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Credit Constraints and the Cyclicality of R&D Investment: Evidence from France.

Aghion, P.; Askenazy, P.; Berman, N.; Cette, G.; Eymard, L. - Banque de France - 2008

volatility in more credit constrained firms. …

Persistent link: https://www.econbiz.de/10008528504

Impact of research tax credit on R&D and innovation: evidence from the 2008 French reform.

Bozio, A.; Irac, D.; Py, L. - Banque de France - 2014

intensive margin and extensive margin, but a possible lower impact on innovation than could have been expected. …

Persistent link: https://www.econbiz.de/10011105998

The Growth-Volatility Relationship: New Evidence Based on Stochastic Volatility in Mean Models

Lemoine, M.; Mougin, C. - Banque de France - 2010

This paper models the relationship between growth and volatility for G7 economies in the time period 1960-2009. It … delivers for the first time estimates of this relationship based on a logarithm variant of stochastic volatility in mean (SV … show that output volatility has increased in all countries since the beginning of the financial crisis, which illustrates …

Persistent link: https://www.econbiz.de/10008511689

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

An arbitrage-free Nelson-Siegel term structure model with stochastic volatility for the determination of currency risk premia.

Mouabbi, S. - Banque de France - 2014

Arbitrage-Free class of dynamic Nelson-Siegel term structure models with stochastic volatility to obtain the domestic and …

Persistent link: https://www.econbiz.de/10011096780

In Defense of Early Warning Signals.

Bussière, M. - Banque de France - 2013

The 2008 financial crisis has rekindled interest in the issue of early warning signals (EWS) of financial distress. It has also triggered renewed interest in the literature on currency crises, with many countries, especially among emerging market economies, experiencing severe exchange market...

Persistent link: https://www.econbiz.de/10010815949

Optimal Exchange Rate Policy in a Growing Semi-Open Economy.

Bacchetta, P.; Benhima, K.; Kalantzis, Y. - Banque de France - 2013

In this paper, we consider an alternative perspective to China's exchange rate policy. We study a semi-open economy where the private sector has no access to international capital markets but the central bank has full access. Moreover, we assume limited financial development generating a large...

Persistent link: https://www.econbiz.de/10010815978

A Growth Perspective on Foreign Reserve Accumulation.

Cheng, G. - Banque de France - 2013

Based on a dynamic open-economy macroeconomic model, this paper aims at understanding the contribution of domestic financial underdevelopment to foreign reserve accumulation in some emerging market economies, especially in China. It is argued that foreign reserve accumulation is part and parcel...

Persistent link: https://www.econbiz.de/10010815992

Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral

Jondeau, E.; Rockinger, M. - Banque de France - 1998

assumes a jump-diffusion for the underlying process, and eventually Heston's approach assuming a stochastic volatility model …

Persistent link: https://www.econbiz.de/10005036193

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 analyzing such features, we build an early-warning system aimed at predicting looming crises in probabilistic terms.

Persistent link: https://www.econbiz.de/10005036195