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Economics @CORE |
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The research in economics at CORE is quite diverse, but researchers share the view that any research, should it be applied or empirical, should be grounded on robust theoretical foundations. While general equilibrium and game theory were the dominating themes when CORE was founded, current research is mostly directed towards applications of theory to a broad variety of problems of market regulation and the organization of the public sector.
Industrial Organization
Faculty: Paul Belleflamme, Claude d'Aspremont, Jean Gabszewicz, Jacques Thisse
- Product differentiation: Monopolistic competition in general equilibrium. Applications to international trade and economic integration; Economic geography models
- R&D and innovation: Cooperation and competition in R&D; Inforamtional spilloveros in industrial districts; R&D and market structure; Globalization and R&D; Patenting and licensing; Piracy; Intellectual property rights dynamici efficiency
- Superstar firms: Mergers, cartels and endogenous coalition formation in industrial change; Mixed market structures
- Regulation of oligopolistic markets: Networks and public utilities; Natural oligopolies; Mixed oligopoly; Antitrust policy
- Regional policy: Competition and agglomeration; Trade and regional issues
- Geography, population and development
- Oligopoly theory: Aggregative games, price, quantity competition; Computation of equilibria for oligopolistic industries
- Multi-sided markets: Competition, regulation, platform strategies
Public Economics and Political Economy
Faculty: Jacques Drèze, Jean Hindriks, François Maniquet, Pierre Pestieau
- Optimal fiscal policies and limits to redistribution: International tax competition with mobile factors; Fiscal federalism; Fiscal integration and regional decentralization
- Static and dynamical effects of capital taxation
- Economics of social security and pension systems: Pay as-you-go schemes; Pensions in Belgium and Europe
- Public finance
- Voting behavior and party competition and hteir effects on various aspects of public policy
- Efficiency in the public sector: Methodological and applied issues in the measurement of performance; Incentives for public firms and services
- Fertility and education
- Moral hazard in health insurance
- Bargaining over public goods provision
Environmental Economics
Faculty: Henry Tulkens
- Transfrontier pollution and international negociations
- Theory and simulation of economico-ecological models
- Choice of economic instruments in environmental policy
- Endogenous coalition formation and application of cooperative game theory to climate change policy negotiation
- Cost-benefit analysis
- Environmental externalities
Welfare Economics and Social Choice Theory
Faculty: Claude d'Aspremont, François Maniquet
- Mechanism design: Incentives in collective decision-making; Design of economic and political institutions
- Foundations of utilitarianism
- Axiomatics of llocation mechanisms
- Intergenerational equity
- Collective household models
- Foundations of well-being measurement
- Poverty economics
General Equilibrium
- Multiplicity of equilibria; Temporary equilibria; Nominal rigidities
- Market incompleteness; Stock market and expectations
- Production efficiency; Efficient factors' productivity
- Endogenous longevity; Endogenous population and human capital
Game Theory
Faculty: Pierre Dehez, Vincent Vannetelbosch
- Cooperative games: Shapley value and the core (theory and applications)
- Game-theoretic modeling of network formation; Learning and networks; Diffusion through networks; Networked markets; Networks and cooperative games
- Bargaining Matching: Coalition formation and cooperative games
- Equilibrium refinaments and selection; Games of incomplete information; Dynamic and stochastic games
- Algorithmic game theory and their economic applications; Behavioral game theory and their experiments
- Market incompleteness; Stock market and expectations
- Production efficiency; Efficient factors' productivity
- Endogenous longevity; Endogenous population and human capital
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Econometrics @CORE |
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Following upon the work at the Cowles commission in the late forties on simultaneous equations systems (intended to represent the macroeconomic system as a set of equations to be used for policy scenario analyses), CORE contribution in the late sixties was in introducing Bayesian estimation of such systems. This brought in flexibility by allowing for the inclusion of prior knowledge about the economic structure.
The Bayesian tradition has been kept alive in the research at CORE, including in financial econometrics as mentioned below. The failure of simultaneous equation systems to take into account the occurrence of structural changes, such as those resulting from the first oil shock in 1974, led to question the exogeneity status of certain variables for statistical inference. The CORE team contributed to this debate with the much quoted concepts of weak and strong exogeneity.
Financial econometrics became an active area of research at CORE after 1990. Topics dealt with have included the microstructure of financial markets and volatility models. Each topic has required the development of new models and econometric tools. For microstructure, dynamic duration, count, and intensity models are complementary approaches to model the dynamics of the trading processes of securities on stock markets. Empirical evidence has been shed on the issue of whether fully electronic markets based on order books are viable in periods of stress.
The quick expansion of semiparametric and nonparametric methods in the eighties led to new issues in structural econometrics. Our team is also contributing to this growing topic, with a particular focus on identification and inference in conditional models of high or infinite dimension.
Current Research Areas and People
Financial Econometrics
Faculty: Luc Bauwens, Sophie Béreau, Christian Hafner, Leonardo Iania, Mikaël Petitjean
Ph.D. Students: Younes El Hicou, Floris Laly
- ARCH models: development of Markov-switching and change-point models, to take account of changing levels of the volatility of financial markets
- Realized volatility: robust measures, separation of continuous and jump components. Link between news and jumps.
- Models for realized covariance matrices in large dimension
- Modeling the investment behavior of private equity and venture capital funds
- Applications to risk measurement, option pricing, portfolio allocation in financial assets, energy markets...
Time Series Econometrics
Faculty: Luc Bauwens, Christian Hafner, Sébastien Van Bellegem, Francesca Monti, Shin-Huei (Cindy) Wang
- Local stationarity and structural breaks
- Multi and High dimensional time series, factor models
- Multiscale (wavelet based) models and inference
- Forecasting: The impact of structural break on forecasting methods
- Forecasting long memory processes through autoregressive models
Complex Data Analysis and Stochastic Models
Faculty: Sébastien Van Bellegem, Zhengyuan Gao, Sophie Béreau, Marinho Bertanha, Ernesto San Martin
Ph.D. Students: Gautier Attanasi, Leila Van Keirsbilck, Mathieu Sauvenier , Martial Toniotti
- High dimensional and functional models
- Network and spatial analysis
- Identification and inference in donditional models
- Treatment effects
- Resampling methods
Bayesian Methods
Faculty: Luc Bauwens, Francesca Monti, Zhengyuan Gao, Ernesto San Martin
- MCMC algorithms for dynamic models featuring path dependence
- Use of Bayesian inference to account for model uncertainty and structural breaks in time series analysis and forecasting