Narrow search
Showing 1 - 10 of 89
Cover Image
Modelling the French Swap Spread.
Avouyi-Dovi, S.; Jondeau, E. - Banque de France - 1999
hand, questioning the role of default credit risk in valuing the swap contract, we show that the swap rate can be expressed … as a function of corporate bond rate and default risk indicators; the empirical analysis indicates some elements of …
Persistent link: https://www.econbiz.de/10005036177
Cover Image
Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates
Bruneau, C.; Jondeau, E. - Banque de France - 1998
In this paper we give a precise definition of long-run causality in a multivariate non-stationary, possibly cointegrated, framework. A variable is said to be causal for another in the long-run if knwoledge of the past of the former improves long-run predictions of the latter. In a VAR framework,...
Persistent link: https://www.econbiz.de/10005036190
Cover Image
Modelling the French Swap Spread.
Avouyi-Dovi, S.; Jondeau, E. - Banque de France - 1999
role of default credit risk in valuing the swap contract, we show that the swap rate can be expressed as a function of …
Persistent link: https://www.econbiz.de/10005671911
Cover Image
Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates
Bruneau, C.; Jondeau, E. - Banque de France - 1998
In this paper we give a precise definition of long-run causality in a multivariate non-stationary, possibly cointegrated, framework. A variable is said to be causal for another in the long-run if knwoledge of the past of the former improves long-run predictions of the latter. In a VAR framework,...
Persistent link: https://www.econbiz.de/10005671915
Cover Image
Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets
Borgy, V.; Laubach, T.; Mésonnier, J-S.; Renne, J-P. - Banque de France - 2011
expected default probabilities and thereby spreads towards Germany, assumed to be free of default risk. The pricing factors are … through both heightened compensations for default risk and increases in risk premia. We also present perceived probabilities …
Persistent link: https://www.econbiz.de/10009367415
Cover Image
La modelisation de la volatilite des bourses asiatiques.
Avouyi-Dovi, S.; Jondeau, E. - Banque de France - 1999
En nous inspirant des travaux portant sur les marches boursiers des pays industrialisés, nous analysons la volatilite des rendements boursiers d'Asie du Sud-Est à partir de la méthodologie ARCH. Notre objectif consiste à mettre en évidence les spécificités des marchés boursiers du...
Persistent link: https://www.econbiz.de/10005036201
Cover Image
La modelisation de la volatilite des bourses asiatiques.
Avouyi-Dovi, S.; Jondeau, E. - Banque de France - 1999
En nous inspirant des travaux portant sur les marches boursiers des pays industrialises, nous analysons la volatilite des rendements boursiers d'Asie du Sud-Est a partir de la methodologie ARCH. Notre objectif consiste a mettre en evidence les specificites des marches boursiers du Sud-Est...
Persistent link: https://www.econbiz.de/10005646663
Cover Image
Test simultané de la non-stationnarité et de la non-linéarité : une application au taux d.intérêt réel américain.
Million, N. - Banque de France - 2008
In this article, we analyze the US short term real interest rate series for the last five decades in the framework of a M-SETAR model (Momentum - Self Exciting Threshold Auto-Regressive). With the aim of disentangling the non-linearity from the non-stationarity cases, we use threshold...
Persistent link: https://www.econbiz.de/10008528500
Cover Image
Assessing Aggregate Comovements in France, Germany and Italy. Using a Non Stationary Factor Model of the Euro Area.
De Bandt. O.; Bruneau, C.; Flageollet, B. - Banque de France - 2006
The objective of the paper is to investigate to what extent business cycles co-move in Germany, France and Italy. We use a large-scale database of non-stationary series for the euro area in order to assess the effect of common versus idiosyncratic shocks, as well as transitory versus permanent...
Persistent link: https://www.econbiz.de/10004998840
Cover Image
The Breaks in per Capita Productivity Trends in a Number of Industrial Countries
Maury, P-M.; Pluyaud, B. - Banque de France - 2004
The purpose of this article is to study the trends in per capita productivity in several major industrialised countries. The analysis is first based on annual data over a long period spanning the entire 20th century for the United States, France and the United Kingdom. Productivity trends are...
Persistent link: https://www.econbiz.de/10005056503