Books
| 2009 | | Colmant B., R. Gillet et A. Szafarz, Efficience des marchés: Concepts, bulles spéculatives et image comptable, Bruxelles: Larcier. | |
| | | | | 2005 |   | Oosterlinck K. et A. Szafarz, Obligations souveraines: situation du marché, évaluation du risque-pays et gestion des défauts, Larcier (collection "Cahiers Financiers"), 93 p. |  |
| | | Les obligations souveraines sont les titres traités sur les marchés financiers qui représentent la dette des états. Après avoir exposé la situation du marché, cet ouvrage aborde les questions spécifiques posées par l'absence de possibilité de faillite des émetteurs souverains. Que se passe-t-il lorsqu'un pays ne rembourse pas ses créances internationales (défaut ou répudiation) ? Les prêteurs sont-ils rémunérés à hauteur du risque couru ? Comment le fonds Monétaire International (FMI) gère-t-il les crises de la dette des pays en développement ? L'analyse est située dans une perspective large qui permet de dégager les enseignements des épisodes, souvent traumatiques, qui ont émaillé l'histoire financière du monde. | | 2004 | | Dussart J., N. Joukoff, A. Loulit et A. Szafarz, Mathématiques appliquées à la gestion, Pearson Education France (Collection "Synthèse de cours et exercices corrigés"), 240 p. | |
| | | En huit chapitres de difficulté progressive, l’ouvrage présente les principaux outils mathématiques dont le gestionnaire a besoin (optimisation de fonctions, matrices, programmation linéaire). Les exercices proposés, issus de situations réelles, permettent de mettre en pratique les notions présentées et de s’autoévaluer. | | 2003 | | Colmant B., R. Gillet et A. Szafarz, Efficience des marchés: concepts, bulles spéculatives et image comptable, Larcier (collection "Cahiers Financiers"), 95 p. | |
| | | L'ouvrage est une initiation au domaine de l'efficience des marchés boursiers. Il présente des concepts et résultats au sujet de l'efficience informationnelle des marchés boursiers. Il analyse les bulles spéculatives en relation avec la théorie des marchés efficients et s'intéresse à l'adoption prochaine des normes IFRS en Europe.
| | 1997 | | Gouriéroux C., O. Scaillet et A. Szafarz,
Econométrie de la Finance: approches historiques, Economica, 347 p. | |
| | | | | 1991 | | Broze L. and A. Szafarz, The Econometric Analysis of Non-Uniqueness in Rational Expectations Models , North-Holland (collection "Contributions to Economic Analysis"), 234 p. | |
| | | This book is devoted to the econometric analysis of linear multivariate rational expectation models. It shows that the interpretation of multiplicity in terms of "new degrees of freedom" is consistent with a rigorous econometric reasoning. Non-uniqueness is the central theme of this book. Each chapter is concerned with a specific econometric aspect of rational expectations equilibria. The most constructive result lies in the possibility of an empirical determination of the equilibrium followed by the economy. | | 1990 | | Broze L., C. Gouriéroux and A. Szafarz, Reduced Forms of Rational Expectations Models, Harwood Academic Publishers (collection "Fundamentals of Pure and Applied Economics"), 120 p. | |
| | | | Papers in refereed journals
| 2009 | | De Scheemaekere X. and A. Szafarz, “The Special Status of Mathematical Probability: A Historical Sketch”, Epistemologia, 32, 1, 91-110. | |
| | | | | 2009 | | Sekkat K. and A. Szafarz, “Valuing Homeownership”, Journal of Real Estate Finance and Economics, DOI 10.1007/s11146-009-9212-0. | |
| | | | | 2008 | | Brière M. and A. Szafarz, "Crisis Robust Bond Portfolios", The Journal of Fixed Income, 18(2), Fall 2008. |  |
| | | This article defines a "crisis robust" portfolio that satisfies the minimal crisis-to-quiet time volatility ratio. This type of portfolio is less demanding for the investor than a regime-wise asset allocation. Although general, the concept of a crisis-robust portfolio is especially pertinent when applied to the bond market, which offers a flight-to-quality trade-off during crises (all volatilities increase but most correlations decrease). Using three categories of bonds (sovereign, investment-grade corporate, and high-yield corporate) in the U.S. and Eurozone for the 1998–2007 period, we demonstrate the composition of crisis-robust portfolios and discuss the stabilizing role played by low-quality bonds during crises.
