L'étude s'attache à évaluer le marché potentiel des véhicules électriques auprès des ménages français. L'analyse porte non seulement sur les déterminants financiers de la demande, mais aussi sur les obstacles socio-économiques à l'adoption des véhicules électriques par ces ménages. L'approche désagrégée qui est appliquée à partir de la base de données de l'Enquête Nationale Transports et Déplacements 2007/2008 permet d'identifier les combinaisons d'instruments financiers les plus à même de garantir certains niveaux de pénétration du véhicule électrique dans la prochaine décennie. Les conclusions et observations tirées de l'étude permettent de formuler diverses suggestions à l'attention des constructeurs automobiles et des décideurs publics affichant la volonté de soutenir l'essor du véhicule électrique.

L'actuariat non-vie étudie les différents aspects quantitatifs de l'activité d'assurance. Cette thèse vise à expliquer sous différentes perspectives les interactions entre les différents agents économiques, l'assuré, l'assureur et le marché, sur un marché d'assurance. Le chapitre 1 souligne à quel point la prise en compte de la prime marché est importante dans la décision de l'assuré de renouveler ou non son contrat d'assurance avec son assureur actuel. La nécessitéd'un modèle de marché est établie. Le chapitre 2 répond à cette problématique en utilisant la théorie des jeux non-coopératifs pour modéliser la compétition. Dans la littérature actuelle, les modèles de compétition seréduisent toujours à une optimisation simpliste du volume de prime basée sur une vision d'un assureur contre le marché. Partant d'un modèle de marché à une période, un jeu d'assureurs est formulé, où l'existence et l'unicité de l'équilibre de Nash sont vérifiées. Les propriétés des primes d'équilibre sont étudiées pour mieux comprendre les facteurs clés d'une position dominante d'un assureur par rapport aux autres. Ensuite, l'intégration du jeu sur une période dans un cadre dynamique se fait par la répétition du jeu sur plusieurs périodes. Une approche par Monte-Carlo est utilisée pour évaluer la probabilité pour un assureur d'être ruiné, de rester leader, de disparaître du jeu par manque d'assurés en portefeuille. Ce chapitre vise à mieux comprendre la présence de cycles en assurance non-vie. Le chapitre 3 présente en profondeur le calcul effectif d'équilibre de Nash pour n joueurs sous contraintes, appelé équilibre de Nash généralisé. Il propose un panorama des méthodes d'optimisation pour la résolution des n sous-problèmes d'optimisation. Cette résolution sefait à l'aide d'une équation semi-lisse basée sur la reformulation de Karush-Kuhn-Tucker duproblème d'équilibre de Nash généralisé. Ces équations nécessitent l'utilisation du Jacobiengénéralisé pour les fonctions localement lipschitziennes intervenant dans le problème d'optimisation.Une étude de convergence et une comparaison des méthodes d'optimisation sont réalisées.Enfin, le chapitre 4 aborde le calcul de la probabilité de ruine, un autre thème fondamentalde l'assurance non-vie. Dans ce chapitre, un modèle de risque avec dépendance entre lesmontants ou les temps d'attente de sinistre est étudié. De nouvelles formules asymptotiquesde la probabilité de ruine en temps infini sont obtenues dans un cadre large de modèle de risquesavec dépendance entre sinistres. De plus, on obtient des formules explicites de la probabilité deruine en temps discret. Dans ce modèle discret, l'analyse structure de dépendance permet dequantifier l'écart maximal sur les fonctions de répartition jointe des montants entre la versioncontinue et la version discrète.

