The dissertation employs laboratory experimental methodology to study decision-making when people face trade-offs between ethical and economic values. More explicitly, the three chapters investigate 1) consumer behaviour when a substantially equivalent version of a product is more expensive because it was produced without child labour, 2) the interaction between an expert advisor and an ignorant decision-maker, when the former may gain from lying and the latter has to decide whether or not to trust in the advice, and 3) fairness in divisions of an economic gain between two people who were both involved in creating the gain, but only one of them provided real effort. Here, a focus is on the impact of power structure, i.e. who decides, on divisions and fairness judgments. All studies discuss implications of experimental behaviour for market and business domains. In addition, the thesis emphasizes ethical theories as complementary to normative benchmark from economic and psychological theory. / La tesis utiliza una metodología experimental para investigar las decisiones de los individuos cuando hay un conflicto entre valores éticos y económicos. Mas específicamente, los tres capítulos investigan sobre 1) el comportamiento del consumidor cuando se enfrenta a dos versiones de un mismo producto, siendo una de ellas más cara por ser producida sin trabajo infantil, 2) la interacción entre un agente experto y un agente desinformado que debe tomar una decisión confiando o no en el consejo del experto, el cuál puede mentir para ganar más dinero, y 3) el reparto justo de una ganancia económica entre dos personas de las cuales sólo una ha contribuido trabajando en un ejercicio. Este último estudio se centra en el impacto de la estructura de poder, es decir quién decide, en el reparto y en los juicios de que es lo justo. Los estudios analizan las implicaciones del comportamiento experimental sobre los mercados y las empresas. Además, la tesis propone teorías éticas para complementar las teorías económicas y psicológicas.

The thesis consists of four chapters. The introductory chapter clarifies different notions of rationality used by economists and gives a summary of the remainder of the thesis. Chapter 2 proposes an explanation for the common empirical observation of the coexistence of infrequently-changing regular price ceilings and promotion-like price patterns. The results derive from enriching an otherwise standard, albeit stylized, general equilibrium model with two elements. First, the consumer-producer interaction is modeled in the spirit of the price dispersion literature, by introducing oligopolistic markets, consumer search costs and heterogeneity. Second, consumers are assumed to be boundedly-rational: In order to incorporate new information about the general price level, they have to incur a small cognitive cost. The decision whether to re-optimize or act according to the obsolete knowledge about prices is itself a result of optimization. It is shown that in this economy, individual retail prices are capped below the monopoly price, but are otherwise flexible. Moreover, they have the following three properties: 1) An individual price has a positive probability of being equal to the ceiling. 2) Prices have a tendency to fall below the ceiling and then be reset back to the cap value. 3) The ceiling remains constant for extended time intervals even when the mean rate of inflation is positive. Properties 1) and 2) can be associated with promotions and properties 1) and 3) imply the emergence of nominal price rigidity. The results do not rely on any type of direct costs of price adjustment. Instead, price stickiness derives from frictions on the consumers’ side of the market, in line with the results of several managerial surveys. It is shown that the developed theory, compared to the classic menu costs-based approach, does better in matching the stylized facts about the reaction of individual prices to inflation. In terms of quantitative assessment, the model, when calibrated to realistic parameter values, produces median price ceiling durations that match values reported in empirical studies.<p><p>The starting point of the essay in Chapter 3 is the observation that the baseline New-Keynesian model, which relies solely on the notion of infrequent price adjustment, cannot account for the observed degree of inflation sluggishness. Therefore, it is a common practice among macro- modelers to introduce an ad hoc additional source of persistence to their models, by assuming that price setters, when adjusting a price of their product, do not set it equal to its unobserved individual optimal level, but instead catch up with the optimal price only gradually. In the paper, a model of incomplete adjustment is built which allows for explicitly testing whether price-setters adjust to the shocks to the unobserved optimal price only gradually and, if so, measure the speed of the catching up process. According to the author, a similar test has not been performed before. It is found that new prices do not generally match their estimated optimal level. However, only in some sectors, e.g. for some industrial goods and services, prices adjust to this level gradually, which should add to the aggregate inflation sluggishness. In other sectors, particularly food, price-setters seem to overreact to shocks, with new prices overshooting the optimal level. These sectors are likely to contribute to decreasing the aggregate inflation sluggishness. Overall, these findings are consistent with the view that price-setters are boundedly-rational. However, they do not provide clear-cut support for the existence of an additional source of inflation persistence due to gradual individual price adjustment. Instead, they suggest that general equilibrium macroeconomic models may need to include at least two types of production sectors, characterized by a contrasting behavior of price-setters. An additional finding stemming from this work is that the idiosyncratic component of the optimal individual price is well approximated by a random walk. This is in line with the assumptions maintained in most of the theoretical literature. <p><p>Chapter 4 of the thesis has been co-authored by Julia Lendvai. In this paper a full-fledged production economy model with Kahneman and Tversky’s Prospect Theory features is constructed. The agents’ objective function is assumed to be a weighted sum of the usual utility over consumption and leisure and the utility over relative changes of agents’ wealth. It is also assumed that agents are loss-averse: They are more sensitive to wealth losses than to gains. Apart from the changes in the utility, the model is set-up in a standard Real Business Cycle framework. The authors study prices of stocks and risk-free bonds in this economy. Their work shows that under plausible parameterizations of the objective function, the model is able to explain a wide set of unconditional asset return moments, including the mean return on risk-free bonds, equity premium and the Sharpe Ratio. When the degree of loss aversion in the model is additionally assumed to be state-dependent, the model also produces countercyclical risk premia. This helps it match an array of conditional moments and in particular the predictability pattern of stock returns. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

