Browsing Faculté des arts et des sciences – Département de sciences économiques by Title
Now showing items 1053-1107 of 1524
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Nonlinear Monetary Policy Rules: Some New Evidence for the U.S.
(Université de Montréal. Département de sciences économiques., 2003)This paper derives optimal monetary policy rules in setups where certainty equivalence does not hold because either central bank preferences are not quadratic, and/or the aggregate supply relation is nonlinear. Analytical results show that these features ... -
Nonparametric estimation of risk neutral density
(2024-01-31)Ce mémoire vise à estimer la densité neutre au risque (Risk neutral density (RND) en anglais) par une approche non paramétrique tout en tenant compte de l’endogénéité. Les prix transversaux des options européennes sont utilisés pour l’estimation. Le ... -
Nonparametric estimation of the density of a change-point
(Université de Montréal. Département de sciences économiques, 2024-01)The paper considers a panel model where the regression coe¢ cients undergo changes at an unknown time point, di§erentfor each series. The timings of changes are assumed to be independent, identically distributed, and drawn from some com-mon distribution, ... -
Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency
(Université de Montréal. Département de sciences économiques., 2015-11-22)We consider two new approaches to nonparametric estimation of the leverage effect. The first approach uses stock prices alone. The second approach uses the data on stock prices as well as a certain volatility instrument, such as the CBOE volatility ... -
Nonparametric Instrumental Regression
(Université de Montréal. Département de sciences économiques., 2002)The focus of the paper is the nonparametric estimation of an instrumental regression function P defined by conditional moment restrictions stemming from a structural econometric model : E[Y-P(Z)|W]=0 and involving endogenous variables Y and Z and ... -
Nonparametric-two-Step Estimation of Unknown Regression Functions when the Regressors and the Regression Error Are not Independent
(Université de Montréal. Département de sciences économiques., 1995) -
Normative properties for object allocation problems : characterizations and trade-offs
(Université de Lausanne. École des hautes études commerciales. Département d'économie, 2021-03)We consider the allocation of indivisible objects among agents when monetary transfers are not allowed. Agents have strict preferences over the objects (possibly about not getting any object) and are assigned at most one object. How should one allocate ... -
A Note on Ordinally Equivalent Pareto Surfaces
(Université de Montréal. Département de sciences économiques., 1997)Assuming at least three individuals and some regularity conditions, we construct a set S* of Pareto surfaces which is an ordinal basis of the set S of all surfaces: every surface in S is ordinally equivalent to some surface in S* and all surfaces in ... -
Nouvelle approche en théorie des jeux comportementale
(2012-11-02)Il a été démontré en laboratoire que l’équilibre de Nash n’était pas toujours un bon indicateur du comportement humain. Différentes théories alternatives (aversion à l’inégalité, réciprocité et norme sociale) ont vu le jour pour combler les lacunes de ... -
Object allocation via deferred-acceptance: strategy-proofness and comparative statics
(Université de Montréal. Département de sciences économiques., 2014-12)We study the problem of assigning indivisible and heterogenous objects (e.g., houses, jobs, offices, school or university admissions etc.) to agents. Each agent receives at most one object and monetary compensations are not possible. We consider ... -
Oil Wealth and Economic Behavior Iran 1960-2000
(2002-05) -
Oligarchies in Spatial Environments
(Université de Montréal. Département de sciences économiques., 2007)In spatial environments we consider social welfare functions satisfying Arrow’s requirements, i.e. weak Pareto and independence of irrelevant alternatives. Individual preferences measure distances between alternatives according to the Lp-norm (for a ... -
On Complexity of Lobbying in Multiple Referenda
(Université de Montréal. Département de sciences économiques., 2006-10)In this paper we show that lobbying in conditions of “direct democracy” is virtually impossible, even in conditions of complete information about voters preferences, since it would require solving a very computationally hard problem. We use the apparatus ... -
On Fixed-Path Rationing Methods
(Université de Montréal. Département de sciences économiques., 2001)Moulin (1999) characterizes the fixed-path rationing methods by efficiency, strategy-proofness, consistency, and resource-monotonicity. In this note, we give a straightforward proof of his result. -
On Intertemporal General-Equilibrium Reallocation Effects of Europe's Move to a Single Market
(Université de Montréal. Département de sciences économiques., 1994) -
On Limits to the Use of Linear Markov Strategies in Common Property Natural Resource Games
(Université de Montréal. Département de sciences économiques., 2005)We derive conditions that must be satisfied by the primitives of the problem in order for an equilibrium in linear Markov strategies to exist in some common property natural resource differential games. These conditions impose restrictions on the ... -
On Periodic Structures and Testing for Seasonal Unit Roots
(Université de Montréal. Département de sciences économiques., 1995) -
On Periodic Time Series and Testing the Unit Root Hypothesis
(Université de Montréal. Département de sciences économiques., 1993) -
On Stable Factor Structurs in the Pricing of Risk
(Université de Montréal. Département de sciences économiques., 1995) -
On Stackelberg Equilibria with Differentiated Products: the Critical Role of the Strategy Space
(Université de Montréal. Département de sciences économiques., 1985)Nous Considerons Dans Cet Article un Modele de Duopole Avec Produits Differencies; Nous Montrons Que le Caractere Substituts Vs Complements de Ces Produits Est un Facteur Important Dans la Determination du Mode de Concurrence Strategique (Cournot-Bertrand, ... -
On the (Mis)Specification of Seasonality and Its Consequences: an Empirical Investigation with U.S. Data
(Université de Montréal. Département de sciences économiques., 1992) -
On the Analysis of Business Cycles Through the Spectrum of Chronologies
(Université de Montréal. Département de sciences économiques., 1994) -
On the constrained efficiency of strategy-proof random assignment
