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This thesis proposes an analysis of food price stabilisation policies in poor countries. In order to represent the conditions in these countries, we introduce in a rational expectations storage model the assumption that consumers cannot insure against price risk and are risk averse. The market incompleteness justifies public intervention and various stabilisation policies are analysed. An optimal storage policy implies a storage level higher than without intervention. This additional storage crowds out private storers by removing the profit opportunity from speculation. Since the use of complex intervention rules is unlikely in poor countries, we compare state-contingent optimal food storage policies, with and without commitment, to simple storage rules such as a constant private storage subsidy or a price-band defended by public storage. The ability of government to commit to a policy rule brings additional welfare gains in comparison with a discretionary policy. These gains stem from the possibility of manipulating producers' expectations and, thus, of inducing them to promote stabilisation. Simple stabilisation rules can achieve, when designed optimally, gains closed to those of state-contingent policies. Finally, the analysis of stabilisation policies is extended to an open economy framework in which the stabilisation instruments are trade and storage policies. An optimal storage policy alone fails to protect consumers, since most additional storage is actually used to serve the world market. In contrast, an optimal trade policy strongly decreases price volatility by exploiting the world market.; Cette thèse propose une analyse des politiques de stabilisation des prix alimentaires dans les pays pauvres. Afin de représenter la situation dans ces pays, nous considérons dans un modèle de stockage à anticipations rationnelles que les consommateurs ne peuvent pas s'assurer contre le risque prix et qu'ils sont averses au risque. L'incomplétude de marché justifie l'intervention publique et des politiques optimales de stabilisation sont analysées. Une politique optimale de stockage publique implique une augmentation du niveau de stockage. Ce stockage additionnel entraîne l'évincement de tous les stockeurs privés en supprimant les opportunités de profit spéculatif. L'usage de règles complexes d'intervention publique étant peu probable dans des pays pauvres, nous comparons des politiques optimales de stockage alimentaire à des règles simples comme une subvention au stockage privé ou une bande de prix défendue par du stockage public. L'engagement du gouvernement entraîne des gains de bien-être par rapport à une politique discrétionnaire liés à la possibilité de manipuler les anticipations des producteurs et donc de les induire à stabiliser les prix. Les règles simples de stabilisation permettent d'obtenir des gains proches de ceux obtenus avec des politiques optimales. Dans un cadre d'économie ouverte, les instruments de stabilisation sont la politique commerciale et le stockage. Une politique de stockage non accompagnée d'une politique commerciale ne profite pas aux consommateurs, car les bénéfices de la stabilisation se dissipent sur le marché mondial. Au contraire, une politique commerciale optimale permet d'augmenter la stabilisation en exploitant le marché mondial.

For a large class of vanilla contingent claims, we establish an explicit Föllmer-Schweizer decomposition when the underlying is a process with independent increments (PII) and an exponential of a PII process. This allows to provide an efficient algorithm for solving the mean variance hedging problem. Applications to models derived from the electricity market are performed.; La thèse porte sur une décomposition explicite de Föllmer-Schweizer d'une classe importante d'actifs conditionnels lorsque le cours du sous-jacent est un processus à accroissements indépendants ou une exponentielle de tels processus. Ceci permet de mettre en oeuvre un algorithme efficace pour établir des stratégies optimales dans le cadre de la couverture quadratique. Ces résultats ont été implémentés dans le cas du marché de l'électricité.

In this paper, we provide a characterization of interim inefficiency in stochastic economies of overlapping generations under possibly sequentially incomplete markets. With respect to the established body of results in the literature, we remove the hypothesis of two-period horizons, by considering longer, though uniformly bounded, horizons for generations. The characterization exploits a suitably Modified Cass Criterion, grounded on the long-run behavior of compounded safe interest rates and independent of the length of horizons of generations. Thus, the hypothesis of two-period horizons is purely heuristic in establishing a criterion for inefficiency. In addition, for sequentially incomplete markets, we adopt a suitable notion of unambiguous inefficiency, separating the inefficient intertemporal allocation of resources from incomplete risk-sharing. Unambiguous inefficiency reduces to inefficiency when markets are sequentially complete.

Motivated by the observation that exchange-rate management resembles market making, we use microstructure theory in order to conduct a welfare analysis of exchange-rate management, including the "corner solutions" of a free float and a fixed peg. We show that a policy that smoothes out exchange-rate fluctuations needs to trade off the welfare gain due to lower risk exposure of local producers against the trading losses that the policy would generate owing to speculation. We identify the conditions under which exchange-rate management can increase welfare and argue that these conditions are more likely to be satisfied in illiquid markets, mainly small economies and emerging markets. We also explore the role of a Tobin tax (assuming enforceability) in facilitating exchange-rate management.

