Bond Liquidity Premia

Recent asset pricing models of limits to arbitrage emphasize the role of funding conditions faced by financial intermediaries. In the US, the repo market is the key funding market. Then, the premium of on-the-run U.S. Treasury bonds should share a common component with risk premia in other markets. This observation leads to the following identification strategy. We measure the value of funding liquidity from the cross-section of on-the-run premia by adding a liquidity factor to an arbitrage-free term structure model. As predicted, we find that funding liquidity explains the cross-section of risk premia. An increase in the value of liquidity predicts lower risk premia for on-the-run and off-the-run bonds but higher risk premia on LIBOR loans, swap contracts and corporate bonds. Moreover, the impact is large and pervasive through crisis and normal times. We check the interpretation of the liquidity factor. It varies with transaction costs, S&P500 valuation ratios and aggregate uncertainty. More importantly, the liquidity factor varies with narrow measures of monetary aggregates and measures of bank reserves. Overall, the results suggest that different securities serve, in part, and to varying degrees, to fulfill investors' uncertain future needs for cash depending on the ability of intermediaries to provide immediacy.Financial markets; Financial stability

Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness

We introduce the Homoscedastic Gamma [HG] model where the distribution of returns is characterized by its mean, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and risk-neutral volatilities is a function of the risk premium and of skewness. In fact, the equity premium is twice the ratio of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that conditioning on skewness increases the predictive power of the volatility spread and that coefficient estimates accord with theory. In short, the data do not reject the model's implications for the equity premium. We also check the model's implications for option pricing and show that the information content of skewness leads to improved in-sample and out-of-sample pricing performances as well as improved hedging performances. Our results imply that expanding around the Gaussian density is restrictive and does not offer sufficient flexibility to match the skewness and kurtosis implicit in option data. Finally, we document the term structure of option-implied volatility, skewness and kurtosis and find that time-dependence in returns has a greater impact on skewness.Financial markets

Bond risk premia and Gaussian term structure models

Cochrane and Piazzesi (2005) show that (i) lagged forward rates improve the predictability of annual bond returns, adding to current forward rates, and that (ii) a Markovian model for monthly forward rates cannot generate the pattern of predictability in annual returns. These results stand as a challenge to modern Markovian dynamic term structure models (DTSMs). We develop the family of conditional mean DTSMs where the yield dynamics depend on current yields and their history. Empirically, we find that (i) current and past yields generate cyclical risk-premium variations, (ii) the model risk premia offer better returns forecasts, and (iii) the model coefficients are close to Cochrane-Piazzesi regressions of long-horizon returns. Yield decompositions differ significantly from what a standard model suggests - the expectation component decreases less in a recession and increases less in the recovery. A small Markovian factor "hidden" in measurement error (Duffee, 2011) explains some of the differences but is not sufficient to match the evidence.Cochrane et Piazzesi (2005) montrent que les taux à terme retardés améliorent la prévisibilité des rendements obligataires en complétant l’apport des taux à terme courants, et qu’un modèle markovien des taux à terme ne peut produire le profil de prévisibilité des rendements annuels. Ces résultats compliquent la tâche des modèles dynamiques de la structure par terme (DTSM) de type markovien. Nous construisons des DTSM nouveaux, où la dynamique de la moyenne conditionnelle dépend des taux courants et passés. De manière empirique, nous constatons que les taux passes contribuent aux variations cycliques de la prime de risque, que le modèle offre de meilleures prévisions des rendements et que ses coefficients avoisinent les résultats des régressions effectuées sur les rendements de long terme, prolongeant l’étude de Cochrane et Piazzesi. Comparativement au modèle standard, la décomposition des taux diffère sensiblement : la composante des anticipations diminue moins durant une récession et s’accroît moins en période de reprise. La présence dans les taux d’un facteur de risqué markovien « caché » dans les erreurs de mesure ne peut rendre compte entièrement du phénomène