| | 2008 | | Szafarz A., “An Alternative to Statistical Discrimination”, Economics Bulletin, 10, 5, 1-6. | |
| | | | | 2007 | | Chapelle A. and A. Szafarz, "Control consolidation with a threshold: An algorithm", IMA Journal of Management Mathematics, 18, 3, pp. 235-243. | |
| | | Control tunnelling over firms can be reached through pyramids, cross-ownership, and other complex features. This phenomenon is frequent in Europe and in Asia. However, the theoretical literature has not yet converged toward a well-defined and robust measurement of integrated control that takes into account the threshold for control as applied in practice. Based on graph theory, this paper aims at filling this gap and proposes a new algorithm for evaluating the control tunnelling exerted by the firms' ultimate shareholders. Then, the paper discusses the various forms of control existing next to voting shares, like multiple voting rights, board representation and active monitoring, before suggesting ways to include them into the modelling of control. | | 2007 | | Beine M. and A. Szafarz, Size matters: Central Bank Interventions on the Yen/Dollar Exchange Rate, Brussels Economic revieuw - Cahiers Economiques de Bruxelles. | |
| | | | | 2007 | | Farber A., R. Gillet and A. Szafarz, "A general formula for the WACC: A reply", International Journal of Business, 12, 3, pp. 405-411. | |
| | | | | 2007 | | Farber A., R. Gillet and A. Szafarz, "A general formula for the WACC", российское общество оценщиков, 3, pp. 37-41, (traduction en russe de l’article publié dans International Journal of Business en 2006). | |
| | | | | 2006 | | Farber A., R. Gillet and A. Szafarz, "A general formula for the WACC", International Journal of Business, 11, 2, pp. 211-218. | |
| | | Recent controversies testify that the tax shield valuation remains a hot topic in the financial literature. Basically, two methods have been proposed to incorporate the tax benefit of debt in the present value computation: The adjusted present value(APV), and the classical weighted average cost of capital (WACC). This note clarifies the relationship between these two apparently different approaches by offering a general formula for the WACC. This formula encompasses earlier results obtained by Modigliani and Miller (1963) and Harris and Pringle (1985). | | 2005 | | Chapelle A. and A. Szafarz, "Controlling firms through the majority voting rule", Physica A, 355, pp. 509-529. | |
| | | Pyramids, cross-ownership, rings and other complex features inducing control tunnelling are frequent in the European and Asian industrial world. Based on the matrix methodology, this paper offers a model for measuring integrated ownership and threshold-based control, applicable to any group of interrelated firms. In line with the theory on pyramidal control, the model avoids the double counting problem and sets the full-control threshold at the conservative - but incontestable - majority level of 50% of the voting shares. Any lower threshold leads to potential inconsistencies and leaves unexplained the observed high level of ownership of many dominant shareholders. Furthermore, the models leads to ultimate shareholders' control ratios consistent with the majority voting rule. Finally, it is applied to the Frère Group, a large European pyramidal holding company known for mastering control leverages. | | 2005 | | Biebuyck T., A. Chapelle and A. Szafarz, "Les leviers de contrôle des actionnaires majoritaires", Revue Gouvernance, 1, 2, pp. 52-70. | |
| | | La littérature académique en gouvernance d’entreprise étudie en particulier la séparation entre propriété et contrôle au sein de l’actionnariat des entreprises privées. Après avoir présenté les résultats relatifs au bénéfice privé de contrôle et leur impact potentiel sur les marchés financiers, cet article détaille et illustre les mécanismes par lesquels les actionnaires dominants peuvent accroître le contrôle d’une entreprise : structures pyramidales, participations croisées, actions à droits de vote multiples, etc. La quantification du niveau de contrôle au sein d’un empire industriel peut être obtenue à l’aide de diverses méthodes. Les développements récents en la matière sont résumés et l’application à des cas internationaux réels est discutée. | | 2004 | | R. Gillet et A. Szafarz, "Marchés financiers et anticipations rationnelles", Reflets et Perspectives de la vie économique, XLIII, 2, pp.7-17. | |
| | | | | 2003 | | Chapelle A., M.-P. Laurent et A. Szafarz, "L'effet de l'âge de l'investisseur sur le niveau de risque de son portefeuille", published in La Revue du Financier, 142, pp. 20-32, 2003. | |
