Poverty Targeting and Impact of a Governmental Micro-credit Program in Vietnam

It is argued that without collateral the poor often face binding borrowing constraints in the formal credit market. This justifies a micro-credit program, which is operated by the Vietnam Bank for Social Policies to provide the poor with preferential credit. This paper examines poverty targeting and impact of the micro-credit program. It is found that the program is not very pro-poor in terms of targeting. Among the participants, the non-poor account for a larger proportion of loans. The non-poor also tend to receive larger amounts of credit compared to the poor. However, the program has positive impact on poverty reduction of the participants. This positive impact is found for all the three Foster-Greer-Thorbecke poverty measures.Micro-credit, poverty, poverty targeting, impact evaluation, instrumental variables, fixed-effect model

Corporate Demand for Insurance: An Empirical Analysis of the U.S. Market for Catastrophe and Non-Catastrophe Risks

This paper tests some existing theories developed over the past 25 years on corporate demand for insurance. Using a unique dataset of 1,809 large U.S. corporations it provides the first empirical analysis that compares corporate demand for standard property insurance and for catastrophe coverage (here, terrorism). We find that larger companies are more likely to have some catastrophe coverage. Corporate demand for catastrophe insurance is found to be more price inelastic than insurance for non-catastrophe risks. This result differs from the findings on individual demand for insurance. The terrorism insurance premium per dollar of coverage is twice as high in the New York Metropolitan area than in the rest of the U.S. Yet the price elasticity of the demand for terrorism insurance is half in this area relative to the rest of the country.Terrorism - Corporate demand for insurance - Catastrophe financing - Empirical analysis

Life and Death of Roscas : If Power Corrupts, Does Powerlessness Make One Blameless ?

We have very few ideas as to what factors can influence the duration of roscas and reduce their failure risk. In this research, we bring new light on these empirical questions using an original data set containing information on living and dead roscas from Cotonou, Benin. We notice that the groups run by a president alone are more likely to fall apart. We also present evidence that individuals attracted to this type of groups have a lower social capital and therefore might be more likely to default.ROSCA ; Survival Analysis ; Governance structure ; Benin

Smart expansion and fast calibration for jump diffusion

Using Malliavin calculus techniques, we derive an analytical formula for the price of European options, for any model including local volatility and Poisson jump process. We show that the accuracy of the formula depends on the smoothness of the payoff function. Our approach relies on an asymptotic expansion related to small diffusion and small jump frequency/size. Our formula has excellent accuracy (the error on implied Black-Scholes volatilities for call option is smaller than 2 bp for various strikes and maturities). Additionally, model calibration becomes very rapid.asymptotic expansion; Malliavin calculus; volatility skew and smile; small diffusion process; small jump frequency/size

Equilibrium Pricing Bounds on Option Prices

We consider the problem of valuing European options in a complete market but with incomplete data. Typically, when the underlying asset dynamics is not specified, the martingale probability measure is unknown. Given a consensus on the actual distribution of the underlying price at maturity, we derive an upper bound on the call option price by putting two kind of restrictions on the pricing probability measure.First, we put a restriction on the second risk-neutral moment of the underlying asset terminal value. Second, from equilibrium pricing arguments one can put a monotonicity restriction on the Radon-Nikodym density of the pricing probability with respect to the true probability measure. This density is restricted to be a nonincreasing function of the underlying price at maturity. The bound appears then as the solution of a constrained optimization problem and we adopt a duality approach to solve it.We obtain a weak sufficient condition for strong duality and existence for the dual problem to hold, for options defined by general payoff functions. Explicit bounds are provided for the call option. Finally, we provide a numerical example.Option bounds, equilibrium prices, conic duality, semi-infinite programming

A TEST OF CHEAP TALK IN DIFFERENT HYPOTHETICAL CONTEXTS: THE CASE OF AIR POLLUTION

We explore the influence of a neutral cheap talk script in three typical scenarios used in the CV literature devoted to the valuation of air pollution effects. We show that cheap talk has a differentiated effect depending on the scenario implemented. It decreases protest responses with no effect on WTP values in the scenario based on a new drug. When a move to a less polluted city is involved, it has no effect on protest responses but decreases WTP values. Surprisingly, cheap talk increases protest responses but decreases WTP values when new regional air pollution regulations are at stake.Willingness to pay ; contingent valuation ; cheap talk ; context ; field experiment ; air pollution

MIGRATORY POLICY IN DEVELOPING COUNTRIES: HOW TO BRING BEST PEOPLE BACK?

This paper analyzes the decision of a migrant to return or stay within the framework of a signaling model withexogenous migratory costs. If employers have only imperfect information about the type of a worker and goodworkers migrate, bad workers might copy their strategy in order to get the same high wage as the good workers.Employers will therefore reduce the wage they pay to migrants and good workers incur a loss compared to theperfect information setup. In one hybrid equilibrium of the game, the more bad workers migrate, the higher theincentive for good workers to come back. Policy implications follow.Temporary migration, Return migrants, Hybrid Bayesian Equilibrium, Signaling model.

Arbitrage free cointegrated models in gas and oil future markets

In this article we present a continuous time model for natural gas and crude oil future prices. Its main feature is the possibility to link both energies in the long term and in the short term. For each energy, the future returns are represented as the sum of volatility functions driven by motions. Under the risk neutral probability, the motions of both energies are correlated Brownian motions while under the historical probability, they are cointegrated by a Vectorial Error Correction Model. Our approach is equivalent to defining the market price of risk. This model is free of arbitrage: thus, it can be used for risk management as well for option pricing issues. Calibration on European market data and numerical simulations illustrate well its behavior.future prices;natural gas; crude oil; cointegration; Vectorial Error Correction Model; arbitrage free modelling

The inconsistency of French regulation mode faced with the financialization of accumulation pattern.

The absence of specifically dedicated method to represent financialized capitalism constitutes a significant gap in contemporary macroeconomic modelling considering the impact of finance on the rules of wealth production and distribution. From both the lessons of Regulation theory in terms of accumulation pattern and regulation mode declined through the concepts of institutional hierarchy and complementarity, and the neo-Cambridgian modelling framework, one tries to establish the causes which prevail in the divergence of American and French economies in the adoption of finance-led capitalism.modelling and macroeconomic simulation; institutional complementarity and hierarchy; accumulation regime; regulation pattern; financialization.