterize the factors as a basis of a vectorial space for the SDF. The coefficients of the SDF with respect to the factors are specified as deterministic functions of some state variables which summarize their dynamics. In beta pricing models, it is often said that only the factorial risk is compensated since the remaining idiosyncratic risk is diversifiable. Implicitly, this argument can be interpreted as a conditional cross-sectional factor structure, that is, a conditional independence between contemporaneous returns of a large number of assets, given a small number of factors, like in standard Factor Analysis. We provide this unifying analysis in the context of conditional equilibrium beta pricing as well as asset pricing with stochastic volatility, stochastic interest rates and other state variables. We address the general issue of econometric specifications of dynamic asset pricing models, which cover the modern literature on conditionally heteroskedastic factor models as well as equilibrium-based asset pricing models with an intertemporal specification of preferences and market fundamentals. We interpret various instantaneous causality relationships between state variables and market fundamentals as leverage effects and discuss their central role relative to the validity of standard CAPM-like stock pricing and preference-free option pricing.

Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions.

This paper proposes finite-sample procedures for testing the SURE specification in multi-equation regression models, i.e. whether the disturbances in different equations are contemporaneously uncorrelated or not. We apply the technique of Monte Carlo (MC) tests [Dwass (1957), Barnard (1963)] to obtain exact tests based on standard LR and LM zero correlation tests. We also suggest a MC quasi-LR (QLR) test based on feasible generalized least squares (FGLS). We show that the latter statistics are pivotal under the null, which provides the justification for applying MC tests. Furthermore, we extend the exact independence test proposed by Harvey and Phillips (1982) to the multi-equation framework. Specifically, we introduce several induced tests based on a set of simultaneous Harvey/Phillips-type tests and suggest a simulation-based solution to the associated combination problem. The properties of the proposed tests are studied in a Monte Carlo experiment which shows that standard asymptotic tests exhibit important size distortions, while MC tests achieve complete size control and display good power. Moreover, MC-QLR tests performed best in terms of power, a result of interest from the point of view of simulation-based tests. The power of the MC induced tests improves appreciably in comparison to standard Bonferroni tests and, in certain cases, outperforms the likelihood-based MC tests. The tests are applied to data used by Fischer (1993) to analyze the macroeconomic determinants of growth.

Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes.

In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models. The method is based on special properties of Markov processes and a split-sample technique. The results on Markovian processes (intercalary independence and truncation) only require the existence of conditional densities. They are proved for possibly nonstationary and/or non-Gaussian multivariate Markov processes. In the context of a linear regression model with AR(1) errors, we show how these results can be used to simplify the distributional properties of the model by conditioning a subset of the data on the remaining observations. This transformation leads to a new model which has the form of a two-sided autoregression to which standard classical linear regression inference techniques can be applied. We show how to derive tests and confidence sets for the mean and/or autoregressive parameters of the model. We also develop a test on the order of an autoregression. We show that a combination of subsample-based inferences can improve the performance of the procedure. An application to U.S. domestic investment data illustrates the method.

The Axiomatic Approach to Population Ethics

This paper examines several families of population principles in the light of a set of axioms. In addition to the critical-level utilitarian, number-sensitive critical-level utilitarian and number-dampened families and their generalized counterparts, we consider the restricted number-dampened family (suggested by Hurka) and introduce two new families : the restricted critical-level and restricted number-dependent critical-level families. Subsets of the restricted families have nonnegative critical levels and avoid both the repugnant and sadistic conclusions but fail to satisfy an important independence condition. We defend the critical-level principles with positive critical levels.

Arrow's Theorem in Spatial Environments

In spatial environments, we consider social welfare functions satisfying Arrow's requirements. i.e., weak Pareto and independence of irrelevant alternatives. When the policy space os a one-dimensional continuum, such a welfare function is determined by a collection of 2n strictly quasi-concave preferences and a tie-breaking rule. As a corrollary, we obtain that when the number of voters is odd, simple majority voting is transitive if and only if each voter's preference is strictly quasi-concave. When the policy space is multi-dimensional, we establish Arrow's impossibility theorem. Among others, we show that weak Pareto, independence of irrelevant alternatives, and non-dictatorship are inconsistent if the set of alternatives has a non-empty interior and it is compact and convex.

Explaining the Persistence of Commodity Prices

This paper extends the Competitive Storage Model by incorporating prominent features of the production process and financial markets. A major limitation of this basic model is that it cannot successfully explain the degree of serial correlation observed in actual data. The proposed extensions build on the observation that in order to generate a high degree of price persistence, a model must incorporate features such that agents are willing to hold stocks more often than predicted by the basic model. We therefore allow unique characteristics of the production and trading mechanisms to provide the required incentives. Specifically, the proposed models introduce (i) gestation lags in production with heteroskedastic supply shocks, (ii) multiperiod forward contracts, and (iii) a convenience return to inventory holding. The rational expectations solutions for twelve commodities are numerically solved. Simulations are then employed to assess the effects of the above extensions on the time series properties of commodity prices. Results indicate that each of the features above partially account for the persistence and occasional spikes observed in actual data. Evidence is presented that the precautionary demand for stocks might play a substantial role in the dynamics of commodity prices.

Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian (including Student t) errors. The univariate tests studied extend existing exact procedures by allowing for unspecified parameters in the error distributions (e.g., the degrees of freedom in the case of the Student t distribution). The multivariate tests are based on properly standardized multivariate residuals to ensure invariance to MLR coefficients and error covariances. We consider tests for serial correlation, tests for multivariate GARCH and sign-type tests against general dependencies and asymmetries. The procedures proposed provide exact versions of those applied in Shanken (1990) which consist in combining univariate specification tests. Specifically, we combine tests across equations using the MC test procedure to avoid Bonferroni-type bounds. Since non-Gaussian based tests are not pivotal, we apply the “maximized MC” (MMC) test method [Dufour (2002)], where the MC p-value for the tested hypothesis (which depends on nuisance parameters) is maximized (with respect to these nuisance parameters) to control the test’s significance level. The tests proposed are applied to an asset pricing model with observable risk-free rates, using monthly returns on New York Stock Exchange (NYSE) portfolios over five-year subperiods from 1926-1995. Our empirical results reveal the following. Whereas univariate exact tests indicate significant serial correlation, asymmetries and GARCH in some equations, such effects are much less prevalent once error cross-equation covariances are accounted for. In addition, significant departures from the i.i.d. hypothesis are less evident once we allow for non-Gaussian errors.

Identification, Weak Instruments and Statistical Inference in Econometrics

We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on weakly identified models (or weak instruments). We point out that many hypotheses, for which test procedures are commonly proposed, are not testable at all, while some frequently used econometric methods are fundamentally inappropriate for the models considered. Such situations lead to ill-defined statistical problems and are often associated with a misguided use of asymptotic distributional results. Concerning nonparametric hypotheses, we discuss three basic problems for which such difficulties occur: (1) testing a mean (or a moment) under (too) weak distributional assumptions; (2) inference under heteroskedasticity of unknown form; (3) inference in dynamic models with an unlimited number of parameters. Concerning weakly identified models, we stress that valid inference should be based on proper pivotal functions —a condition not satisfied by standard Wald-type methods based on standard errors — and we discuss recent developments in this field, mainly from the viewpoint of building valid tests and confidence sets. The techniques discussed include alternative proposed statistics, bounds, projection, split-sampling, conditioning, Monte Carlo tests. The possibility of deriving a finite-sample distributional theory, robustness to the presence of weak instruments, and robustness to the specification of a model for endogenous explanatory variables are stressed as important criteria assessing alternative procedures.

The Backing of Government Debt and the Price Level

This paper studies the interdependence between fiscal and monetary policies, and their joint role in the determination of the price level. The government is characterized by a long-run fiscal policy rule whereby a given fraction of the outstanding debt, say d, is backed by the present discounted value of current and future primary surpluses. The remaining debt is backed by seigniorage revenue. The parameter d characterizes the interdependence between fiscal and monetary authorities. It is shown that in a standard monetary economy, this policy rule implies that the price level depends not only on the money stock, but also on the proportion of debt that is backed with money. Empirical estimates of d are obtained for OECD countries using data on nominal consumption, monetary base, and debt. Results indicate that debt plays only a minor role in the determination of the price level in these economies. Estimates of d correlate well with institutional measures of central bank independence.

Modèles d'administration des tribunaux judiciaires

Conseil canadien de la magistrature

Notariat et multidisciplinarité: Reflet d'une crise d'identité professionnelle?

Article publié avec l'autorisation de la Chambre des notaires du Québec

L'évolution de l'appui à la souveraineté du Québec: effets de la formulation de la question et effets de contexte.

Cette recherche étudie l'évolution de l'appui à la souveraineté du Québec entre 1976 et aujourd'hui, en considérant les diverses formulations de la question utilisées par les acteurs politiques et par les sondeurs. Cette question est abordée en faisant une analyse longitudinale multiniveaux de plus de 800 sondages. Une telle approche suggère que les caractéristiques des sondages sont nichées à l'intérieur d'unités contextuelles plus larges, des unités de temps. Cela permet d'une part d'observer quels sont les facteurs liés à la mesure qui influencent l'appui à la souveraineté du Québec et ensuite de voir comment ces mêmes effets varient à travers le temps et comment ils sont influencés par certains événements jugés importants. Il ressort de ces analyses que les propositions séparation, indépendance, souveraineté et souveraineté-association/partenariat entraînent généralement des appuis moyens significativement différents les uns des autres. Il apparaît aussi que certains événements ont eu une influence significative sur l'évolution de l'appui à ces diverses propositions. Enfin, il a été tenté de voir si les appuis propres à ces diverses propositions évoluaient de manière parallèle, s'ils réagissaient similairement aux différents événements considérés dans les analyses ou si au contraire ces appuis pouvaient parfois évoluer de manière différente. Les résultats à cet égard sont intéressants mais non concluants.