| | | Cet article étudie le choix de portefeuille en fonction de l'âge de l’investisseur. Il propose ainsi un abord empirique du débat animé relatif à la pertinence de la diversification temporelle. Grâce à une base de données originale contenant plus de 6000 portefeuilles placés en gestion privée auprès d'une banque belge et ordonnés en 5 niveaux de risque, il montre que la prise de risque décroît de manière significative avec l'âge. La segmentation optimale des investisseurs selon leurs placements fait apparaître 3 classes dont les pivots se situent respectivement à 45 et 65 ans. Le rôle du conseil des banquiers dans la prise de décision est ensuite analysé. Il en ressort que le choix des investisseurs est le plus souvent guidé par les gestionnaires. Une part importante des résultats obtenus semble donc attribuable à la confiance affichée des praticiens vis-à-vis de la diversification temporelle. | | 2002 | | Preumont P.-Y., et A. Szafarz, "Les indices DJ Stoxx reflètent-ils le marché des actions européennes", Revue Bancaire et Financière, 1, pp. 63-71. | |
| | | | | 1999 | | Flôres R., P. Jorion, P.-Y. Preumont et A. Szafarz, "Multivariate Unit root Tests of the PPP Hypothesis", Journal of Empirical Finance, 6, 4, pp. 335-353. | |
| | | So far, most univariate tests of Purchasing Power Parity (PPP) have provided mixed support for PPP. In contrast, this paper focuses on a multivariate framework, which produces much stronger results. Unlike previous panel tests, however, we do not impose a common speed of mean reversion. The contribution of this paper is to show that the increased power of multivariate tests stems from high correlations across series, and not necessarily from imposing a common speed of mean reversion. We find strong evidence in favor of long-run PPP, which we show can be traced to the dollar vs. European currencies. | | 1998 | | Renault E., Kh. Sekkat and A. Szafarz, "Testing for Spurious Causality in Exchange Rates", Journal of Empirical Finance, 5, 1, pp. 47-66. | |
| | | In this paper, we distinguish between the 'true' and 'spurious' components of observed causalities. 'True' refers to the underlying continuous-time model while 'spurious' designates a term arising from the discretization of the model. We provide a test for making the difference between these two components, and thus testing for spurious causality. An application to exchange rates emphasizes the importance of the phenomenon. Indeed, it puts forward that the causalities observed at finite frequencies from the German mark to the Swiss franc are actually spurious. | | 1997 | | Flôres R. and A. Szafarz, "Testing the Information Structure of Eastern European Markets: The Warsaw Stock Exchange", Economics of Planning, 30, pp. 91-105. | |
| | | This paper investigates the content of the information set used by the agents in the Warsaw Stock Exchange - WSE. Three “candidate variables” are examined — consumers’ prices, the zloty/US$ exchange rate and the refinancing rate of the National Bank of Poland — with respect to three WSE stocks, from different sectors of the economy. The methodology employed supposes that the innovations in the price series are orthogonal to all variables within or outside the information set. Beyond the question of how to specify the agents expectations, the WSE trading rules and the high volatility period present in all monthly price series were additional problems to render it operational. Given the solutions adopted, in only three out of the nine cases tested, it was possible to reject the null that the candidate did not belong to the information set. This is a signal that macroeconomic fundamentals are still absent from the WSE. | | 1996 | | Flôres R. and A. Szafarz,"An enlarged definition of cointegration", Economics Letters, 50, 2, pp.193-196. | |
| | | A broader definition of cointegration is presented, allowing for different orders in the original process. As a result, different cointegration vectors may be generated from a given one. However, if the cointegrated process is stationary, then the standard ideas and methods may still apply. | | 1995 | | Adam M.-C., A Farber et A. Szafarz, "Volatilité des marchés financiers : chaos, irrationalité ou illusion d'optique ?", Gestion 2000, 5, pp. 161-176. | |
| | | | | 1995 | | Broze L., C. Gouriéroux et A. Szafarz, "Solutions of Multivariate Rational Expectations Models", Econometric Theory, 11, pp. 229-257.