Trois essais sur la liquidité : ses effets sur les primes de risque, les anticipations et l'asymétrie des risques financiers

Thèse numérisée par la Division de la gestion de documents et des archives de l'Université de Montréal

A typology of goat farming in Reunion Island prior to the implementation of a breeding scheme adapted to the French overseas departments

In September 2008, The "Office de développement de l’économie agricole d’outre-mer" carried out an assignment in the five French overseas departments and territories to evaluate the demand for genetic improvement of breeding goats (Boué et al., 2008). This expertise concluded with an original proposal: testing the implementation of a common breeding scheme adapted to the 5 territories. As Reunion Island offers a favourable context for such a project, it was proposed to locate the selection nucleus there. For this purpose, a first assessment of the diversity of livestock systems was undertaken to understand farmer practices and breeding management orientations. We present here A typology of goats’ livestock systems stemming from a study realized in 2009 (Bouyssière, 2009) is thus presented in this paper

Tractable term-structure models and the zero lower bound

We greatly expand the space of tractable term-structure models. We consider one example that combines positive yields with rich volatility and correlation dynamics. Bond prices are expressed in closed form and estimation is straightforward. We find that the early stages of a recession have distinct effects on yield volatility. Upon entering a recession when yields are far from the lower bound, (i) the volatility term structure becomes flatter, (ii) the level and slope of yields are nearly uncorrelated, and (iii) the second principal component of yields plays a larger role. However, these facts are significantly different when yields are close to the lower bound. Entering a recession in such a setting, (i) the volatility term structure instead steepens, (ii) the level and slope factors are strongly correlated, and (iii) the second principal component of yields plays a smaller role. Existing dynamic term-structure models do not capture the changes in the cyclical responses of the volatility term structure near the lower bound

Risk premium, variance premium and the maturity structure of uncertainty

Theoretical risk factors underlying time-variations of risk premium across asset classes are typically unobservable or hard to measure by construction. Important examples include risk factors in Long Run Risk [LRR] structural models (Bansal and Yaron 2004) as well as stochastic volatility or jump intensities in reduced-form affine representations of stock returns (Duffie, Pan, and Singleton 2000). Still, we show that both classes of models predict that the term structure of risk-neutral variance should reveal these risk factors. Empirically, we use model-free measures and construct the ex-ante variance term structure from option prices. This reveals (spans) two risk factors that predict the bond premium and the equity premium, jointly. Moreover, we find that the same risk factors also predict the variance premium. This important contribution is consistent with theory and confirms that a small number of factors underlies common time-variations in the bond premium, the equity premium and the variance premium. Theory predicts that the term structure of higher-order risks can reveal the same factors. This is confirmed in the data. Strikingly, combining the information from the variance, skewness and kurtosis term structure can be summarized by two risk factors and yields similar level of predictability (i.e., R2s). This bodes well for our ability to bridge the gap between the macro-finance literature, which uses very few state variables, and valuations in option markets

Bilan et perspectives des deux écoles techniques « notions et techniques en écologie » organisées par le Département EFPA

La création du Département «Écologie des Forêts, Prairies et milieux Aquatiques» a suscité de la part des personnels techniques concernés une volonté d’intégration collective sous le concept fédérateur de l’écologie. Pour cela deux écoles techniques ont été organisées sur des notions et méthodes d’écologie par un Comité de pilotage composé de techniciens et de scientifiques. L’objectif visait à familiariser les techniciens aux concepts de l’écologie et à les aider à se situer dans les thématiques de recherche du Département EFPA. Enfin, il s’agissait d’instaurer une communauté de pratique autour de l’écologie. Ces écoles ont rassemblé 79 personnes, en proposant visites sur le terrain et séances en salle. Deux animations ont particulièrement été appréciées, l’une sous forme d’un jeu en préambule, l’autre sous forme de présentations par des binômes techniciens/chercheurs. Les participants sont plutôt convaincus d’avoir progressé sur les notions en écologie et ils ont la volonté d’aller plus loin avec la création d’un Réseau de Technicien en Ecologie (RTE), la mise en place d’une liste de diffusion et l’organisation régulière de rencontres entre membres du réseau

