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The “housing bubble” and financial factors: Insights from a structural model of the French and Spanish residential markets.

Antipa, P.; Lecat, R. - Banque de France - 2009

Over the last decade, France and Spain have experienced property price and residential investment increases which were …

Persistent link: https://www.econbiz.de/10008503204

Assessing the losses in euro area potential productivity due to the financial crisis.

Chouard, V.; Fuentes Castro, D.; Irac, D.; Lemoine, M. - Banque de France - 2013

In this paper, we show that the recent financial crisis has significantly affected the potential total factor productivity (TFP) of the four largest euro area economies, as well as that of the rest of the euro area. We used a reduced-form equation of TFP, based on an approach recently developed...

Persistent link: https://www.econbiz.de/10010815948

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

&D investment over total investment is countercyclical without credit constraints, but it becomes more procyclical as firms face …; (iii) in more credit constrained firms, R&D investment share plummets during recessions but does not increase … proportionally during upturns; (iv) average R&D investment and productivity growth are more negatively correlated with sales …

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

A Pitfall with DSGE-Based, Estimated, Government Spending Multipliers

Fève, P.; Matheron, J.; Sahuc, J.G. - Banque de France - 2012

This paper examines issues related to the estimation of the government spending multiplier (GSM) in a Dynamic Stochastic General Equilibrium context. We stress a potential source of bias in the GSM arising from the combination of Edgeworth complementarity/substitutability between private...

Persistent link: https://www.econbiz.de/10010544322

Common business and housing market cycles in the Euro area from a multivariate decomposition.

Ferrara, L.; Koopman, S J. - Banque de France - 2010

The 2007 sub-prime crisis in the United States, prolonged by a severe economic recession spread over many countries around the world, has led many economic researchers to focus on the recent fluctuations in housing prices and their relationships with macroeconomics and monetary policies. The...

Persistent link: https://www.econbiz.de/10008503197

Minimum Distance Estimation and Testing of DSGE Models from Structural VARs

Fève, P.; Matheron, J.; Sahuc, J-G. - Banque de France - 2009

The aim of this paper is to complement the MDE--SVAR approach when the weighting matrix is not optimal. In empirical studies, this choice is motivated by stochastic singularity or collinearity problems associated with the covariance matrix of Impulse Response Functions. Consequently, the...

Persistent link: https://www.econbiz.de/10008479239

Deux indicateurs probabilistes de retournement cyclique pour l’économie française.

Adanero-Donderis, M.; Darné, O.; Ferrara, L. - Banque de France - 2007

This paper proposes two new coincident probabilistic cyclical indicators developed by the Bank of France in order to follow, on a monthly basis, the French economic activity. The first one is an indicator which aims at detecting the turning points of the acceleration cycle while the second one...

Persistent link: https://www.econbiz.de/10004998816

DSGE Models in a Data-Rich Environment.

Boivin, J.; Giannoni, M. - Banque de France - 2007

Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption that economic variables are properly measured by a single indicator, and that all relevant information for the estimation is summarized by a small number of data series. However,...

Persistent link: https://www.econbiz.de/10004998848

Les marchés financiers anticipent-ils les retournements conjoncturels?

Bellone, B.; Gautier, E.; Le Coent, S. - Banque de France - 2005

This article aims at estimating leading indicators of the American economy with financial variables. We use two types of hidden Markov chains models, a quantitative one (Krolzig (1997)) and a qualitative one (Gregoir and Lenglart (2000)). These models provide a robust and reliable framework to...

Persistent link: https://www.econbiz.de/10005056509

A Time-Varying Natural Rate for the Euro Area

Mésonnier, J-S.; Renne, J-P. - Banque de France - 2004

In this article we estimate a time-varying " natural " rate of interest (TVNRI) for a synthetic euro area over the period 1979Q1-2002Q4 using a small backward-looking macroeconomic model, broadly following a methodology developed by Laubach and Williams (2003) for the United States. The Kalman...

Persistent link: https://www.econbiz.de/10005056544

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