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| | | The aim of this paper is the study of the path solutions of a multivariate rational expectations model. We describe several procedures for solving such dynamic systems based on either the adjoint operator method or the Smith form. As a by-product, we derive the dimension of the set of solutions in terms of martingale differences and the dimension of the set of linear stationary solutions when we restrict ourselves to the linear case. These dimensions are functions of the number of equations in the system, of the maximum lead, and of the orders of some eigenvalues of the characteristic equation associated with the system. | | 1995 | | Adam M.-C. et A. Szafarz, "Bulles spéculatives : de la théorie à la réalité", Revue de la Banque, 2, pp. 79-83. | |
| | | | | 1994 | | Flôres R., M. de B. Monteiro and A. Szafarz, "Exchange rate volatility in high-inflation economies: an econometric study of Poland and Brazil", Economics of Planning, 27, pp. 277-292. | |
| | | This paper analyses exchange rate series for Poland and Brazil. The Polish series, related to the period soon after the first liberalizing measures, presents a high volatility which is not accounted for by some selected lsquofundamentalsrsquo. The Brazilian series, though also keeping evidence of excessive volatility, is cointegrated with fundamentals similar to those of the Polish case. This raises the issue of a learning process taking place during persistent inflations. Unsuccessful one-shot stabilization plans can reinforce this process, leaving a lasting imprint in the excessive volatility pattern. The message seems clear, though maybe not easy to implement: agents take some time to learn to live in non-stable environments; to avoid this by one-shot measures — if unsuccessful — can have a very high cost and pre-empt future corrections. | | 1994 | | Flôres R. and A. Szafarz, "Efficient markets do not cointegrate", Cahiers du CERO, 36, pp. 143-151. | |
| | | | | 1994 | | Flôres R. and A. Szafarz, "Agents, Econometricians and the Identification of Conditional Systems", Revista de Econometria, 14, 1, pp. 71-87. | |
| | | | | 1992 | | Flôres R. and A. Szafarz, "Minimal Identification of Dynamic Rational Expectations Systems", Revista Brasileira de Economia, 46, 3, pp. 399-412. | |
| | | | | 1992 | | Adam M.-C. and A. Szafarz, "Speculative Bubbles and Financial Markets", Oxford Economic Papers, 44, 4, pp. 626-640. | |
| | | | | 1990 | | Roland G. and A. Szafarz, "The Ratchet Effect and the Planner's Expectations", European Economic Review, 34, 5, pp. 1079-1098. | |
| | | | | 1989 | | Adam M.-C. et A. Szafarz, "Crises boursières, bulles spéculatives et rationalité économique", Etudes Internationales, XX, 4, pp. 781-790. | |
| | | | | 1986 | | Broze L., C. Gouriéroux et A. Szafarz, "Bulles spéculatives et transmission d'information sur le marché d'un bien stockable", L'Actualité Economique, 62, pp. 166-183. | |
| | | | | 1985 | | Broze L. et A. Szafarz,"Forme réduite d'un modèle général à anticipations rationnelles", Cahiers du CERO, 27, pp. 175-205.