A Tale of Four Stories: Soil Ecology, Theory, Evolution and the Publication System

International audienceBACKGROUND: Soil ecology has produced a huge corpus of results on relations between soil organisms, ecosystem processes controlled by these organisms and links between belowground and aboveground processes. However, some soil scientists think that soil ecology is short of modelling and evolutionary approaches and has developed too independently from general ecology. We have tested quantitatively these hypotheses through a bibliographic study (about 23000 articles) comparing soil ecology journals, generalist ecology journals, evolutionary ecology journals and theoretical ecology journals. FINDINGS: We have shown that soil ecology is not well represented in generalist ecology journals and that soil ecologists poorly use modelling and evolutionary approaches. Moreover, the articles published by a typical soil ecology journal (Soil Biology and Biochemistry) are cited by and cite low percentages of articles published in generalist ecology journals, evolutionary ecology journals and theoretical ecology journals. CONCLUSION: This confirms our hypotheses and suggests that soil ecology would benefit from an effort towards modelling and evolutionary approaches. This effort should promote the building of a general conceptual framework for soil ecology and bridges between soil ecology and general ecology. We give some historical reasons for the parsimonious use of modelling and evolutionary approaches by soil ecologists. We finally suggest that a publication system that classifies journals according to their Impact Factors and their level of generality is probably inadequate to integrate "particularity" (empirical observations) and "generality" (general theories), which is the goal of all natural sciences. Such a system might also be particularly detrimental to the development of a science such as ecology that is intrinsically multidisciplinary

Ville et campagne de Fréjus romaine

En 2006, une fouille d’archéologie préventive, désignée sous le nom de « Villa Romana », a été réalisée dans le quartier de Villeneuve à Fréjus. Durant l’Antiquité il s’agit d’une zone périurbaine située entre la ville de Forum Iulii et le débouché de l’Argens. Connu depuis longtemps en raison de la présence d’un édifice thermal toujours en élévation, le quartier a été fouillé à plusieurs occasions et est interprété comme étant l’emplacement du camp de la flotte, établi après la bataille d’Actium. Celui-ci se transforme progressivement durant le Ier siècle apr. J.-C. en quartier suburbain au fur et à mesure que se développe Forum Iulii. Le secteur fouillé se situe dans la partie sud du camp, bordée par la mer durant les premiers temps de l’Antiquité. La fouille a permis de révéler la présence d’une plage aménagée. Les terrains ont ensuite été rapidement gagnés sur la mer, en raison d’une avancée rapide du littoral, que des études récentes ont permis de bien connaitre à Fréjus. Des jardins y sont alors aménagés. A partir du IIe siècle, cet espace est transformé en zone agricole, et constitue l’illustration de l’exploitation de la campagne aux portes de Fréjus, et cela, jusqu’à la fin de l’Antiquité. S’ensuit une longue période d’abandon de plusieurs siècles, avant que l’espace ne soit à nouveau voué à l’agriculture et ce jusqu’à l’orée des années soixante. Depuis, le développement de la ville actuelle de Fréjus a de nouveau transformé ce quartier en zone urbaine. Cet ouvrage, publié quelques années seulement après la fouille, présente l’ensemble des études archéologiques et paléoenvironnementales, réalisées à l’occasion de cette opération, largement pluridisciplinaire. Elles fournissent un contexte environnemental nouveau pour ce quartier antique et permettent de redéfinir un paysage à partir d’analyses bioarchéologiques et paléoécologiques récentes. L’étude de l’ensemble des mobiliers archéologiques est également présentée, en suivant la chronologie et l’évolution de ce quartier à travers l’Antiquité et l’époque moderne