This dissertation can be broadly divided into two independent parts. The first three chapters analyse issues related to temporal and contemporaneous aggregation of econometric models. The fourth chapter contains an application of Bayesian techniques to investigate whether the post transition fiscal policy of Poland is sustainable in the long run and consistent with an intertemporal budget constraint.<p><p><p>Chapter 1 surveys the econometric methodology of temporal aggregation for a wide range of univariate and multivariate time series models. <p><p><p>A unified overview of temporal aggregation techniques for this broad class of processes is presented in the first part of the chapter and the main results are summarized. In each case, assuming to know the underlying process at the disaggregate frequency, the aim is to find the appropriate model for the aggregated data. Additional topics concerning temporal aggregation of ARIMA-GARCH models (see Drost and Nijman, 1993) are discussed and several examples presented. Systematic sampling schemes are also reviewed.<p><p><p>Multivariate models, which show interesting features under temporal aggregation (Breitung and Swanson, 2002, Marcellino, 1999, Hafner, 2008), are examined in the second part of the chapter. In particular, the focus is on temporal aggregation of VARMA models and on the related concept of spurious instantaneous causality, which is not a time series property invariant to temporal aggregation. On the other hand, as pointed out by Marcellino (1999), other important time series features as cointegration and presence of unit roots are invariant to temporal aggregation and are not induced by it.<p><p><p>Some empirical applications based on macroeconomic and financial data illustrate all the techniques surveyed and the main results.<p><p>Chapter 2 is an attempt to monitor fiscal variables in the Euro area, building an early warning signal indicator for assessing the development of public finances in the short-run and exploiting the existence of monthly budgetary statistics from France, taken as "example country". <p><p><p>The application is conducted focusing on the cash State deficit, looking at components from the revenue and expenditure sides. For each component, monthly ARIMA models are estimated and then temporally aggregated to the annual frequency, as the policy makers are interested in yearly predictions. <p><p><p>The short-run forecasting exercises carried out for years 2002, 2003 and 2004 highlight the fact that the one-step-ahead predictions based on the temporally aggregated models generally outperform those delivered by standard monthly ARIMA modeling, as well as the official forecasts made available by the French government, for each of the eleven components and thus for the whole State deficit. More importantly, by the middle of the year, very accurate predictions for the current year are made available. <p><p>The proposed method could be extremely useful, providing policy makers with a valuable indicator when assessing the development of public finances in the short-run (one year horizon or even less). <p><p><p>Chapter 3 deals with the issue of forecasting contemporaneous time series aggregates. The performance of "aggregate" and "disaggregate" predictors in forecasting contemporaneously aggregated vector ARMA (VARMA) processes is compared. An aggregate predictor is built by forecasting directly the aggregate process, as it results from contemporaneous aggregation of the data generating vector process. A disaggregate predictor is a predictor obtained from aggregation of univariate forecasts for the individual components of the data generating vector process. <p><p>The econometric framework is broadly based on Lütkepohl (1987). The necessary and sufficient condition for the equality of mean squared errors associated with the two competing methods in the bivariate VMA(1) case is provided. It is argued that the condition of equality of predictors as stated in Lütkepohl (1987), although necessary and sufficient for the equality of the predictors, is sufficient (but not necessary) for the equality of mean squared errors. <p><p><p>Furthermore, it is shown that the same forecasting accuracy for the two predictors can be achieved using specific assumptions on the parameters of the VMA(1) structure. <p><p><p>Finally, an empirical application that involves the problem of forecasting the Italian monetary aggregate M1 on the basis of annual time series ranging from 1948 until 1998, prior to the creation of the European Economic and Monetary Union (EMU), is presented to show the relevance of the topic. In the empirical application, the framework is further generalized to deal with heteroskedastic and cross-correlated innovations. <p><p><p>Chapter 4 deals with a cointegration analysis applied to the empirical investigation of fiscal sustainability. The focus is on a particular country: Poland. The choice of Poland is not random. First, the motivation stems from the fact that fiscal sustainability is a central topic for most of the economies of Eastern Europe. Second, this is one of the first countries to start the transition process to a market economy (since 1989), providing a relatively favorable institutional setting within which to study fiscal sustainability (see Green, Holmes and Kowalski, 2001). The emphasis is on the feasibility of a permanent deficit in the long-run, meaning whether a government can continue to operate under its current fiscal policy indefinitely.