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| | | | | 1985 | | Broze L. et A. Szafarz, "Solutions des modèles linéaires à anticipations rationnelles", Annales de l'INSEE, 57, pp. 99-118. | |
| | | | | 1985 | | Szafarz A., "L'évolution du concept de Probabilité de Pascal à Laplace", Technologia, 8, 3, pp. 67-75, 1985. | |
| | | | | 1985 | | Broze L., C. Gouriéroux and A. Szafarz, "Solutions of Dynamic Linear Rational Expectations Models", Econometric Theory, 1, pp. 341-368. | |
| | | Linear rational expectations models generally have a large number of solutions. It is thus important to describe them exhaustively in order to study their properties and subsequently estimate which solution best fits the data. In this paper, a global approach is suggested allowing a simultaneous treatment of all possible cases. The fundamental concepts are the revision processes appearing in the procedure of updating expectations. It is found that the set of solutions is completely described by using a limited number of these processes. We show how the method may be applied to determine the set of stationary solutions admitting an infinite moving-average representation. We give a natural parametrization of this set and discuss the exact number of independent parameters. | | 1984 | | Szafarz A., "Richard von Mises : l'échec d'une axiomatique", Dialectica, 38, 4, pp. 311-317, 1984. | |
| | | L'A. analyse un épisode important dans l'évolution de la théorie des probabilités: la phase d'axiomatisation. La première approche de ce type fut proposée par Mises en 1919. Elle s'appuie sur le concept de "collectif". La probabilité y est définie comme la valeur-limite de la fréquence relative. La seconde appproche, élaborée en 1933 par Kolmogorov, s'inscrit dans la lignée des travaux de Borel d'inspiration purement analytique. Cette dernière axiomatique fut unanimement choisie tant par les théoriciens que par les empiristes. Après avoir présenté les divers arguments invoqués lors de la confrontation des deux théories, L'A. en propose une interprétation épistémologique. | | 1984 | | Broze L. and A. Szafarz, "On Linear Models with Rational Expectations which Admit a Unique solution", European Economic Review, 24, pp. 103-111. | |
| | | | | | | Bernal O., K. Oosterlinck, and A. Szafarz, “Observing bailout expectations during a total eclipse of the sun”, Journal of International Money and Finance, forthcoming. | |
| | | | | | | Vermorken M., A. Szafarz, and H. Pirotte, “Sector Classification through non-Gaussian Similarity”, Applied Financial Economics, 20, 861-878, 2010. | |
| | | | Papers in books
| 2005 | | Gillet R. et A . Szafarz, "L’efficience informationnelle des marchés. Une hypothèse, et au-delà?", Croyances, représentations collectives et conventions en finance, Economica (Collection "Recherche en gestion") édité par D. Bourghelle, O. Brandouy, R. Gillet et A. Orléan, pp.43-58. | |
| | | L'hypothèse d'efficience des marchés n'a pas toujours été (et n'est toujours pas) admise facilement par les praticiens de la finance dont la pertinence du conseil en placements se trouve menacée au profit de stratégies indicielles passives. La littérature académique s'est donc attelée à élaborer de très nombreux tests empiriques en ce domaine. Cet article resitue le débat à la lumière des bases théoriques en termes d'anticipations rationnelles. Plusieurs affirmations fréquemment entendues sur le sujet y sont commentées et les outils économétriques de la littérature empirique qui, depuis une quarantaine d'années ne cessent de d'évoluer, sont présentés. | | 1996 | | Adam M.-C., A. Farber, R. Flôres, C. Leclercq and A. Szafarz. "European R&D at the crossroads", Proceedings of the Fifth International Conference for Management of Technology , Edited by Robert M. Mason, Louis L. Lefebvre and Tarek M. Khalil, Elsevier, pp.767-768. | |
| | | | | 1993 | | Adam M.-C. and A. Szafarz, "Speculative Bubbles and Financial Markets", Financial Markets, Institutions and Policy , Edited by Anthony Courakis (reprint from Oxford Economic Papers), Oxford University Press. | |
| | | | | 1989 | | Broze L., C. Gouriéroux and A. Szafarz, "Speculative Bubbles and Exchange of Information on the Market of a Storable Good", Economic Complexity : Chaos, Sunspots, Bubbles, and Nonlinearity, Edited by William A. Barnett, John Geweke and Karl Shell, Cambridge University Press, pp. 101-118. | |
| | | | | 1987 | | Broze L. and A. Szafarz, "On Econometric Models with Rational Expectations", Advances in Econometrics, Fifth World Congress, Vol. I , Edited by Truman F. Bewley, Cambridge University Press, pp. 171-205.
