Estimating a forward-looking monetary policy rule by the Generalized Method of Moments (GMM) has become a popular approach since the influential paper by Clarida, Gali, and Gertler (1998). However, an abundant econometric literature underlines the unappealing small-samples properties of GMM...

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...

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...

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...

This article analyzes the hysteresis hypothesis in the unemployment rates of the four French overseas regions (Guadeloupe, Martinique, Guyana, Reunion) [FORs] over the period 1993-2008. We use standard univariate and panel unit root tests, among them Choi (2006) and Lopez (2009) that account for...

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...

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.

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.

The entropy principle yields, for a given set moments, a density that involves the smallest amount of prior information. We first show how entropy densities may be constructed in a numerically efficient way as the minimization of a potential. Next, for the case where the first four moments are...