<p><p>The empirical analysis to examine debt stabilization is made up by two steps. <p><p>First, a Bayesian methodology is applied to conduct inference about the cointegrating relationship between budget revenues and (inclusive of interest) expenditures and to select the cointegrating rank. This task is complicated by the conceptual difficulty linked to the choice of the prior distributions for the parameters relevant to the economic problem under study (Villani, 2005).<p><p>Second, Bayesian inference is applied to the estimation of the normalized cointegrating vector between budget revenues and expenditures. With a single cointegrating equation, some known results concerning the posterior density of the cointegrating vector may be used (see Bauwens, Lubrano and Richard, 1999). <p><p>The priors used in the paper leads to straightforward posterior calculations which can be easily performed.<p>Moreover, the posterior analysis leads to a careful assessment of the magnitude of the cointegrating vector. Finally, it is shown to what extent the likelihood of the data is important in revising the available prior information, relying on numerical integration techniques based on deterministic methods.<p> / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

Cette thèse porte sur les relations entre le Système Communautaire d'Échange de Quotas d'Émission (SCEQE) et les marchés de l'énergie. Une attention particulière est donnée au changement de combustible, le principal moyen de réduire les émissions de CO2 à court-terme dans le SCEQE. Cela consiste à substituer des centrales gaz aux centrales charbon dans la production d'électricité en dehors des heures de pointes. Ainsi, les centrales charbon fonctionnent sur de plus courtes périodes, ce qui permet de réduire les émissions de CO2. Le Chapitre 1 décrit différentes approches expliquant les relations entre les marchés de l'énergie et du CO2. Une revue de littérature est ensuite présentée. Nous donnons une description détaillée du processus de changement de combustible. En particulier, l'influence de l'efficacité des centrales est analysée. Le Chapitre 2 fournit une étude théorique de l'impact des différences d'efficacité parmi les centrales gaz pour le changement de combustible. Le principal résultat montre que la sensibilité du prix du CO2 vis-à-vis du prix du gaz dépend du niveau des émissions de CO2.Le Chapitre 3 examine les interactions entre les prix de l'électricité, du charbon, du gaz et du CO2 dans une étude empirique. Les résultats montrent une qu'il existe une relation significative entre le gaz et le CO2 à l'équilibre de long-terme. Le Chapitre 4 étudie le processus de découverte des informations qui influencent laformation des prix du gaz et du CO2. La forte relation entre le gaz et le CO2 indique que leurs prix sont affectés par les mêmes informations. Nous montrons dans une étude empirique que le marché du CO2 domine le processus de découverte de ces informations. / This thesis investigates relationships between the European Union Emission Trading Scheme (EU ETS) and energy markets. A special focus is given to fuel switching, the main shortterm abatement measure within the EU ETS. This consists in substituting Combined Cycle Gas Turbines (CCGTs) for hard-coal plants in off-peak power generation. Thereby coal plants run for shorter periods, which allows power producers to reduce their CO2 emissions. In Chapter 1, we outline different approaches explaining relationships between carbon and energy markets. We also review the literature relating to these issues. Next, we further describe the fuel switching process and, in particular, we analyze the influence of energy and environmental efficiency of thermal power plants (coal and gas) on fuel switching. In Chapter 2, we provide a theoretical analysis that shows how differences in the efficiency of CCGTs can rule interactions between gas and carbon prices. The main result shows that the allowance price becomes more sensitive to the gas price when the level of CO2 emissions increases. In Chapter 3, we examine interactions between carbon, coal, gas and electricity prices in an empirical study. Among the main results, we find that there is a significant link between carbon and gas prices in the long-run equilibrium.In Chapter 4, we analyze the cross-market price discovery process between gas and CO2 markets. We identified in previous chapters that there is a robust significant link between gas and CO2 markets. They are linked commodities, and their prices are affected by the same information. In an empirical analysis, we find that the carbon market is the leader in cross-market price discovery process.