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| | | | | 1984 | | Broze L., J. Janssen and A. Szafarz, "On Solutions of Linear Models with Rational Expectations", Alternative Approaches to Time Series Analysis, Proceedings of the 3rd Franco-Belgian Meeting of Statisticians , Edited by J.P. Florens, M. Mouchart and L. Simar, Publications des Facultés Universitaires Saint-Louis, pp. 211-217. | |
| | | | | | | Armendariz B. and A. Szafarz, “On Mission Drift in Microfinance Institutions”, in Armendariz B. and M. Labie (Eds.), The Handbook of Microfinance, Singapour: World Scientific Publishing, forthcoming. | |
| | | | Working papers
| 2010 | | Labie M., P.-G. Méon, R. Mersland and A. Szafarz, Discrimination by Microcredit Officers: Theory and Evidence on Disability in Uganda | |
| | | | | 2009 | | Szafarz A., How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong? | |
| | | | | 2009 | | Labie M., P-G. Méon and A. Szafarz, Discrimination in Microfinance: The Role of Credit Officers | |
| | | | | 2009 | | Armendariz B. and A. Szafarz, On Mission Drift In Microfinance Institutions | |
| | | | | 2009 | | Sekkat K. and A. Szafarz, Valuing Homeownership | |
| | | Housing tenure decision combines financial, economic and socio-psychological factors. This paper considers the global premium associated to homeownership. On the one hand, homeownership is associated to private benefits of being a landlord. On the other hand, overinvestment in housing is harmful to diversification and distorts portfolio management. This trade-off, similar to the one associated to corporate private benefits of control, is the cornerstone of our theoretical model. Furthermore, the empirical implementation of the model exhibits a homeownership premium for houses in the Brussels Region reaching at least 9% of the housing price. The findings are robust to several methodological refinements. | | 2008 | | De Scheemaekere X. and A. Szafarz, Inverting Bernoulli’s Theorem: The Original Sin | |
| | | This paper sheds a new light on the gap between a priori and a posteriori probabilities by concentrating on the evolution of the mathematical concept. It identifies the illegitimate use of Bernoulli’s law of large numbers as the probabilists’ original sin. The resulting confusion on the mathematical foundation for statistical inference was detrimental to Laplace’s definition of probability in terms of equi-possible outcomes as well as to von Mises’ frequentist approach. On the opposite, Kolmogorov’s analytical axiomatization of probability theory enables a priori and a posteriori probabilities to relate to each other without contradiction, allowing a consistent mathematical specification of the dual nature of probability. Therefore, only in Kolmorogorov’s formalism is statistical inference rigorously framed. | | 2008 | | Vermorken M., A. Szafarz and H. Pirotte, Sector Classification through non-Gaussian Similarity | |
| | | Standard sector classification frameworks present drawbacks that might hinder portfolio manager. This paper introduces a new non-parametric approach to equity classification. Returns are decomposed into their fundamental drivers through Independent Component Analysis (ICA). Stocks are then classified according to the relative importance of identified fundamental drivers for their returns. A method is developed permitting the quantification of these dependencies, using a similarity index. Hierarchical clustering allows for grouping the stocks into new classes. The resulting classes are compared with those from the 2-digit GICS system for U.S. blue chip companies. It is shown that specific relations between stocks are not captured by the GICS framework. The method is applied on two different samples and tested for robustness. | | 2008 | | Méon P-G. and A. Szafarz, Labour market discrimination as an agency cost | |
| | | This paper studies labour market discriminations as an agency problem. It sets up a principal-agent model of a firm, where the manager is a taste discriminator and has to make unobservable hiring decisions that determine the shareholder’s profits because workers differ in skills. The paper shows that performance-based contracts may moderate the manager’s propensity to discriminate, but that it is unlikely to fully eliminate discrimination. | | 2008 | | Bernal O., K. Oosterlinck and A. Szafarz, Observing bailout expectations during a total eclipse of the sun | |
