The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles

We propose a semi-parametric approach to investigate whether co-dependence across markets increase in periods of extreme returns. Given that returns on one market fall in the extreme tail of their own distribution, we compute the conditional probability that returns on another market will also take on extreme values. An application to the “tequila†crisis is performedcontagion, conditional probabilities, CAViaR

Simulating Rural Environmentally and Socio-Economically Constrained Multi-Activity and Multi-Decision Societies in a Low-Data Context: A Challenge Through Empirical Agent-Based Modeling

Development issues in developing countries belong to complex situations where society and environment are intricate. However, such sites lack the necessary amount of reliable, checkable data and information, while these very constraining factors determine the populations' evolutions, such as villagers living in Sahelian environments. Beyond a game-theory model that leads to a premature selection of the relevant variables, we build an individual-centered, empirical, KIDS-oriented (Keep It Descriptive & Simple), and multidisciplinary agent-based model focusing on the villagers\' differential accesses to economic and production activities according to social rules and norms, mainly driven by social criteria from which gender and rank within the family are the most important, as they were observed and registered during individual interviews. The purpose of the work is to build a valid and robust model that overcome this lack of data by building a individual specific system of behaviour rules conditioning these differential accesses showing the long-term catalytic effects of small changes of social rules. The model-building methodology is thereby crucial: the interviewing process provided the behaviour rules and criteria while the context, i.e. the economic, demographic and agro-ecological environment is described following published or unpublished literature. Thanks to a sensitivity analysis on several selected parameters, the model appears fairly robust and sensitive enough. The confidence building simulation outputs reasonably reproduces the dynamics of local situations and is consistent with three authors having investigated in our site. Thanks to its empirical approach and its balanced conception between sociology and agro-ecology at the relevant scale, i.e. the individual tied to social relations, limitations and obligations and connected with his/her biophysical and economic environment, the model can be considered as an efficient "trend provider" but not an absolute "figure provider" for simulating rural societies of the Nigrien Sahel and testing scenarios on the same context. Such ABMs can be a useful interface to analyze social stakes in development projects.Rule-Based Modelling, Rural Sahel, Confidence Building, Low-Data Context, Social Criteria

Unstructured finite volume algorithms for compressible multiphase flow

This research presents novel algorithms for computing flow within an unstructured, collocated, finite volume solver in the presence of non-orthogonality and compressibility in order to extend the range of problems which can be modelled with the University's in-house CFD code: PHYSICA. A new non-orthogonality diffusion correction relaxation parameter has been successfully introduced and tested with benchmarks from the literature. Cases involving geometries meshed with commercial packages have been successfully run with the diffusion correction methods, variable bounding and proper under-relaxation practices. The applicability of a pressure interpolation method has also been tested with these cases. A procedure for solving compressible flow within a finite volume, pressure correction type scheme, has been devised and successfully implemented in different test cases. This method is however prone to numerical diffusion in the presence of shocks, but does work even in the presence of skewed meshes. The method was then tested with the case of an oxygen jet entering a heated furnace, for which experimental data is available for comparison. The method was successful in predicting the axial variables of the jet, and used to develop a turbulence modification model for such jets. The method was finally used to model the deformation of a free surface impinged by a compressible jet, using a novel zonal method called zonal Gas And Liquid Analyser (GALA). Convergence was achieved with the method developed in this research, together with the application of the counter diffusion method to model the moving interface

Impacts of inventory credit, input supply shops, and fertilizer microdosing in the drylands of Niger:

"This study investigated the impacts of access to inventory credit, input supply shops, fertilizer microdosing demonstrations, and other factors on farmers' use of inorganic fertilizer and other inputs in Niger and on crop yields. We found that access to inventory credit and input supply shops has increased the use of inorganic fertilizer and seeds and that microdosing demonstrations have increased the use of inorganic fertilizer. Ownership of traction animals and access to off-farm employment have also contributed to the use of inorganic fertilizer, while larger farms use less fertilizer and labor per hectare. The impacts of these interventions and technologies depend on the crop mix. Inorganic fertilizer has a positive impact on millet and millet–cowpea yields when applied using microdosing, with an estimated marginal value-cost ratio greater than 3 for those crops indicating significant profitability. By contrast, microdosing has a negative impact on yields of the millet–sorghum–cowpea intercrop, suggesting that microdosing should not be promoted when sorghum is part of the crop mix. However, better access to input supply shops has contributed to higher yields of the millet–sorghum–cowpea intercrop. The predicted effect of inventory credit on farmers' income as a result of increased inorganic fertilizer use is an increase of 5,000 to 10,000 FCFA per hectare (about US$10 to US$20 per hectare in 2005) in millet or millet–cowpea production. Similarly, being 10 km closer to an input supply shop is predicted to increase farmers' income by 3,200 to 4,500 FCFA per hectare. These benefits do not take into account the impacts of the interventions on seeds or other inputs, which are also generally positive. The positive impacts are linked to the use of fertilizer microdosing, which has increased the productivity of fertilizer use in millet and millet–cowpea production, indicating synergies among the various interventions. They are also linked to these specific crops, because we found less favorable impacts of these interventions for the millet–sorghum–cowpea intercrop and for peanuts. Other interventions that could help to boost the use of inputs and productivity include promotion of improved access to farm equipment and traction animals and promotion of higher-value crops such as hibiscus. Further research on these topics appears warranted. Research on the implications of interventions on land degradation would also be useful." from Author's AbstractFertilizer microdosing, Inventory credit, Warrantage, Input supply shops, Drylands, Land management,

Analyzing the Anticipation of Treatments Using Data on Notification Dates

When treatments may occur at different points in time, most evaluation methods assume – implicitly or explicitly – that all the information used by subjects about the occurrence of a future treatment is available to the researcher. This is often called the “no anticipation” assumption. In reality, subjects may receive private signals about the date when a treatment may start. We provide a methodological and empirical analysis of this issue in a setting where the outcome of interest as well as the moment of information arrival (notification) and the start of the treatment can all be characterized by duration variables. Building on the "Timing of Events" approach, we show that the causal effects of notification and of the treatment on the outcome are identified. We estimate the model on an administrative data set of unemployed workers in France which provides the date when job seekers receive information from caseworkers about their future treatment status. We find that notification has a significant and positive effect on unemployment duration. This result violates the standard "no anticipation" assumption and rules out a "threat effect" of training programs in France.evaluation of labor market programs, training, duration model, timing of events, anticipation

Impacts of Inventory Credit, Input Supply Shops and Fertilizer Micro-Dosing in the Drylands of Niger

This study investigates the impacts of access to inventory credit (warrantage), input supply shops, fertilizer micro-dosing demonstrations, and other factors on farmers' use of inorganic and organic fertilizer in Niger, and the impacts on crop yields. We find that access to warrantage and input shops and participation in fertilizer micro-dosing demonstrations have increased use of inorganic fertilizer. Access to off-farm employment and ownership of traction animals also contribute to use of inorganic fertilizer. Use of organic fertilizer is less affected by these factors, but is substantially affected by the household's crop mix, access to the plot, ownership of durable assets, labor and land endowments, and participation in farmers' associations. Land tenure influences both inorganic and organic inputs, with less of both on sharecropped and encroached plots. Inorganic fertilizer has a positive impact on millet yields, with an estimated marginal value-cost ratio greater than 3, indicating significant profitability. Organic fertilizer has a positive impact on millet-cowpea yields. We find little evidence of complementarity between inorganic and organic fertilizer. Since warrantage, input supply shops and fertilizer micro-dosing demonstrations increase use of inorganic fertilizer which in turn increases millet yields, these interventions indirectly increase millet yields, although the impacts are relatively small. These findings support promoting increased input use through promotion of inventory credit, input supply shops and fertilizer micro-dosing demonstrations. Other interventions that could help to boost productivity include promotion of improved access to farm equipment and traction animals and improved access to land under secure tenure.Crop Production/Industries,