(Université de Montréal. Département de sciences économiques., 2023-04-25)We study random assignment of indivisible objects among a set of agents with strict preferences. Random Serial Dictatorship is known to be only ex-post efficient and there exist mechanisms which Pareto-dominate it ex-ante. However, we show that there ... -
On the dynamic effects of fiscal policy
(2016-03-23)Dans le sillage de la récession mondiale de 2008-09, plusieurs questions ont été soulevées dans la littérature économique sur les effets à court et à long terme de la politique budgétaire sur l’activité économique par rapport à son signe, sa taille et ... -
On the Dynamic Specification of International Asset Pricing Models
(Université de Montréal. Département de sciences économiques., 1995) -
On the Effects of Mergers on Equilibrium Outcomes in a Common Property Renewable Asset Oligopoly
(Université de Montréal. Département de sciences économiques., 2013-11)This paper examines a dynamic game of exploitation of a common pool of some renewable asset by agents that sell the result of their exploitation on an oligopolistic market. A Markov Perfect Nash Equilibrium of the game is used to analyze the effects ... -
On the external validity of laboratory experiments
(2009-09-03) -
On the Game-Theoretic Structure of Public-Good Economies
(Université de Montréal. Département de sciences économiques., 1995) -
On the Individual Optimality of Economic Integration
(Université de Montréal. Département de sciences économiques., 2011-03)Which countries find it optimal to form an economic union? We emphasize the risk-sharing benefits of economic integration. We consider an endowment world economy model, where international financial markets are incomplete and contracts not enforceable. ... -
On the individual optimality of economic integration
(Université de Montréal. Département de sciences économiques., 2014-08)Which countries find it optimal to form an economic union? We emphasize the risk-sharing benefits of economic integration. Consider an endowment world economy model, where international financial markets are incomplete and contracts not enforceable. A ... -
On the individual optimality of economic integration
(Université de Montréal. Département de sciences économiques., 2015-11)Which countries find it optimal to form an economic union? We emphasize the risk-sharing benefits of economic integration. Consider an endowment world economy model, where international financial markets are incomplete and contracts not enforceable. A ... -
On the Manipulability of Proportional Representation
(Université de Montréal. Département de sciences économiques., 2006-07)This paper presents a new model of voter behaviour under methods of proportional representation (PR). We abstract away from rounding, and assume that a party securing k percent of the vote wins exactly k percent of the available seats. Under this ... -
On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute is Limited
(Université de Montréal. Département de sciences économiques., 1996)Consider a general equilibrium framework where the marginal cost of extraction from several deposits of an exhaustible resource is constant in terms of an inexhaustible perfect substitute and differs between deposits. the instantaneous rate of production ... -
On the optimality of progressive income redistribution
(Université de Montréal. Département de sciences économiques., 2012-08)We compute the optimal non-linear tax policy for a dynastic economy with uninsurable risk, where generations are linked by dynastic wealth accumulation and correlated incomes. Unlike earlier studies, we find that the optimal long-run tax policy is ... -
On the Political Economy of Sequential Reforms
(Université de Montréal. Département de sciences économiques., 2001)This paper proposes an explanation for why efficient reforms are not carried out when losers have the power to block their implementation, even though compensating them is feasible. We construct a signaling model with two-sided incomplete information ... -
On the Profitability of Production Constraints in a Dynamic Natural Resource Oligopoly
(Université de Montréal. Département de sciences économiques., 1997)Static oligopoly analysis predicts that if a single firm in Cournot equilibrium were to be constrained to contract its production marginally, its profits would fall. on the other hand, if all the firms were simultaneously constrained to reduce their ... -
On the Repayment of Personal Loans Under Asymmetrical Information: a Count Data Model Approach
(Université de Montréal. Département de sciences économiques., 1995) -
On the Residual Dynamics Implied by Rational Expectations Hypothesis
(Université de Montréal. Département de sciences économiques., 1995) -
Optimal Insurance Design Under Background Risk
(Université de Montréal. Département de sciences économiques., 1995) -
Optimal Insurance Design Under Background Risk
(Université de Montréal. Département de sciences économiques., 1995) -
Optimal portfolio selection with transaction costs
(2020-12-16)Le choix de portefeuille optimal d'actifs a été depuis longtemps et continue d'être un sujet d'intérêt majeur dans le domaine de la finance. L'objectif principal étant de trouver la meilleure façon d'allouer les ressources financières dans un ensemble ... -
Ordinal Cost Sharing
(Université de Montréal. Département de sciences économiques., 1996)We ask how the three known mechanisms for solving cost sharing problems with homogeneous cost functions - the value, the proportional, and the serial mechanisms - should be extended to arbitrary problem. We propose the Ordinality axiom, which requires ... -
Ordinally consistent tournament solutions
(Université de Montréal. Département de sciences économiques., 2016-03)A set ranking method assigns to each tournament on a given set an ordering of the subsets of that set. Such a method is consistent if (i) the items in the set are ranked in the same order as the sets of items they beat and (ii) the ordering of the items ... -
Organizational Design of R&D Activities
(Université de Montréal. Département de sciences économiques., 2001)This paper addresses the question of whether R&D should be carried out by an independent research unit or be produced in-house by the firm marketing the innovation. We define two organizational structures. In an integrated structure, the firm that ... -
Organizing time banks: Lessons from matching markets
(Université de Montréal. Département de sciences économiques., 2018-07)A time bank is a group of people that set up a common platform to trade services among themselves. There are several well-known problems associated with this type of time banking, e.g., high overhead costs and difficulties to identify feasible trades. ...