Thomas Porcher

A regime-switching model to evaluate bonds in a quadratic term structure of interest rates

In this article, we consider a discrete-time economy in which we assume that the short-term interest rate follows a quadratic term structure in a regime-switching asset process. The possible nonlinear structure and the fact that the interest rate can have different economic or financial trends justify regime-switching quadratic term structure model. Indeed, this regime-switching process depends on the values of a Markov chain with a time-dependent transition probability matrix which can capture the different states (regimes) of the economy. We prove that under this model, the conditional zero-coupon bond price admits a quadratic term structure. Moreover, the stochastic coefficients which appear in this decomposition satisfy an explicit system of coupled stochastic backward recursions.

The determinants of margins in French retail gasoline markets

When studying oligopolies, a tension exists between models supporting tacit collusion and those supporting the noncollusive behaviour of firms. Using a panel on retail fuel margins in France over more than 20 years, we find mitigated evidence of collusive behaviour in the retail gasoline industry. On the one hand, we find lower margins when demand is expected to increase in the next period, which is a standard prediction for the noncooperative models. On the other hand, we also find evidence of tacit collusion as margins respond to input cost changes in the manner that the tacit collusion models predict: margins decline when the expected marginal cost increases. Our results leave open the question of collusion in the retail gasoline market.

Correlation evidence in the dynamics of agricultural commodity prices

The article studies the correlation structures of a large panel of agricultural commodities prices between January 1990 and February 2014. We use a various collection of mathematical and statistical methodologies (estimated correlation matrix and principal component analysis) to capture these correlations. Our results show that there exist different degrees of correlation between commodities. We also demonstrate, through data mining analysis, that there are hidden correlations between some commodities. Indeed, some commodities’ price behaviours are very similar in trend. Our results contribute to a better understanding of agricultural prices’ behaviours by producers, investors and market intermediaries. The results contribute to a more efficient strategic asset allocation process within agricultural markets.

Fuel taxes and consumer behaviour: a Markov-switching approach

Fuel taxes can be employed to correct externalities associated with automobile use and raise government revenue. The general understanding of the efficacy of existing taxes is largely based on empirical analyses of consumer responses to fuel price changes. In this paper, we directly examine how fuel taxes, as distinct from tax-exclusive fuel prices, affect fuel demand. To do so, we use a Markov-switching approach on monthly observations of French fuel prices from 1983 to 2013. Our analysis reveals that consumers respond significantly faster to increases in fuels taxes than to increases in taxexclusive fuel prices. This result raises questions about our understanding of the efficacy of existing fuel taxes and of the optimal tax to achieve the various goals for which they are implemented.

Jumps and volatility dynamics in agricultural commodity spot prices

ABSTRACT The spot commodities market exhibits both extreme volatility and price spikes, which lead to heavy-tailed distributions of price change and autocorrelation. This article uses various Lévy jump models to capture these features in a panel of agricultural commodities observed between January 1990 and February 2014. The results show that Levy jump models outperform the continuous Gaussian model. Our results prove that assuming a constant volatility or even a deterministic volatility and drift structure of agricultural commodity spot prices is not realistic and is less efficient than the stochastic assumption. The findings demonstrate an interesting correlation between volatility and jumps for a given commodity i, but no relationship between the volatility of commodity i and the probability of jumps of commodity j.

RSE, parties prenantes et événements rares : le cas de deux marées noires

Dans cet article, nous utilisons le cadre de la theorie des parties prenantes pour analyser et confronter la strategie RSE de deux entreprises petrolieres qui font face a des marees noires. La reussite dans la gestion de l’evenement rare depend autant du dialogue avec les parties prenantes que du cadre reglementaire dans lequel evolue l’entreprise. Nous en deduisons des elements de strategie RSE pour les entreprises et des voies de reforme de la regulation de l’environnement.