Contenu du sommaire : Varia

The behavior of asset prices: Eugene Fama's, Lars Peter Hansen's and Robert Shiller's contributions. In this paper we examine what the study of asset pricing owes to the latter Nobel 2013 laureates' seminal contributions. We mainly refer to the efficiency of the financial markets in transmitting information through the prices and, more specifically, to the predictabilty of asset returns. We first recall the concept of market efficiency formulated by Fama in 1970 and we give an overview of the numerous empirical studies about this concept during the ten years after this contribution and more precisely on the predictability in short run returns. Typically these methods find very modest predictability. Then we recall how Shiller questioned the efficiency property in 1981, by pointing out the “excess volatility” of prices compared to the one of the fundamentals and how this finding inspired many empirical studies on the predictability in long run returns. Both Fama and Shiller and many others discovered that such predictability becomes an important and even the dominant influence on longer-run movements in asset prices. Two main strands of research have thus followed. Broadly speaking, Fama believes that asset price movements can be understood using economic models with rational investors, whereas Shiller does not. Indeed the first strand advocated by Fama consists in improving the models explaining the pricing of financial assets while maintaining the rational expectation hypothesis; using the econometric method of GMM introduced by Hansen [1982] is thus decisive to test the non linear constraints implied by these models. On the other side, Shiller helped to launch the strand of resarch related to behavioral finance, and investigated, as well as Hansen and others, deviations from rational expectations.

Micro- and Macroeconomic impacts of infrastructure privatization in developing countries : a review of the empirical evidence Whereas the debate regarding the efficiency of privatization in developing countries (DCs) is far to be closed, the World Bank still prescribes intensively this policy, especially in the infrastructure sectors of DCs. In this context, this paper questions the efficiency of infrastructure privatization policies. Through a survey of the empirical literature (more than 60 studies), it provides an exhaustive assessment of the effects of these policies. Overall results show that microeconomic effects of infrastructure privatization in DCs are mixed and that macroeconomic impacts are largely disappointing because they do not comply with the targeted goals. More precisely, it appears that the efficiency of infrastructure privatization closely depends on the income level of developing countries. This reflects the impact of the quality of the economic, political and institutional environment. In particular, the presence of an independent regulation agency and the corruption level are major determinants of the success of infrastructure privatization.

Reforming the pension system to increase employment and productivity of older workers In this paper, we show that a short distance to the age of the full rate is one factor explaining not only the lowest employment rate of the seniors, but also to their low investment in training. This gives a new dividend to the incentive policies to postpone the retirement age: extending the worker horizon gives incentives to better train seniors. This increase in the labor productivity raises the earnings of the employment recovery. A model of job search where the age of retirement and the investments in human capital are simultaneously endogenous, provides the theoretical basis for these mechanisms. Its simulation, based on a calibration of the French case, shows that the contribution of the workers over 55 years old in total output increases from 9.5 % to 16 %, with progression more than 10 % of individual productivity on these age groups.

Permanent and transitory shocks in unemployment and real GDP: Germany versus the European countries This paper decomposes movements of real GDP and unemployment rate between permanent shocks and transitory shocks. We use a bivariate unobserved components model on four big European countries (Germany, France, Italy and United Kingdom) with quarterly data since 1970. Our model allows for explicit correlation between transitory and permanents shocks and structural breaks in the permanent components of real GDP and unemployment. The results show that movements in real GDP and unemployment rate are explained by permanent movements rather than transitory movements. Conversely, we find that transitory movements explain overall fluctuations in Germany.

This paper studies the influence of macroeconomic factors on credit risk. We apply the dynamic factor model (FAVAR type) proposed by Stock and Watson [2005]. We have two empirical applications, respectively in the United States and in the Euro area. In the two applications, the results suggest that the most important factor for explaining default rates is related to real activity. Furthermore, we are interested in the effect of monetary policy on default rates. The results suggest that default rates increase slightly after a rise in the interest rate and that speculative grade firms are more sensitive. However, the contribution of interest rate shocks to default rates is limited.