Thierry Kamionka

Timing of Orders, Order Aggressiveness and the Order Book at the Paris Bourse

We offer a statistical model of the order flow and estimate it using high frequency data from the Paris Bourse. Our model jointly explains the duration between two consecutive orders and the relative aggressiveness of the orders, depending upon the past ordes and the state of the book. Our results offer evidence of information and liquidity effects, as put forward by market microstructure theories.

Un modéle markovien du marché du travail

This paper contains estimations of transition intensities between states characterizing the individual situation on the French labor market over the period 1986-1988. These states are: non-participation, unemployment, unstable jobs and stable jobs. The estimation methods allow to derive intensities of a time-homogeneous markovian process in continuous-time from discrete time panel data observations. The estimation of transition intensities permits to obtain some particularly important information for the analysis of labor mobility, i.e. the mean duration of sojourn in each state, the stationary distribution of the process and the mean number of recurrences over a given period of time.

Assessing the External Validity of an Experimental Wage Subsidy

In Canada, a policy aiming at helping single parents on social assistance become self-reliant was implemented on an experimental basis. The Self-Sufficiency Entry Effects Demonstration randomly selected a sample of 4,134 single parents who had applied for welfare between January 1994 and March 1995. It turned out only 3,315 took part in the experiment despite a 50% chance of receiving a generous, time-limited, earnings supplement conditional on finding a full-time job and leaving income assistance within a year. The purpose of this paper is to determine whether a non-response rate of 20% is likely to harm the external validity of the experiment. We compare the estimated impact of the program using experimental data only to that obtained using additional data on individuals not taking part in the experiment. We find strong evidence of non-response bias in the data. When we correct for the bias, we find that estimates that rely on experimental data only significantly underestimate the true impact of the program.

Modélisation dynamique de la participation au marché du travail des femmes en couple.

We consider a dynamic model for the participation decision to the labour market of the women who live in couple. We estimate a dynamic probit model with random effects using the french part of the Europanel, for the period going from 1994 to 2001 and using a simulated maximum likehood estimator. These estimates are made on a monthly and an annual basis taking into account the initial conditions problem. The decision of participation of the women who live in couple depends on the individual characteristics and is characterized by a significant state dependence. The unobserved components of heterogeneity play a central role in the dynamics of the participation to the labour market. This unobserved heterogeneity reflect differences in the preferences relative to the arbitrage between consumption and leisure. We find that the error terms of the model are negatively correlated. Moreover, we show the importance of the permanent income component in the participation decision.

The Impact of Government-Sponsored Training Programs on the Labor Market Transitions of Disadvantaged Men

The analysis focuses on an examination of the impact of government-sponsored training programs aimed at disadvantaged male youths on their labour market transitions. The richness of the data at our disposal allows us to recreate very detailed individual histories over a relatively long period (nine years). As many as seven distinct states on the labour are be identified in the data. We use a continuous time duration model to estimate the density of duration times in these seven states, controlling for the endogeneity of an individuals training status. We investigate the sensitivity of the parameter estimates by comparing a typical non-parametric specification with a series of parametric two-factor loading models, as well as a parametric three-factor loading model. Our results show that young, poorly educated males who participate in welfare training programs do far worse on the labour market than those who do not participate. Participation in the Job Re-Entry Program (JRP), a distinct welfare training programs, yields better results in terms of employment. Our estimates clearly indicate that participants in JRP and those in welfare training programs are distinct groups.