Active Labor Market Policy Effects in a Dynamic Setting

This paper implements a method to identify and estimate treatment effects in a dynamic setting where treatments may occur at any point in time. By relating the standard matching approach to the timing-of-events approach, it demonstrates that effects of the treatment on the treated at a given date can be identified even though non-treated may be treated later in time. The approach builds on a "no anticipation" assumption and the assumption of conditional independence between the duration until treatment and the counterfactual durations until exit. To illustrate the approach, the paper studies the effect of training for unemployed workers in France, using a rich register data set. Training has little impact on unemployment duration. The contamination of the standard matching estimator due to later entries into treatment is large if the treatment probability is high.treatment, program participation, unemployment duration, matching, training, propensity score, contamination bias

Active labor market policy effects in a dynamic setting

This paper implements a method to identify and estimate treatment effects in a dynamic setting where treatments may occur at any point in time. By relating the standard matching approach to the timing-of-events approach, it demonstrates that effects of the treatment on the treated at a given date can be identified even though non-treated may be treated later in time. The approach builds on a "no anticipation" assumption and the assumption of conditional independence between the duration until treatment and the counterfactual durations until exit. To illustrate the approach, the paper studies the effect of training for unemployed workers in France, using a rich register data set. Training has little impact on unemployment duration. The contamination of the standard matching estimator due to later entries into treatment is large if the treatment probability is high.Treatment; program participation; unemployment duration; training; propensity score; matching; contamination bias

Assurance maladie : soins de court terme et traitement à long terme

Le déficit de l’assurance maladie a conduit le gouvernement à réformer le système de santé afin de modérer la croissance des dépenses. Dans ce contexte, l’article a pour objet de présenter l’état des lieux du système de santé et les différentes réformes envisageables. Dans sa dernière partie, il présente une première analyse des mesures décidées en 2004. La France dépense beaucoup pour la santé, mais nettement moins que les États-Unis et à peu près autant que ses principaux partenaires européens. Au cours des années 1990, la croissance des dépenses y a été particulièrement faible. La reprise observée récemment vient ainsi compenser une évolution anormalement faible au cours de la période antérieure. Toutefois, l’assurance maladie connaît un déficit structurel dû au fait qu’en moyenne, sur longue période, la croissance des dépenses est supérieure à celle du PIB. Les facteurs de cette croissance sont connus : augmentation des revenus — qui s’accompagne d’exigences plus grandes en matière de qualité des soins —, vieillissement de la population et progrès des techniques médicales. En conséquence, il serait naturel de programmer à l’avance les hausses de prélèvements nécessaires au financement des dépenses. Des réformes microéconomiques sont, en outre, nécessaires pour améliorer, ou simplement maintenir, l’efficacité du système. Compte tenu des particularités du service rendu par le système de soins, il n’est pas souhaitable de remettre en cause le principe de sa mutualisation dans le cadre d’une assurance publique. Comme la « responsabilisation » des patients, par une contribution directe au paiement des soins, ne peut être que limitée, les réformes envisageables portent surtout sur la restructuration de l’offre. La réforme de 2004 comporte des mesures susceptibles de contribuer à cette restructuration : meilleure coordination par l’informatisation du dossier médical, obligation de passage par un médecin référent, etc. Mais elle ne modifie pas les modalités de rémunération des médecins. Les mesures de 2004 ne changent donc pas radicalement un système auquel les Français sont sincèrement attachés.Health spending as a share of GDP stands in France at the average level of industrial economies and much below than in the US. Recently, spending has rapidly accelerated leading to a rise in public health insurance accounts deficits. This paper analyses the factors behind these changes: ageing populations, rising incomes boosting the demand for high quality health care, medical progress. At the macro level the future increases in social contributions that will be needed to balance health accounts should be planned. But reforms are also needed at the micro level to improve the efficiency of the health care system. The reform decided in 2004 introduces some elements of managed care (computerised medical records; referent doctor in charge of care coordination) but does not alter the core structure of a system that performs well for the majority of the French