This discussion paper originates from the preceding annual workshop of the Special Interest Group on Social Conflict and Social Simulation (SIG-SCSS) of the ESSA. The workshop especially focused on the need to identify and examine challenges to modeling social conflicts. It turned out that the...

We investigate how the elimination of the intra-european risk may affect international financial marks. To this end, we identify and measure the EMU and non-EMU components of aggregate currency risk using a conditional version of the International CAPM. We document significant exposures to and...

We investigate the impact of currency risk and the adoption of the euro on the international portfolio choices. We use a parsimonious GARCH parameterization to estimate a conditional version of the International Capital Asset Pricing Model and generate out of sample forecasts of assets returns...

Given a set of assets, a numeraire portfolio (Long, 1990) is a self-financing portfolio with positive value and whose return process is a stochastic discount factors process. By relaxing the self-financing constraint, we define the generalized numeraire portfolios, and state necessary and...

This paper uses style analysis to investigate whether Euro-zone equity returns are driven by country or industry effects over the 1990--2008 period. We find that before the introduction of the Euro, country effects dominate, while industry effects prevail after 1999. This reversal is driven...

"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...

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...

We test a conditional asset pricing model that includes long-term interest rate risk as a priced factor for four asset classes—large stocks, small stocks, and long-term Treasury and corporate bonds. We find that the interest risk premium is the main component of the risk premiums for bond...

We investigate, from a portfolio performance perspective, the relative importance of country and industry factors as determinants of international equity returns in the Euro-zone over the 1990 to 2003 period. Although industry- and country-based portfolios are indistinguishable in terms of...