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, GREGHEC (CNRS), Finance

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

L'axiomatisation et les théories économiques: réponses aux critiques


Revue Economique

2004, vol. 55, pp.143-147

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

Learning the state of nature in repeated game with incomplete information and signals

J. Renault, T. TOMALA

Games and Economic Behavior

avril 2004, vol. 47, n°1, pp.124-156

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

Author Keywords: incomplete information; repeated games; imperfect monitoring; completely revealing equilibria; communication; Byzantine agreement Keywords Plus: COMMUNICATION Abstract: The motivation of this paper comes from repeated games with incomplete information and imperfect monitoring. It concerns the existence, for any payoff function, of a particular equilibrium (called completely revealing) allowing each player to learn the state of nature. We consider thus an interaction in which players, facing some incomplete information about the state of nature, exchange messages while imperfectly monitoring them. We then ask the question: can players learn the true state even under unilateral deviations? This problem is indeed closely related to Byzantine agreement problems from computer science. We define two different notions describing what a player can learn if at most one other player is faulty. We first link these notions with existence of completely revealing equilibria, then we characterize them for monitoring structures given by a graph. As a corollary we obtain existence of equilibria for a class of undiscounted. repeated games

Les déterminants de la stratégie de "capitalisation" des frais de recherche et développement en France


Finance - Contrôle - Stratégie

décembre 2004, vol. 7, n°4, pp.87-106

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

Selon les règles comptables françaises, les sociétés ont la possibilité de "capitaliser" leurs frais de R&D sous certaines conditions. En analysant les rapports annuels 2000 des ociétés non financières appartenant à l'indice SBF 250, nous avons tenté de comprendre pourquoi certaines sociétés françaises utilisent cette possibilité. Nos résulats montrent que les sociétés qui "capitalisent" la R&D sont celles qui sont les plus "risquées", c'est-à-dire qui appartiennent au secteur de la haute technologie ou ont un coefficient bêta plus élevé.

Majority Vote Following a debate


Social Choice and Welfare

août 2004, vol. 23, n°1, pp.115-126

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

Voters determine their preferences over alternatives based on cases (or arguments) that are raised in the public debate. Each voter is characterized by a matrix, measuring how much support each case lends to each alternative, and her ranking is additive in cases. We show that the majority vote in such a society can be any function from sets of cases to binary relations over alternatives. A similar result holds for voting with quota in the case of two alternatives

Pooling and endogenous market incompleteness

A. CITANNA, A. Villanacci

Economic Theory

octobre 2004, vol. 24, n°3, pp.549-561

Départements : Economie et Sciences de la décision

We study a financial market economy with a continuum of borrowers and pooling of borrowers' promises. Under these conditions and in the absence of designing costs, utility-maximizing decisions of price-taking borrowers may lead to financial market incompleteness. Parametrizing equilibria through the borrowers' no-arbitrage beliefs, we link expectations to the financial market structure. Markets are complete if and only if borrowers' beliefs are homogeneous. Price-taking behavior causes a coordination problem which in turn yields indeterminacy and inefficiency of equilibrium allocations