Articles scientifiques

Approximating a Sequence of Observations by a Simple Process


Annals of Statistics

2004, vol. 32, n°6, pp.2742-2775

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

Given an arbitrary long but finite sequence of observations from a finite set, we construct a simple process that approximates the sequence, in the sense that with high probability the empirical frequency, as well as the empirical one-step transitions along a realization from the approximating process, are close to that of the given sequence.We generalize the result to the case where the one-step transitions are required to be in given polyhedra

Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation

N. CHOPIN, F. Peigrin

Journal of the Royal Statistical Society: Series B - Statistical Methodology

décembre 2004, vol. 123, n°2, pp.327-344

Départements : Economie et Sciences de la décision

Mots clés : Hidden Markov models, Information content of the yield curve, Particle filters, State number determination, Switching regression models

This paper is concerned with Bayesian inference in hidden Markov models. Focusing on switching regression models, we propose a new methodology that delivers a joint estimation of the parameters and the number of regimes that have actually appeared in the studied sample. The only prior information that is required on the latter quantity is an upper bound. We implement a particle filter algorithm to compute the corresponding estimates. Applying this methodology to the information content of the yield curve regarding future inflation in four OECD countries, we show that the predictive content for given country and combination of maturities is subject to regime switching.

Communication equilibrium payoffs in repeated games with complete information and imperfect monitoring

J. Renault, T. TOMALA

Games and Economic Behavior

novembre 2004, vol. 49, n°2, pp.313-344

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

Keywords Plus: 2-PLAYER REPEATED GAMES; PLAYER REPEATED GAMES; NASH EQUILIBRIA; INFORMATION Abstract: We characterize the set of communication equilibrium payoffs of any undiscounted repeated matrix-game with imperfect monitoring and complete information. For two-player games, a characterization is provided by Mertens, Sorin, and Zamir (Repeated games, Part A (1994) CORE DP 9420), mainly using Lehrer's (Math. Operations Res. (1992) 175) result for correlated equilibria. The main result of this paper is to extend this characterization to the n-player case. The proof of the characterization relies on an analogy with an auxiliary 2-player repeated game with incomplete information and imperfect monitoring. We use Kohlberg's (Int. J. Game Theory (1975) 7) result to construct explicitly a canonical communication device for each communication equilibrium payoff

Financing Decisions of Firms and Central Bank Policy


Journal of International Money and Finance

novembre-décembre 2004, vol. 23, n°7-8, pp.1187-1207

Départements : Economie et Sciences de la décision, Finance, GREGHEC (CNRS)

Mots clés : Foreign borrowing, Central bank, Asian crisis

This paper aims to explain why unhedged foreign borrowing by South East Asian corporations rose sharply during the few years prior to the crisis despite little change in fundamentals. We show that decisions of firms and decisions of the central bank are complementary. Consequently, a small shock to fundamentals may have a large and permanent impact on the equilibrium composition of firms’ borrowing

General equilibrium, incomplete markets and sunspots: A symposium in honor of David Cass: Guest editors' introduction

S. Spear, A. CITANNA, P. Siconolfi, H. M. POLEMARCHAKIS, J. Donaldson

Economic Theory

octobre 2004, vol. 24, n°3, pp.465-469

Départements : Economie et Sciences de la décision, Finance

This special edition of Economic Theory honors David Cass, one of Economic Theory's founding editors, on the 30th anniversary of his joining the faculty at the University of Pennsylvania's Economics Department. The contributions to this volume are, for the most part, from Cass' students or co-authors, and we hope they communicate both to Cass and to the economics profession generally the high regard those of us who have trained under Cass' tutelage or worked with him on research have for him. His first major contribution to economics was the characterization of optimal growth trajectories in his thesis work under Hirofumi Uzawa's supervision. The celebrated Cass criterion for optimal time paths in the one good growth model quickly followed. The essence of this work is the search for price characterizations of efficiency for dynamic time paths, an effort that directly pointed the way to the subsequent full dynamic decentralization of the neoclassical optimal growth model, a fact that permits its use for modeling a wide range of business cycle and other macroeconomic phenomena. Cass' major contribution to economic theory was his work on general equilibrium with incomplete markets, work which grew out of his exploration of the question of existence of sunspot equilibria in models with incomplete asset markets. Cass' follow-on work on existence and determinacy of general equilibrium in models with incomplete asset markets spawned another large literature which has come to be known simply as GEI