Les questions de légitimité et de stabilité des systèmes politiques ont longtemps été étudiées séparément des problèmes de mise en oeuvre du droit en sciences économiques. L’objectif de cette thèse est concilier ces différentes approches afin de replacer la mise en oeuvre de la norme juridique au centre du débat institutionnel. Ce travail se décompose en cinq investigations empiriques ou expérimentales portant chacune sur une des étapes du processus politique et judiciaire.Le premier article s’intéresse à l’impact des droits constitutionnels sur les dépenses publiques. La seconde étude explore l’influence des biais d’auto-complaisance sur la demande et l’offre de redistribution. Le troisième travail analyse les décisions rendues par le Conseil Constitutionnel. La quatrième partie examine la réforme de la carte judiciaire des Conseils de Prud’hommes de 2008. Le dernier chapitre étudie la relation entre la composition syndicale des Conseils de Prud’hommes et les issues des litiges qui y sont portés.Nos analyses reposent sur les outils économétriques et expérimentaux. Elles font usage de méthodes d’estimations classiques (OLS, GLS, Probit, Logit, Within OLS), de modèles à sélection (Heckman, Triprobit), des outils destinés aux problèmes d’endogénéité (2SLS)et des techniques d’estimation de systèmes d’équation (3SLS). L’approche expérimentale contient également des tests statistiques communément appliqués (tests de permutation,tests de comparaison de moyenne, tests de proportion) ainsi que de récentes méthodes pour traiter l’hétérogénéité (wild clustering). / The legitimacy and the stability of political systems have very often been studied in economics separate from considerations about legal norms’ enforcement. My objective is to combine these different approaches, and to place the question of the legal enforcement at the heart of the debate about institutions. This work is made of cinq empirical and experimental investigations that deal with each of the stages of the political and legal process.This first paper analyzes the impact of constitutional rights on public expenditures. The second article explores the influence of self-serving biases on the demand and the supplyof redistribution. The third analysis focuses on the decisions of the French Constitutional Council. The fourth work deals with the recent reform of the judiciary map of Frenchlabor courts. The last study investigates the relationship between the composition of the elected jurors in French labor courts and the way cases are terminated.Our investigations rely on econometric and experimental techniques. They use standard estimation methods (OLS, GLS, Probit, Logit, Within OLS), selection models (Heckman,Triprotibt), techniques for endogeneity correction (2SLS), and methods to estimate systems of equations (3SLS). The experimental analysis makes use of standard statistical tests(permutation tests, proportion tests, two-group mean-comparison tests), and more recent methods to solve heterogeneity (wild clustering).

L’automobile occupe une place fondamentale dans notre société, au point qu’on a pu parler de « civilisation de l’automobile ». En dépit des critiques qui lui sont régulièrement adressées, celle-ci n’a cessé de se renforcer, avec toujours davantage de voitures par adulte et une proportion croissante de déplacements effectués en voiture. Cependant, depuis le tournant du millénaire, on assiste à un retournement de tendance. Pour la première fois, la mobilité en voiture baisse dans les grandes agglomérations, tandis que la circulation automobile plafonne à l’échelle nationale. Cette évolution, du reste, n’est pas spécifique à la France mais s’observe dans l’ensemble des pays développés, une tendance parfois désignée sous le terme de « peak car (travel) ». Parmi les explications les plus convaincantes de ce retournement, figurent l’augmentation du prix du carburant, suivie de la récession de 2008. La volonté des ménages de maîtriser leurs budgets-temps de transport y contribue également, dans un contexte d’allongement des déplacements vers le travail et de dégradation des vitesses de déplacements. En outre, la diffusion de l’automobile se rapproche de la saturation. Si à long terme, la croissance du kilométrage moyen par adulte est indexée sur le taux de motorisation, cependant à moyen terme l’utilisation des véhicules fluctue en fonction du pouvoir d’achat énergétique, et un modèle basé sur ces deux variables suggère qu’on observerait une réaction normale à une augmentation exceptionnelle du prix du carburant. Les facteurs de croissance du taux de motorisation tiennent eux-mêmes principalement à la succession de générations de plus en plus motorisées, surtout chez les femmes, compte tenu d’un accès de plus en plus large au permis de conduire, à l’activité professionnelle, et d’une urbanisation de plus en plus diffuse, qui ont augmenté le besoin d’une seconde voiture. Pour modéliser l’auto-mobilité, on propose une approche emboîtée, individuelle et longitudinale, segmentée en fonction du genre. L’auto-mobilité peut en effet être vue au niveau individuel comme une succession de choix emboîtés, puisque la détention du permis conditionne l’accès à