Rapport au travail et dynamique de transformation du métier d'ingénieur dans le contexte algérien: le cas de l'entreprise Sonatrach

Cette recherche a pour objet l'étude de la dynamique de transformation du métier d'ingénieur dans le contexte algérien saisi à travers le rapport au travail. Elle repose sur une approche théorique s'inspirant d'une sociologie des groupes professionnels avec une démarche alliant méthodes quantitatives et qualitatives. Prenant appui sur des données recueillies à l'aide d'un questionnaire et d'entretiens approfondis menés dans Sonatrach, la plus grande entreprise d'Algérie, notre étude s'est attachée à faire ressortir les facteurs qui agissent au niveau individuel, organisationnel et sociétal sur les pratiques professionnelles pour deux générations d'ingénieurs. La première a eu pour mission de bâtir le pays à travers les grands projets de développement qui ont caractérisé la période après l'indépendance. La deuxième est arrivée sur le marché de l'emploi, à la fin des années 80, dans un contexte de crise et a payé un lourd tribut à la détérioration de la conjoncture économique. Les pratiques professionnelles se construisent tout d'abord dans le travail, mais aussi dans l'exercice des activités quotidiennes, les relations avec les autres et enfin la satisfaction à l'égard du travail. Tels ont été les points focaux de notre démarche d'explicitation du rapport au travail chez nos ingénieurs. Nous avons mis en lumière l'effet de la position hiérarchique au sein de l'organisation et des types de fonction. La satisfaction tient de la fierté d'appartenir à une entreprise prestigieuse. Chez les jeunes, elle s'exprime aussi dans les avantages matériels et une vision du métier fondée sur la maîtrise technique. Les plus âgés, encore marqués par l'idéologie nationaliste, mettent l'accent sur la participation à l'édification du pays, mais aussi sur la réalisation de soi et la fidélité à l'entreprise. Le rapport au travail s'élabore également au fil du temps dans son cheminement professionnel. Nous l'avons abordé, dans une deuxième étape, en documentant les processus d'intégration et de mobilité au sein de l'entreprise. Les trajectoires professionnelles sont régies par des politiques et des procédures de gestion qui en définissent les modalités, mais elles obéissent également à des opportunités et à des pratiques informelles qui jouent un rôle tout aussi important dans la détermination des profils de carrière. Enfin, le rapport au travail est tributaire de facteurs qui dépassent le cadre de l'entreprise. Dans une troisième étape, nous avons analysé les transformations du système éducatif et leur impact sur la certification des ingénieurs, la crise économique et ses effets en termes de chômage et de précarité et enfin la montée du discours religieux et ses manifestations chez les ingénieurs. Ces facteurs liés au contexte sociétal modifient les représentations et modèlent les attitudes et comportements au travail et à l'égard de celui-ci. Comme le montre notre recherche, le rapport au travail articule, dans une composition complexe, parcours individuels et histoires collectives vécus dans des environnements en évolution. La pratique d'un métier se trouve liée aux différents contextes de socialisation qui traversent les individus. Elle se situe, dans le cas algérien, au croisement d'une formation scientifique et technique qui montre peu de réactivité aux besoins mouvants de l'opérateur économique qu'elle est censée satisfaire, d'une entreprise bureaucratique dans son organisation et dans son fonctionnement où le contournement des règles peut s'ériger en principes de gestion et enfin d'un contexte sociétal qui oscille entre modernité et tradition. Cette dernière est réinterprétée de manière orthodoxe par les mouvements religieux en action dans la société. Ainsi, les ingénieurs investis initialement d'une mission de développement et considérés alors comme "vecteur de modernité" connaissent une détérioration de leur statut et la crise touche la profession vécue cependant différemment selon les générations.

L'accord de Cotonou et les contradictions du droit international : l'intégration des règles de l'Organisation mondiale du commerce et des droits humains dans la coopération ACP-CE

"Thèse présentée à la Faculté des études supérieures de l'Université de Montréal en vue de l'obtention du grade de Docteur en Droit (LL.D.) Et à A la faculté de droit Jean Monnet en vue de l'obtention du doctorat en Sciences Juridiques"