Sophie Larribeau

Models of exchange rate expectations : how much heterogeneity ?

In this paper we use a unique disaggregate expectations data base to model the expectations formation of around 40 leading foreign exchange forecasters/dealers. Panel estimators are used to increase the power of the tests and to study various types of heterogeneities across forecasters. We find that both model heterogeneities and coefficient heterogeneities are important across individual forecasters, although the latter seem to be reduced at the 12-month compared with the 3-month horizon.

Le commerce électronique en France: un essai de mesure sur le marché des CD

[fre] Le commerce electronique en France: un essai de mesure sur le marche des CD En France, le commerce electronique connait un fort developpement depuis 1999, meme si les volumes de transaction restent encore modestes. Au-dela de ce succes relatif, la vente sur Internet suscite de nombreuses questions. Quelles sont les specificites du commerce electronique par rapport au commerce traditionnel? Les marches sur Internet sont-ils plus concurrentiels que les marches physiques? Afin de mieux comprendre les strategies des vendeurs en ligne de disques, les prix d’un panel de CD ont ete recueillis de mai a octobre 2000 aupres des principaux «cyberdisquaires» francais. Les prix des CD sur Internet apparaissent en moyenne inferieurs de plus de 7 % aux prix en magasin, cette difference etant plus sensible sur les CD etrangers (12 % d’ecart) que sur les CD francais (moins de 2 % d’ecart). Pour chacun des CD apparait une forte dispersion des prix entre les cyberdisquaires, ainsi qu’une volatilite des prix importante sur la periode etudiee. Les sites les plus connus (ayant fait l’objet de campagnes publicitaires) pratiquent des prix plus eleves que les sites de moindre notoriete et procedent aussi a des changements de prix de plus grande ampleur. Les analyses econometriques permettent de reveler des phenomenes de cycles dans les decisions de prix (alternance de hausses et de baisses de prix) et l’existence d’interactions strategiques entre les cyberdisquaires. Toutefois, l’anciennete des CD reduit ces deux phenomenes et conduit a une stabilite des prix. De plus, les cyberdisquaires pratiquent moins de baisses de prix sur les CD francais que sur les CD etrangers. [eng] E-Commerce in France: a Test Measurement of the CD Market E-commerce has boomed in France since 1999, albeit with still modest transaction volumes. Yet despite this relative success, the issue of selling on the Internet begs numerous questions. How does e-commerce differ from traditional trade? Are Internet market (This abstract was borrowed from another version of this item.)

Sobolev Estimation of Approximate Regressions

This paper focuses on the estimation of an approximated function and its derivatives. Let us assume that the data-generating process can be described by a family of regression models null, where a is a multi-index of differentiation such that D α null(x i ) is the αth derivative of null( x ) with respect to x i . The estimated model is characterized by a family D α f(X i |θ), where D α f(X i |θ) is the αth derivative of f(x i ,|θ) and θ is an unknown parameter. The model is in general misspecified; that is, there is no θ such that D α f(X i |6) is equal to D α null(X i ). Three different problems are discussed. First, the asymptotic behavior of the seemingly unrelated regression estimator of θ is shown to achieve the best approximation, in the Sobolev norm sense, of null by an element of (f(X i |θ)|θ e Θ). Second, in the case of polynomial approximations, the expected derivatives of the limit of the estimated regression and of the true regression are proved to be equal if and only if the set of explanatory variables has a normal distribution. Third, different sets of α are introduced, and the different limits of estimated regressions characterized by these sets are proved to be equal if and only if the explanatory variables have a normal distribution. This result leads to a specification test.

Bayesian Encompassing Tests of a Unit Root Hypothesis

The object of this paper is to report, for a simple testing problem of a unit root hypothesis, some experience regarding the numerical problems involved by using a Bayesian encompassing test, i.e., a Bayesian procedure that treats the null and the alternative hypotheses as different models, the null one and the alternative one, that share a same sample space but with different parameter spaces. Numerical procedures and efficient simulations are discussed briefly, and the numerical results so obtained are used to evaluate the meaning of the prior specification and of the empirical evidence about a unit root inference.

Network Effects, Customer Satisfaction and Recommendation on the Mobile Phone Market

On mobile phone markets that have reached the maturity stage, customer recommendation becomes a critical focus for operators to attract subscribers from rival operators. Referral propensity is also an indicator of subscriber satisfaction and loyalty. The aim of this paper is to examine the factors that influence customer recommendation. Precisely, we want to know whether referral propensity is more driven by supply-side effects (i.e. characteristics of mobile services) or demand-side effects (i.e. network effects). We use data from French subscriber surveys. The main findings are that referrals depend primarily on supply-side effects: operators’ brand image, the price and quality of services, and customer relations. Price, however, is considered to be a less significant factor than the quality of service when it comes to recommending an operator. Also, information on services and the variety of offerings available, as well as network effects, do not seem to influence referral propensity.

Strategies and Price Competition on the Internet

French E-commerce sales have tremendously grown these last two years, even if the estimated amount of transaction is still marginal. Beyond this relative success, E-commerce raises many questions. Are electronic markets more competitive than traditional markets? How can we explain price dispersion on Internet? This paper deals with the pricing strategies of on-line retailers. For this purpose, we have collected data about CD prices on Internet during June and July 2001. This data set enables us to establish that online prices are strongly dispersed and rather volatile. Then we develop a repeated game model to analyze behaviors of CD retailers. Hence we prove that the probability of price collusion should increase with the age of a CD and decrease with its popularity. In other words, a collusion between CD retailers is more likely when the demand for a CD declines. This hypothesis is not rejected by econometric regressions on price level and price dispersion. These results give evidence of a relaxed competition on the older and less popular CD records.