un véhicule personnel, de même que la motorisation conditionne l’usage d’un véhicule. L’avantage d’une approche longitudinale réside dans la possibilité de distinguer entre mesures d’hétérogénéité et de sensibilité, qui ne sont pas équivalentes. Pour chaque niveau de choix, l’approche est structurée autour d’une analyse de type âge-cohorte-période. Globalement, les taux de motorisation sont plus hétérogènes chez les femmes, un résultat qui est susceptible de recevoir une double interprétation, économique ou sociétale. On peut le voir en termes d’inégalités de genre. Mais il peut également s’interpréter comme le reflet d’un statut encore intermédiaire du second véhicule, dont l’opportunité serait davantage évaluée au regard des besoins et des contraintes réels du ménage. A l’inverse, l’usage des véhicules est à la fois plus élevé et plus hétérogène chez les hommes, compte tenu de la fonction collective du véhicule principal et des arbitrages internes aux ménages quant aux choix du lieu de résidence et des lieux de travail des conjoints. Pour finir, on estime à partir de modèles sur données de panel des effets marginaux et des élasticités par rapport au revenu, au prix du carburant et à la densité, qui sont ensuite comparées avec la littérature. Dans l’ensemble, les résultats sont cohérents avec l’analyse descriptive, ainsi qu’avec la littérature. Le modèle permet également de rendre compte du déclin tendanciel des élasticités, traduisant l’approche de la saturation. Pour finir, une évaluation a posteriori confirme l’opportunité d’une modélisation séquentielle, indiquant que les choix de motorisation sont indépendants des niveaux d’usage de la voiture. / Car ownership and use are a decisive part of our society, which was sometimes designed as the “civilization of the car”. Despite many critics, the car has become ever-more central in the modern way of life, with an ever-increasing number of cars per adult and proportion of trips realized by car. However, from the beginning of the millennium, there was a reversal in the trend towards ever-more car use. For the first time, the average number of daily trips realized by car has been falling down in French conurbations, and nationwide traffic by car is leveling off. This situation, nonetheless, is not specific to France but is common to many developed countries, and is often referred to as the “peak car (travel)”. The main explanations for such a downturn include rising fuel prices from the late 1990’s, followed by the recession in 2008, but also household’s willingness to control their travel time budgets, in a context of increasing commuting distances and reduced travel speeds. Besides, the diffusion of car ownership is approaching saturation. While on the long-run, average car travel per adult is indexed on motorization, mid-term fluctuations of average car use per vehicle are related to the energetic purchasing power, and a simple model based on these two variables is suggesting that the stagnation of car use from the 2000’s could be a reaction of a usual kind to an exceptional rise in fuel prices. The growth in motorization is itself principally caused by the follow-up of ever-more motorized generations, especially among women, given their increasing access to driving license, job participation and ever-more diffuse land use patterns, which have increased the need for a second car within households. In order to model auto-mobility, a nested, individual and longitudinal approach is implemented, segmented by gender. Auto-mobility can indeed be seen as a follow-up of nested choices, as driving license is necessary for holding a car, while access to a personal vehicle is itself required for car use. The advantage of a longitudinal approach consists in the ability to distinguish between measures of heterogeneity and sensitivity, which can be shown not to be equivalent. For every given level of choice, the approach is based on an age-cohort-period-type analysis. Motorization rates happen to be more heterogeneous among women, a result which is likely to receive an interpretation either of a social or economic nature. According to the first interpretation, it should be regarded as the illustration of gender inequalities. However, it could also be regarded as reflecting the still-intermediary status of the second vehicle, which opportunity is assessed depending upon household’s specific needs and constraints. On the contrary, car use is at the same time higher and more heterogeneous among men, given the collective function of the first vehicle and household’s internal trade-offs in residential and job choices. Finally, average partial effects and elasticities are estimated from panel data models, either with respect to income, fuel prices or density. Generally, results are consistent with the descriptive part, as with the literature. The model also rationally gives account of the decreasing trend for elasticities, which was often noticed in the literature and reflects the approach of saturation. As a conclusion, an a posteriori evaluation of the assumption of a sequential decision process is made, confirming that choices of motorization and car use are mutually independent.

