Daria ONORI

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Risk-based investment strategies such as Minimum Variance, Maximum Diversification, Equal Risk Contribution, Risk Parity, etc. share the common feature of being based on a risk measure, typically the covariance matrix of the asset returns. When one comes to implement these strategies, the usual approach consists in using an unconditional covariance matrix, simply estimated by the sample covariance matrix of past returns over a rolling window. An alternative consists in using a conditional covariance matrix computed from a multivariate GARCH-type model and which depends on information available to date. In this paper, we propose the first unifying and systematic comparison framework for the unconditional and conditional risk-based investment strategies. We compare their out-of-sample performances in terms of risk, returns and turnover (trading volume) with 4 criteria across 3 empirical datasets. Our results show that conditional risk-based strategies do not improve the out-of-sample Sharpe ratios as well as the ex-post risk, but logically increase the turnover.

We analyze the consequences of external debt collaterals on the optimal growth path of a country. We develop a small open economy model of endogenous growth where public spending can be financed by borrowing on imperfect international financial markets, where the country's borrowing capacity is limited. In contrast to the existing literature, which assumes that debt is constrained by the stock of capital, we investigate the consequences of gross domestic product (GDP)-based collaterals. First, we demonstrate that the economy may converge in a finite time, which is determined endogenously, to the regime with binding collaterals. Second, in such regime the steady-state public expenditures-to-GDP ratio is greater than that of the existing literature's models. Finally, we show that the degree of financial openness rises welfare if the collateral constraint is nonbinding and reduces welfare if the constraint binds. The first effect prevails always over the second and total intertemporal welfare increases.

We analyse the influence of financial openness on the level of aggregate consumption, a research question that has been left surprisingly unexplored by the previous literature. We construct a complete and balanced panel data set of 88 countries for the period 1980–2010, and then differentiate between four groups of countries. Models for non-stationary heterogeneous panels, as well as panel threshold regression models, are used to estimate the determinants of aggregate consumption. The core finding of the paper is that the financial openness effect on consumption changes in the course of economic development, with the level or per capita income acting as a threshold which is consistently estimated within the model. The openness effect is non-homogeneous across groups, stronger for low levels of per capita income and diminishes as income rises. These findings provide new insights into the welfare effect of financial liberalization.

Résumé non disponible.

We analyze the influence of financial openness on the level of aggregate consumption. We construct a complete and balanced panel dataset of 88 countries for the period 1980-2010, and then differentiate between four groups of countries. Models for non stationary heterogeneous panels, as well as panel threshold regression models, are used to estimate the determinants of aggregate consumption. The core finding of the paper is that the financial openness effect on consumption changes in the course of economic development, with the level or per capita income acting as a threshold which is consistently estimated within the model. The openness effect is non homogeneous across groups, stronger for low levels of per capita income, and diminishes as income rises, providing novel insights about the welfare effect of financial liberalization.

This paper analyzes the consequences of external debt collaterals on the optimal growth path of a country. To this end we develop a small open economy model of endogenous growth where public spending can be financed by borrowing on imperfect international financial markets, where the country's borrowing capacity is limited. In contrast to the existing literature, which assumes that debt is constrained by the stock of capital, we investigate the consequences and policy implications of GDP-based collaterals. First, we show that the economy may converge in a finite time to the regime with binding collateral constraint. Second, in such regime the steady state public expenditures-to-GDP ratio is greater than that of the existing literature's models. Finally, if the economy is not sufficiently developed, in financial and economic terms, the country will stay in autarky forever.

We analyse the influence of financial openness on the level aggregate consumption. We construct a complete and balanced panel dataset of 88 countries for the period 1980-2010, and then differentiate between four groups of countries. Models for non stationary heterogeneous panels, as well as panel threshold regression models, are used to estimate the determinants of aggregate consumption. The core finding of the paper is that the financial openness effect on consumption changes in the course of economic development, with the level or per capita income acting as a threshold which is consistently estimated within the model. The openness effect is non homogeneous across groups, stronger for low levels of per capita income, and diminishes as income rises, providing novel insights about the welfare effect of financial liberalization.