Note sur quelques méthodes d’évaluation de l’inégalité dans la répartition des revenus par groupe, basées sur l’indice Gini

In this paper, we compare three methods presently used to split up the Gini index in order to evaluate the contribution of one particular factor (for example, age) to the value of this index: the B-M-P decomposition*, Paglin's measures and Love & Wolfson indexes. The problem with the decomposition of the Gini index is that it is impossible to cut it in two parts, one, representing the value of inequality attributable to the factor analysed and the second, inequality due to other factors. We also have to include the value of overlaps. This is clearly shown by Bhattacharya and Mahalanobis.By using a very simple example for which we can forecast the results, we can compare the reaction registered by each method when we introduce a change in the distribution of income and consequently evaluate the lightness of these methods. We confirmed our convictions by decomposing two other measures which can be separated in the two parts mentioned above: Theil's entropy and the square of the coefficient of variation.We conclude that the indexes used in the B-M-P decomposition are exact. Paglin's age-Gini index is accurate, but not his residue, the Paglin-Gini's index. And, Love and Wolfson's index did not behaved as expected to our modifications.We also showed, by using the B-M-P decomposition, that overlaps is an important component. Finally, we noted that our indexes changed in value when we changed the number of groups analysed (example: if, to analyse the effect of age we divide our population into 5 or 10 age groups). So, it is important in a longitudinal study always to use the same group definitions to obtain comparable results.* Bhattacharya, Mahalanobis and Pyratt

Single Beta Models and currency Futures Prices

The conditional capital asset pricing model is applied to foreign currency futures prices, covariance risk being measured relative to excess returns from a broadly diversified international portfolio of equities. Positive time-varying risk premia are found in all five currencies tested when the difference between the US and the average foreign interest rates is used as an instrumental variable for the expected excess return from the common stock portfolio

Tests for a Systematic Risk Component in Deviations from Uncovered Interest Rate Parity.

In the intertemporal asset pricing model, investments in spot foreign currencies involve time-varying risk proportional to the conditional covariance of the value of the position with the intertemporal marginal rate of substitution of domestic currency. The authors detect such risk premia in deviations from uncovered interest rate parity using weekly spot currency prices and Eurocurrency interest rates. Their tests use the conditional capital asset pricing model with a world equity index as benchmark to represent aggregate wealth. Copyright 1991 by The Review of Economic Studies Limited.

Single Beta Models and currency Futures Prices

The conditional capital asset pricing model is applied to foreign currency futures prices, covariance risk being measured relative to excess returns from a broadly diversified international portfolio of equities. Positive time-varying risk premia are found in all five currencies tested when the difference between the US and the average foreign interest rates is used as an instrumental variable for the expected excess return from the common stock portfolio.