The dissertation suggests that geographical, institutional, religious and cultural links may be determinants of growth. We address a number of issues in this thesis. The starting point is naturally a study on growth, while the main focus is on the analysis of inequalities between countries with respect to their environment, and also on inequalities within countries.<p>The very first step of the study, presented in Chapter one, is to build such non-physical relations between countries. In this chapter, we present both the choices and methods used to model the institutional and cultural weights matrices. Chapter 1 also presents a comparative study between the different matrices built. The final aim of this chapter is to identify the differences between the geographical, institutional and cultural environment.<p>The following chapter incorporates these innovative new types of matrices in a study on growth. An externality growth model is therefore developed that takes proximities between entities into account, whether geographical, institutional or cultural. The purpose of the chapter is threefold. First, it compares the results obtained from spatial econometrics methods with classical regression, where observations of growth are considered as independent. Second, it examines whether the development of an externality model improves the quality of the estimation. Third, it investigates whether the institutional and cultural types of proximity make sense compared to the geographical one.<p>Chapter 3 narrows the analysis of countries’ dependency with regard to their neighborhood, whether geographical, institutional or religious, and a quintile regression approach allows us to check whether the countries' wealth level matters. Do the poorest countries react in the same way as richer ones regarding the wealth of their geographical, institutional and religious neighbors? The gross impact of neighboring wealth on a country’s wealth is then estimated, and some relative effects of the three matrices combined are also shown, as well as the robustness of the estimates.<p><p>Finally, Chapter 4 analyzes the dependence of poverty regarding neighborhood. The relative wealth and poverty of the neighborhood are examined as factors that can influence a country’s poverty level. The poverty index used is the proportion of people living on less than one or two dollars a day. The study only considers the developing countries as data for the developed countries on the proportion of this variable is near zero. Once again, the final aim is to check whether a country’s poverty is exacerbated by its geographical, institutional and religious neighborhood poverty or if it takes advantage of neighborhood wealth to manage its own poverty issues.<p> / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

L'objectif de cette thèse est d'évaluer la conduite des politiques macroprudentielles dans une union monétaire hétérogène, comme la zone euro, en s'appuyant sur les très récents développements théoriques et empiriques des modèles en équilibre général dynamique stochastique (DSGE) et de l'économétrie Bayésienne. Dans notre analyse, nous considérons deux faits majeurs caractérisant l'Eurosystème: la divergence des cycles économiques entre le cœur et la périphérie de la zone et l'intégration bancaire à l'origine de spillovers lors de la mise en œuvre de politiques macroprudentielles. Voici les résultats que nous tirons de nos expérimentations. D'abord, la mise en œuvre des mesures de politique macroprudentielle améliore le bien-être au niveau de l'union. Les gains de bien-être plus élevés sont observés lorsque les pays utilisent plusieurs instruments et lorsque la politique macroprudentielle est mise en œuvre de manière granulaire. Cependant, la conduite de la politique macroprudentielle n'est pas forcément bénéfique pour tous les pays participants: dans la plupart des cas, les pays périphériques sont gagnants tandis que les pays du cœur enregistrent des faibles gains de bien-être voire parfois des pertes. Dans nos simulations, nous constatons qu'il existe un équilibre favorisant le bien-être à la fois aux niveaux mondial et national pour tous les participants mais sa réalisation nécessite une intervention d'une autorité fédérale telle l'ESRB. Enfin, l'introduction de prêts transfrontaliers ouvre un nouveau canal de transmission international important qui tend à augmenter les gains de bien-être associées à des mesures macroprudentielles. Ignorer ces prêts bancaires transfrontaliers peut conduire à des résultats fallacieux dans le classement des différents plans d'instauration de la politique macroprudentielle. / The aim of this thesis is to evaluate the conduct of macroprudential policies in an heterogenous monetary union, such as the Eurozone, by borrowing on the very recent theoretical and empirical developments of Dynamic Stochastic General Equilibrium (DSGE) models and Bayesian econometrics. We account for two main patterns of the Eurosystem: the business cycles divergence between core and peripheral countries and the globalization of banking and its spillovers when implementing macroprudential policies. As a main result, the implementation of macroprudential policy measures improves welfare at the global level. The highest welfare gains are observed when countries use multiple instruments and when macroprudential policy is implemented in a granular fashion. However, the conduct of macroprudential policy is not a free lunch for participating countries: in most situations, peripheral countries are winners while core countries record either smaller welfare gains or even welfare losses. In many policy experiments, we find that there exists an equilibrium that combines welfare increases at both the global and national levels for all participants but its enforceability requires a federal action, thus justifying the existence of a coordination mechanism such as the ESRB in the Eurozone. Finally, the possibility of banks to engage in cross border lending introduces an important spillover channel that tends to increase the welfare gains associated to macroprudential measures. Ignoring this phenomenon may lead to fallacious results in terms of the welfare ranking of alternative implementation schemes.