Rethinking crop risk management through insurance. Farmers make their production decisions in an environment characterized by multiple uncertainty. Protective activities do not always provide an efficient protection against weather-related causes of loss. Agricultural revenues are all the more exposed to uncertain losses as the specialization of agricultural production has reduced the opportunities of risk pooling. Insurance contributes to transferring these risks through individuals who are best to bear them. Nevertheless, historical experience strongly suggests that markets for crop insurance would fail without government financial support, which is either direct by creating an indemnification fund for agricultural disasters like in France or indirect by reinsuring private companies like in the United States. In recent years, numerous studies have showed that informational asymmetries and systemic risk are the main obstacles to the development of an independent crop insurance industry. In addition, the emergence of new sources of risks, like output price uncertainty, may contribute to increasing the variability of agricultural revenues. The purpose of this paper is twofold. First, alternative crop insurance programs in which the indemnity payments are based on variables exogenous to the individual farm and are observable by both parties are explored. These schemes allow the insurers to essentially eliminate asymmetric information problems. Nevertheless, the absence of risk pooling among insurance companies caused by the systemic component of agricultural risks leaves open the possibility that financial markets develop new hedging tools for insurance industry. Second, since governments lower funding for price support programs, the efficiency of crop insurance schemes to stabilize crop revenues lowers. Therefore, the role of revenue insurance as an efficient tool to protect farmers against reductions in gross income from insurable reductions in yield and/ or price is examined. Since the French indemnification program against agricultural disasters turns out to be less and less efficient in this changing economic environment, a new definition of the insurance market's role and the active participation of the financial market should improve the management of agricultural risks., Cet article examine les causes d'incapacité des compagnies d'assurance à proposer des garanties contre les risques sur récoltes répondant aux besoins des agriculteurs sans une intervention financière des pouvoirs publics. Deux raisons principales à cela : l'existence d'asymétries d'information et la corrélation des rendements individuels. L'efficacité des contrats d'assurance multirisque des rendements sur récoltes s'avère limitée lorsque les agriculteurs font aussi face à des prix incertains. L'assurance « revenu », qui garantit une recette minimum, apparaît alors comme une alternative prometteuse. Une redéfinition du rôle de l'assurance et des marchés financiers dans la gestion des risques agricoles devrait permettre de repousser les limites de leur assurabilité., Mahul Olivier. Vers une redéfinition du rôle de l'assurance agricole dans la gestion des risques sur récoltes. In: Cahiers d'Economie et sociologie rurales, N°49, 4e trimestre 1998. pp. 33-58.

Farmers make their production decisions in an environment characterized by multiple uncertainty. Protective activities do not always provide an efficient protection against weather-related causes of loss. Agricultural revenues are all the more exposed to uncertain losses as the specialization of agricultural production has reduced the opportunities of risk pooling. Insurance contributes to transferring these risks through individuals who are best to bear them. Nevertheless, historical experience strongly suggests that markets for crop insurance would fail without government financial support, which is either direct by creating an indemnification fund for agricultural disasters like in France or indirect by reinsuring private companies like in the United States. In recent years, numerous studies have showed that informational asymmetries and systemic risk are the main obstacles to the development of an independent crop insurance industry. In addition, the emergence of new sources of risks, like output price uncertainty, may contribute to increasing the variability of agricultural revenues. The purpose of this paper is twofold. First, alternative crop insurance programs in which the indemnity payments are based on variables exogenous to the individual farm and are observable by both parties are explored. These schemes allow the insurers to essentially eliminate asymmetric information problems. Nevertheless, the absence of risk pooling among insurance companies caused by the systemic component of agricultural risks leaves open the possibility that financial markets develop new hedging tools for insurance industry. Second, since governments lower funding for price support programs, the efficiency of crop insurance schemes to stabilize crop revenues lowers. Therefore, the role of revenue insurance as an efficient tool to protect farmers against reductions in gross income from insurable reductions in yield and/or price is examined. Since the French indemnification program against agricultural disasters turns out to be less and less efficient in this changing economic environment, a new definition of the insurance market’s role and the active participation of the financial market should improve the management of agricultural risks.

Power and the market. This paper shows how the new microeconomics and the economics of uncertainty, which use widely the concepts of incomplete contracts and markets, can only account for a very small part of power. To this model, we oppose conflict and violence notions, such as are found in the work of François Perroux. Finally, it is shown that power appears with a radical uncertainty, to which asymmetry and indivisible collective phenomena can be associated., Cet article montre comment la nouvelle microéconomie et l'économie de l'incertain ne saisissent, à travers les notions de contrats et marchés incomplets, d'autorité et de hiérarchie, qu'une petite partie des phénomènes de pouvoir. On leur oppose les notions de conflit, de violence, et d'inégalité exprimées, notamment, par François Perroux. On démontre enfin que le pouvoir apparaît avec de l'incertain radical, auquel on associe des phénomènes d'asymétrie, les notions de loi et de collectif irréductible., El podery el mercado. La nueva microeconomia y la economia de lo incierto sólo aprehenden, a través de las nociones de contratos y mercados incompletos, de autoridad y de jerarquia, unos pocos fenómenos de poder. En sentido contrario, se proponen aqui las nociones de conflicto, de violencia y de desigualdad, expresadas, entre otros, por François Perroux. Y se demuestra que el poder aparece con lo incierto radical, con lo que hay que asociar fenómenos de asimetria, las nociones de ley y de irreductible fenómeno colectivo., Dupuy Yves, Maris Bernard. Le pouvoir et le marché. In: Sciences de la société, n°38, 1996. Pouvoir et dynamique des organisations (1). Etat des lieux et des savoirs. pp. 7-22.