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Estimating Gram-Charlier Expansions with Positivity Constraints.

Jondeau, E.; Rockinger, M. - Banque de France - 1999

Gram-Charlier expansion have become popular in Finance as a generalization over the normality assumption. Even though Gram-Charlier expansions allow for a certain flexibility over skewness and kurtosis they have the unfortunate drawback of sometimes yielding negative densities. The goal of this...

Persistent link: https://www.econbiz.de/10005487055

Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence.

Jondeau, E.; Rockinger, M. - Banque de France - 2000

Recent portfolio choice asset pricing and option valuation models highlight the importance of skewness and kurtosis. Since skewness and kurtosis are related to extreme variations they are also important for Value-at-Risk measurements. Our framework builds on a GARCH model with a condi-tional...

Persistent link: https://www.econbiz.de/10005487056

Leading Indicators of Currency Crises in Emerging Economies.

Burkart, O.; Coudert, V. - Banque de France - 2000

This study identifies common features of currency crises in 15 emerging countries over the period 1980-1998. By analyzinf such features, we build an early-warning system aimed at predicting looming crises in probabilistic terms.

Persistent link: https://www.econbiz.de/10005646659

Is There a Premium for Currencies Correlated with Volatility? Some Evidence from Risk Reversals.

Pages, H. - Banque de France - 1996

This paper uses daily exchange rates from the mark/franc, dollar/mark and dollar/yen markets in the period between November 2, 1994 and September 21, 1995, to examine the predictive content of two option-implied indicators on future spot rates.

Persistent link: https://www.econbiz.de/10005646666

Impulse Control Method and Exchange Rate.

Jeanblanc-Picque, M.; Avesani, R. - Banque de France - 1992

Persistent link: https://www.econbiz.de/10005671922

Optimal Price Setting During a Currency Changeover: Theory and Evidence from French Restaurants

Berardi, N.; Eife, T. A.; Gautier, E. - Banque de France - 2012

This paper studies firms' price-setting decision during a currency changeover. Buyers' difficulties with the new nominal price level create incentives to raise prices temporarily but doing so comes at the risk of damaging a seller's reputation in the long run. We model firms' trade-off and study...

Persistent link: https://www.econbiz.de/10010534896

Measuring the NAIRU: a complementary approach

De la Serve, M-E.; Lemoine, M. - Banque de France - 2011

assumption improves the fit of the inflation equation. Third, this assumption is necessary for getting an important reduction of …

Persistent link: https://www.econbiz.de/10009293540

Debt enforcement and the return on money

Rojas-Breu, M. - Banque de France - 2011

return on assets is determined by incentives eliciting voluntary debt repayment. I show that the inflation rate or, more …, money is used in equilibrium and the optimal inflation rate is positive. …

Persistent link: https://www.econbiz.de/10009320820

Financial Regulation in General Equilibrium

Goodhart, Ch. A. E.; Kashyap, A. K.; Tsomocos, D. P.; … - Banque de France - 2012

This paper explores how different types of financial regulation could combat many of the phenomena that were observed in the financial crisis of 2007 to 2009. The primary contribution is the introduction of a model that includes both a banking system and a “shadow banking system” that each...

Persistent link: https://www.econbiz.de/10010815967

The changing role of expectations in US monetary policy: A new look using the Livingston Survey

Banerjee, A.; Malik, S. - Banque de France - 2012

monetary policy in the United States, in particular its interaction with the formation of inflation expectations and the … linkages between monetary policy, inflation expectations and the behaviour of CPI inflation. We use Livingston Survey data for … expected inflation, measured at a bi-annual frequency, actual inflation, unemployment and a nominal interest rate to estimate …

Persistent link: https://www.econbiz.de/10010816004