In this thesis, I apply the sophisticated tools made available by the econometrics of panel data and treatment models to a range of different issues. In the first Chapter, an ECM model is used to test on the existence of financing constraints in firms’ investment and R&D, taken a proxy for the efficiency of market institutions and governance rules in different countries. In the second chapter we test an agency model linking pay-performance contracts of CEOS to the financial situation of a firm by using a UK panel data. In the third chapter I use a sophisticated treatment model to evaluate the effectiveness of Italian public subsidies to R&D. Finally, in the fourth chapter I try to evaluate the efficiency of Italian regional systems of public healthcare by controlling for socio-economic factors and quality of healthcare in a composite model using panel data estimation and efficient frontier techniques.<p>The first Chapter analyzes the investment behavior of a sample of R&D intensive firms which are quoted on the stock market from USA, UK and Japan for the period 1990-1998. By using an error correction model we test the elasticity of investment and R&D to cash flow in these countries to see by which measure different market institutions and corporate governance rules affects the cost of external financing. Contrary to previous studies, we find significant differences in the sensitivity to cash flow of the two types of investment, with R&D expenditure being much less sensitive than ordinary investment. This is not surprising given the more long-term nature of R&D expenditures. For what concerns the comparison between the different systems/countries, the USA stock markets confirms as the most efficient market providing outside financing at a much lower cost compared to other markets, especially for young, smaller firms.<p>The second Chapter is a joint work with Biagio Speciale. It uses the data on a panel of quoted UK firms over the period 1995–2002 to study the effects of financial leverage on managerial compensation. The change in the investors’ expectations that caused the recent collapse of the stock market tech bubble is a perfect example of natural experiment that has been used as a source of plausibly exogenous variation in the firm’s debt. The estimates show that pay-for-performance sensitivity is increasing in financial leverage, with the exception of the 10% most levered firms, giving rise at the end to a non-linear (inverted U-shape) relationship between the two variables. The chapter includes also a theoretical model accounting for this relationship where an higher leverage increases both the expected returns and the expected variance of investment returns: the first effect (determining increased pay-performance sensitivity) prevails for low leverage values and the second effect (determining decreased pay-performance sensitivity) prevails for high leverage values.<p>The third Chapter undertakes an empirical estimation of the additionality of public funding on both the propensity to initiate R&D activity and the intensity of R&D spending of Italian enterprises for the period 1998-2000, using data from the Third Community Innovation Survey and from firms' financial accounts. The chosen methodology (Endogenous Switching Type II-Tobit) takes into account the possibility that decisions about both starting an R&D activity (sample selection effect) and applying for/obtaining public funding (essential heterogeneity) are influenced by private knowledge of enterprises' idiosyncratic propensities in R&D spending. The present analysis shows that both these effects are indeed important and that they contribute to explain most of the additionality found with less sophisticated models.<p>The fourth Chapter investigates the underlying causes of variability of public health expenditure per capita (SSPC henceforth) between Italian regions. A fixed-effect panel data estimate on the SSPC (for the period 1997-2006) is used in the first part of the paper to account for regional differences in terms of physical, demographic, socio-economic characteristics and in terms of other variables that affect demand and supply of health services. In the second part, we take the ‘adjusted’ SSPC and proceed to estimate an "efficient production function" of the quality of health services through Data Envelopment Analysis. This procedure allows us to separate the share of expenditure used for the improvement of the quality from the one that can be traced only to an inefficient use of financial resources. A comparison of regional SSPC after factoring out the socio-economic factors and the quality of healthcare shows that big differences still remain and are even exacerbated, signalling big pockets of inefficiency and correspondingly a huge potential for cost savings. Finally, a preliminary analysis shows a positive correlation between the efficiency of regional public spending in healthcare and the level of social capital. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

In this thesis I apply modern econometric techniques on macroeconomic time series. Forecasting is here developed along several dimensions in the three chapters. The chapters are in principle self-contained. However, a common element is represented by the business cycle analysis. In the first paper, which primarily deals with the problem of forecasting euro area inflation in the short and medium run, we also compute the country-specific responses of a common business cycle shock. Both chapters 2 and 3 deal predominately with business cycle issues from two different perspectives. The former chapter analyses the business cycle as a dichotomous non-observable variable and addresses the issue of evaluating the euro area business cycle dating formulated by the CEPR committee, while the latter chapter studies the entire distribution of GDP growth. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished