Reflections on Evaluating our Grants

Presents observations and experiences from TCWF's first twelve years of grantmaking. Includes specific case studies and shares some lessons learned as it applies to the field of evaluation for philanthropy. Part of TCWF's Reflections series

The Economics of Music Production. The Narrow Paths for Record Companies to Enter the Digital Era

On the basis of an in depth analysis of the flow of revenues within the music industry and of the emerging practices, we attempt to understand the logic at play in the current evolution of the structure of the industry. We claim that the record companies used to play a role that was useful for the dynamic and for the quality of music production, and analyze whether it can be maintained despite the impossibility for them to further control the formation and distribution of revenues generated by recorded music. Two antagonistic strategies, corresponding to different segments of the market, are highlighted in this paper. One targets the mass market and relies on the recognition by the on-line distributors of the mutual dependency between them and the record companies. It also admits that this music is characterized by short commercial life cycles and that it should be marketed as a consumer product. Moreover revenues are not necessarily generated by sales, but by the value of temporally exclusive release in some channels. The second model targets the wide number of niches at the fringe of this mass market and relies on the building of communities of customers sharing common tastes and values and on the development of their loyalty. The model is commercial, but relies clearly on the cooperation among the various stakeholders that build a common safe harbor enabling specific types of music to sustainably develop. Value added services funded by ubscription have to be developed.economics of culture, cultural industries, digital business model, P2P, industrial organization.

The functional form of yield curves

Yield curves built from liquid instruments tend to exhibit specific features, both in term of smoothness and in term of patterns. The paper presents empirical evidence that those liquid yiled curves frequently conform to a specific functional form. This specific functional form is predicted by a particular arbitrage pricing model. The paper also examines the possible interpretations of this phenomenon. JEL Classification: G10, G12, G13

Reflections on the Connections Between Work and Health

Describes approaches that TCWF is using to improve health through employment-related strategies, and identifies some of the challenges the foundation has experienced in the cross-disciplinary endeavor. Part of TCWF's Reflections series

A look at intraday frictions in the euro area overnight deposit market

This paper studies frictions in the euro area interbank deposit overnight market, making use of high frequency individual quote and trade data. The aim of the analysis is to determine, in a quantitative way, how efficient this market is. Besides a comprehensive descriptive analysis, the approach used defines a measure of the friction arising for each single transaction, by which we understand an (small) initial loss accepted by a counterparty, and the corresponding gain made by the other counterparty. The evolution of total daily frictions is then put into perspective comparing it with the frictions arising if flows corresponded to the optimal solution of a “cash transportation problem”. The main conclusions of this exercise are that overall frictions, although small in absolute size, tend to increase strongly whenever the overnight rate becomes volatile. Some tentative explanations for this are given, relying on the introduced methodology. JEL Classification: D4, E52, C61Financial market microstructure, Market friction, money market, Network optimization problems

Can short-term foreign exchange volatility be predicted by the Global Hazard Index?

This paper examines the predictive properties of risk indicators for the foreign exchange markets. In particular it considers the predictive properties of historical volatilities and implied volatilities for movements in various bilateral exchange rates and compares them with the analogous properties of a composite indicator of risk, the Global Hazard Index (GHI). The GHI is a function of the implied volatility derived from currency options on the three major exchange rates, i.e. the euro-US dollar, the US dollar-yen and the euro-yen. For the empirical analysis this paper employs the concept of kernel volatility, which, loosely speaking, expresses the volatility of one variable conditional on the level of another. Simple regressions show that the levels of all the indicators on a particular day have a strong link to the variance of the nominal bilateral exchange rate on the next day. A strong overall influence is displayed by the GHI, especially for the currencies of small open economies. JEL Classification: F01, F31

Interbank Offered Rate: Effects of the financial crisis on the information content of the fixing

With the onset of the financial turmoil in August 2007, pricing references on the money market interest rates have been shocked. The segment of unsecured deposit transactions, which represent the cornerstone of capital markets, and is used as basis for the setting of money market benchmark essential to the indexing of trillions of derivative contracts and loans, has been particularly damaged by the surge in counterparty risk. The lack of confidence between traders and the growing fear of counterparty’s bankruptcies have led progressively to a drying out of the unsecured market turnover. After a relative improvement in early 2008, market activity in the unsecured market has again dried up with the reinforcement of the financial crisis following the collapse of Lehman Brothers. Although there are good reasons to think that the market activity in the cash unsecured segment of the money market has remained distorted, in particular for maturities beyond the very short-term, the OIS-LIBOR spreads have been declining extremely steadily since January 2009, both in major currencies and at various maturities, seemingly pointing to a normalization of the money market. On the basis of a simple econometric supported by statistical evidence applied to the euro area date, this paper analyses whether recent developments in the unsecured interest rates actually support a diagnosis of renewed market activity, and of normalization of the unsecured market.LIBOR, EURIBOR, secured segment, fixings, market distortions, financial crisis.

¿Qué pueden aportar a los enseñantes los diferentes enfoques de la didáctica de las matemáticas? (segunda parte)

In the first part of this paper we raised the question of whether a customized theory of the didactics of mathematics was legitimate and presented and overview of such a theory. This second part analyses the contribution from and constraints the classical approaches and social practices on which they rely, and discusses the relationship between mathematics and its didactic

Commentaires 2015 de Guy Brousseau sur son petit livret de 1964 G. Brousseau, G., Les Mathématiques du cours préparatoire, premier fascicule, Dunod, 1964

Comunicación presentada en el “Congreso Internacional de Didáctica de la Matemática. Una mirada epistemológica y empírica" (Santa Marta, Colombia 2015)Reflexiones de G. Brousseau, en 2015 sobre su primer libro de 1964, un cuaderno de ejercicios, destinado a alumnos de 6 años para los primeros meses de estudio. Los visitantes de esta propuesta podrán, desde el tercer milenio en el que se encuentran, exhumar las huellas arqueológicas del nacimiento de algunos de los principales temas de la teoría de las situaciones, que esta obra precede en una decena de años