Thesis focus on derivation of macro-finance model for analysis of yield curve and its dynamics using macroeconomic factors. Underlying model is based on basic Dynamic Stochastic General Equilibrium DSGE approach that stems from Real Business Cycle theory and New Keynesian Macroeconomics. The model includes four main building blocks: households, firms, government and central bank. Log-linearized solution of the model serves as an input for derivation of yield curve and its main determinants -- pricing kernel, price of risk and affine term structure of interest rates -- based on no-arbitrage assumption. The Thesis shows a possible way of consistent derivation of structural macro-finance model, with reasonable computational burden that allows for time varying term premia. A simple VAR model, widely used in macro-finance literature, serves as a benchmark. The paper also presents a brief comparison and shows an ability of both models to fit an average yield curve observed from the data. Lastly, the importance of term structure analysis is demonstrated using case of Central Bank deciding about policy rate and Government conducting debt management.

Les stratégies de volatilité ont connu un rapide essor suite à la crise financière de 2008. Or, les récentes performances catastrophiques de ces instruments indiciels ont remis en question leurs contributions en couverture de portefeuille. Mes travaux de thèse visent à repenser, réinventer la philosophie des stratégies de volatilité. Au travers d'une analyse empirique préliminaire reposant sur la théorie de l'utilité espérée, le chapitre 1 dresse le diagnostic des stratégies traditionnelles de volatilité basées sur la couverture de long-terme par la réplication passive de la volatilité implicite. Il montre que, bien que ce type de couverture bat la couverture traditionnelle, elle s'avère inappropriée pour des investisseurs peu averses au risque.Le chapitre 2 ouvre la voie à une nouvelle génération de stratégies de volatilité, actives, optionnelles et basées sur l'investissement factoriel. En effet, notre décomposition analytique et empirique du smile de volatilité implicite en primes de risque implicites, distinctes et investissables permet de monétiser de manière active le portage de risques d'ordres supérieurs. Ces primes de risques mesurent l'écart de valorisation entre les distributions neutres au risque et les distributions physiques.Enfin, le chapitre 3 compare notre approche investissement factoriel avec les stratégies de volatilité employées par les hedge funds. Notre essai montre que nos stratégies de primes de risque d'assurance sont des déterminants importants dans la performance des hedge funds, tant en analyse temporelle que cross-sectionnelle. Ainsi, nous mettons en évidence dans quelle mesure l'alpha provient en réalité de la vente de stratégies d'assurance contre le risque extrême. / Volatility strategies have flourished since the Great Financial Crisis in 2008. Nevertheless, the recent catastrophic performance of such exchange-traded products has put into question their contributions for portfolio hedging and diversification. My thesis work aims to rethink and reinvent the philosophy of volatility strategies.From a preliminary empirical study based on the expected utility theory, Chapter 1 makes a diagnostic of traditional volatility strategies, based on buy-and-hold investments and passive replication of implied volatility. It exhibits that, although such portfolio hedging significantly outperforms traditional hedging, it appears strongly inappropriate for risk-loving investors.Chapter 2 paves the way for a new generation of volatility strategies, active, option-based and factor-based investing. Indeed, our both analytical and empirical decomposition of implied volatility smiles into a combination of implied risk premia, distinct and tradeable, enables to harvest actively the compensation for bearing higher-order risks. These insurance risk premia measure the pricing discrepanciesbetween the risk-neutral and the physical probability distributions.Finally, Chapter 3 compares our factor-based investing approach to the strategies usually employed in the hedge fund universe. Our essay clearly evidences that our tail risk premia strategies are incremental determinants in the hedge fund performance, in both the time-series and the cross-section of returns. Hence, we exhibit to what extent hedge fund alpha actually arises from selling crash insurance strategies against tail risks.