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Showing results 21 to 30 of 30
  Commodities Inventory EffectCarpantier, Jean-Francois  ; E-print/Working paper (2013) Does commodity price volatility increase when inventories are low? We are the first ones to document this relationship. To that aim, we estimate asymmetric volatility models for a large set of commodities ... [more ▼] Does commodity price volatility increase when inventories are low? We are the first ones to document this relationship. To that aim, we estimate asymmetric volatility models for a large set of commodities over 1994-2011. Since inventories are hard to measure, especially for high frequency data, we use positive return shocks as a new original proxy for inventories and find that asymmetric GARCH models reveal a significant inventory effect for many commodities. The results look robust. They hold if we allow the unconditional variance to vary over time and if we relax the parametric form. [less ▲] Detailed reference viewed: 229 (1 UL)Empirical Welfare Analysis - When Preferences MatterCarpantier, Jean-Francois ; E-print/Working paper (2013) Fleurbaey and Maniquet have proposed the criteria of conditional equality and of egalitarian equivalence to assess the equity among individuals in an ordinal setting. Empirical applications are rare and ... [more ▼] Fleurbaey and Maniquet have proposed the criteria of conditional equality and of egalitarian equivalence to assess the equity among individuals in an ordinal setting. Empirical applications are rare and only partially consistent with their framework. We propose a new empirical approach that relies on individual preferences, is consistent with the ordinal criteria and enables to compare them with the cardinal criteria. We estimate a utility function that incorporates individual heterogeneous preferences, obtain ordinal measures of well-being and apply conditional equality and egalitarian equivalence. We then propose two cardinal measures of well-being, that are comparable with the ordinal model, to compute Roemer’s and Van de gaer’s criteria. Finally we compare the characteristics of the worst-off displayed by each criterion. We apply this model to a sample of US micro data and obtain that about 18% of the worst-off are not common to all criteria. [less ▲] Detailed reference viewed: 106 (2 UL)Real exchanges rates, commodities prices and structural factors in developing countriesCarpantier, Jean-Francois ; ; E-print/Working paper (2013) This paper provides new empirical evidence about the relationship that may exist between real exchange rates and commodity prices in developing countries that are specialized in the export of a main ... [more ▼] This paper provides new empirical evidence about the relationship that may exist between real exchange rates and commodity prices in developing countries that are specialized in the export of a main primary commodity. It investigates how structural factors like the exchange rate regime, the degree of financial and trade openness, the degree of export concentration and the type of the commodity exports affect the strength of the commodity price-real exchange rate dependence. [less ▲] Detailed reference viewed: 80 (5 UL)Real Exchange Rates, Commodity Prices and Structural Factors in Developing CountriesCarpantier, Jean-Francois ; ; E-print/Working paper (2013) Detailed reference viewed: 31 (3 UL)Empirical Essays on Commodity PricesCarpantier, Jean-Francois Doctoral thesis (2012) Detailed reference viewed: 49 (4 UL)Real Exchange Rates and SkillsCarpantier, Jean-Francois Scientific Conference (2012) Detailed reference viewed: 82 (2 UL)Real Exchange Rates, Commodity Prices and Structural Factors in Developing CountriesCarpantier, Jean-Francois Poster (2012) Detailed reference viewed: 25 (0 UL)Real Exchange Rates, Commodity Prices and Structural Factors in Developing CountriesCarpantier, Jean-Francois Presentation (2012) Detailed reference viewed: 19 (0 UL)Commodities Inventory EffectCarpantier, Jean-Francois Poster (2012) Detailed reference viewed: 20 (0 UL)  Real Exchanges Rates in Commodity Producing Countries: A ReappraisalCarpantier, Jean-Francois ; ; in Journal of International Money and Finance (2012), 31(6), 1482-1502 Detailed reference viewed: 83 (4 UL)
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