Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual market premia using linear regression. These theoretical determinants are firm leverage, volatility and the riskless interest rate. We...

We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on...

The risk-return trade-off being the very substance of finance, volatility has always been an essential parameter for portfolio management. Moreover, the generalization of the use of derivatives has placed in the forefront the concept of volatility risk: i.e. the model risk generated by treating...

We propose finite sample tests and confidence sets for models with unobserved and generated regressors as well as various models estimated by instrumental variables methods. The validity of the procedures is unaffected by the presence of identification problems or weak instruments, so no...

In 1999, new monetary policy regimes were adopted in Brazil, Chile, Colombia and Mexico, combining inflation targeting with floating exchange rates. These regime changes have been accompanied by lower volatility in the monetary stance in Brazil, Colombia and Mexico, despite higher inflation...

Cette étude, suite aux contributions de Crépon, Duguet et Mairesse (1998) et de Duguet (2002), propose une approche structurelle qui cherche à faire le lien entre les travaux visant à étudier la fonction d'innovation et ceux sur l'évaluation des effets de l'innovation. Ici, toutefois nous...

(VF) Une revue de littérature et un échantillon de 316 filiales en Chine conduisent à la construction théorique et la validation empirique d’un modèle causal permettant d'étudier comment les multinationales européennes et japonaises combinent les mécanismes de contrôle de leurs...