| | | The literature has not reached a consensus yet regarding the existence of sovereign creditor moral hazard. Exploiting an exceptional historical example, this paper proposes an original method to address this issue. As sunspots which are observable only during a total eclipse of the sun, market-specific prices of repudiated bonds are observable only when extreme conditions (a war, in this instance) segment the markets. Such events are very rare but insightful as they allow for isolating pure country-specific bailout expectations. The paper shows that bailouts do create creditor moral hazard. Based on an impulse response analysis, the econometric results further emphasize the influence of bailout expectations in sovereign bonds valuation. | | 2008 | | De Scheemaekere X. and A. Szafarz, The Special Status of Mathematical Probability: A Historical Sketch. | |
| | | The history of the mathematical probability includes two phases: 1) From Pascal and Fermat to Laplace, the theory gained in application fields; 2) In the first half of the 20th Century, two competing axiomatic systems were respectively proposed by von Mises in 1919 and Kolmogorov in 1933. This paper places this historical sketch in the context of the philosophical complexity of the probability concept and explains the resounding success of Kolmogorov’s theory through its ability to avoid direct interpretation. Indeed, unlike experimental sciences, and despite its numerous applications, probability theory cannot be tested per se. Rather it relates to practical matters by means of transition hypotheses or bridging principles that match the structure of practical problems with abstract theory. In this respect probability theory has a very special status among scientific disciplines. | | 2008 | | Brière M., A. Chapelle and A. Szafarz, No contagion, only globalization and flight to quality | |
| | | In this article, tests for globalization and contagion are separated using an ex ante definition of crises, and contagion tests are neutralized with respect to globalization effects. A large database is constructed to study the stability of correlation matrices for four asset classes: equities, government bonds, and corporate bonds –investment grade and high yield – in four geographical zones. Overall, the results confirm the instability of correlations and point to a combination of globalization and flight to quality, while emphasizing that contagion on the equity markets appears as an artefact due to globalization. | | 2008 | | Bernal O., K. Oosterlinck and A. Szafarz, Observing bailout expectations during a total eclipse of the sun | |
| | | The history of the mathematical probability includes two phases: 1) From Pascal and Fermat to Laplace, the theory gained in application fields; 2) In the first half of the 20th Century, two competing axiomatic systems were respectively proposed by von Mises in 1919 and Kolmogorov in 1933. This paper places this historical sketch in the context of the philosophical complexity of the probability concept and explains the resounding success of Kolmogorov’s theory through its ability to avoid direct interpretation. Indeed, unlike experimental sciences, and despite its numerous applications, probability theory cannot be tested per se. Rather it relates to practical matters by means of transition hypotheses or bridging principles that match the structure of practical problems with abstract theory. In this respect probability theory has a very special status among scientific disciplines. | | 2007 | | Szafarz A., Hiring People-like-Yourself: A Representation of Discrimination on the Job Market | |
| | | This paper offers a new representation of discrimination on the job market based on the most recent findings in the socio-psychological academic literature about human behaviour. Put it simply, it is assumed that the agents prefer working with people like themselves. This "affinity" principle is modelled through a distance between an individual (the candidate for a job) and the staff of the firm. Contrary to the classical view according to which discrimination results from asymmetric information, this new model provides a rationale for the presence of discriminative attitudes on the job market even when full information is available on the skill levels of all candidates for a working position. | | 2006 | | Gillet R., R. Goffin, I. Nagot and A. Szafarz, Stratégies d'investissement en actions et fonds à capital garanti. | |
| | | Les fonds à capital garanti proposés par les institutions financières connaissent une grande popularité. Pourtant, ce type de placement peut souvent être mis en œuvre facilement par l’investisseur individuel à moindres frais via un recours direct aux marchés financiers. Sur base d'un cas simple, cet article détaille les diverses possibilités ainsi accessibles à l'investisseur et en compare les implications pratiques en terme de rentabilité et d'horizon de placement. Tout en intégrant les considérations stratégiques propres aux émetteurs, il vise à démystifier la "boîte noire" que constituent encore aux yeux de trop nombreux investisseurs les fonds à capital garanti et justifie toute l'attention accordée par les autorités de contrôle à la communication financière relative à ces produits. | | 2003 | | Beine M. and A. Szafarz, The Design of Effective Central Bank Interventions: the yen/dollar case. | |
| | | This paper explores the effects of the interventions of the Bank of Japan on the level and volatility of the yen/dollar exchange rate. A special attention is devoted to the prominent features affecting the signal conveyed by these interventions. The results show a clear duality: small unilateral interventions are counterproductive while large and isolated ones influence the foreign exchange market in the desired directions. It is also found that perverse effects are avoided through coordinated operations. | | 2002 | | Chapelle A. and A. Szafarz, Ownership and Control: Dissecting the Pyramid | |
| | | This paper presents a new multivariate test for the detection of unit roots. Use is made of the possible correlations between the disturbances of different series, and constrained and unconstrained SURE estimators are employed. The corresponding asymptotic distributions are obtained and a table with a few critical values, for the case of two series, is generated. Some simulations indicate that the procedure performs better than the existing alternatives. | | 1995 | | Flores R.G., P-Y. Preumont and A. Szafarz, Multivariate Unit Root Tests | |
| | | This paper presents a new multivariate test for the detection of unit roots. Use is made of the possible correlations between the disturbances of different series, and constrained and unconstrained SURE estimators are employed. The corresponding asymptotic distributions are obtained and a table with a few critical values, for the case of two series, is generated. Some simulations indicate that the procedure performs better than the existing alternatives. | Other papers
| 2008 | | 8 septembre 2008, Brière M., A. Chapelle and A. Szafarz, “Diversifier en temps de crise”, La Libre Belgique. | |
| | | | | 2008 | | March 2008, Brière M. and A. Szafarz, “Optimizing Bond Portfolios through the cycle of financial crises”, Global Pensions. | |
| | | | | 2008 | | 30 mai 2008, Méon P.-G. et A. Szafarz, “Discrimination en entreprise”, La Libre Belgique. | |
| | | | | 2006 | | 14 octobre 2006, "Entre souci de rentabilité et aide au développement", interview dans La Libre. | |
| | | | | 2005 | | 24 juin 2005, Baudewyns D., M.-P. Laurent et A. Szafarz, "Investir sur les marchés financiers ou dans l'immobilier locatif ?", l'Echo. | |
| | | | | 2004 | | 25 novembre 2004, Heirwegh J.-J., K. Oosterlinck et A. Szafarz, "Egaux face à la répudiation des emprunts russes ?", l'Echo. | |
| | | | | 2003 | | 24 octobre 2003, Colmant B. et Szafarz A., "Et si les bulles boursières étaient rationelles ?", l'Echo. | |
| | | | | 2003 | | novembre 2003, Colmant B et Szafarz A., "Les bulles boursières peuvent-elles être rationnelles ?", Le Mensuel d’AGEFI Luxembourg.
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| | | | | 2002 | | 6 juin 2002, Oosterlinck K. et Szafarz A., "La finance moderne et l'histoire: une nouvelle alliance", l'Echo. | |
| | | | | 2002 | | 15 novembre 2002, Szafarz A., "Gestion d’un portefeuille d’actions: la patience, mère de toutes les vertus ?", l'Echo. | |
| | | | | 2001 | | 27 novembre 2001, Preumont P.-Y. et Szafarz A., "Indices boursiers et benchmarking des fonds communs de placement", l'Echo. | |
| | | | | 1998 | | 16 septembre 1998, Szafarz A., "La Belgique, la Wallonie et les options", l'Echo. | |
| | | | | 1997 | | mars 1997, Adam M.-C. et Szafarz A., "D'où viennent les crashs boursiers ?", Demain le Monde. | |
| | | | | 1995 | | 15 novembre 1995, Farber A. et Szafarz A., "Le présent et l'avenir du "Philippe XVII"", l'Echo. | |
| | | | | 1994 | | 19 avril 1994, Farber A. et Szafarz A., "Les déterminants du prix du Philippe XII", l'Echo. | |
| | | | | 1994 | | 18 novembre 1994, Farber A. et Szafarz A., "Comment comparer les deux nouveaux "Philippe" ?", l'Echo. | |
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