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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 … mode de formation de la volatilite. On établit ainsi une base commune de comparaison entre les marchés des pays …
Persistent link: https://www.econbiz.de/10005036201
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La mesure du ratio rendement-risque a partir du marche des euro-devises.
Jondeau, E. - Banque de France - 1999
'euro-mark et l'euro-franc, de 1975 a 1997. Nous testons la relation entre l'exces de rendement de portage et la volatilite a partir …
Persistent link: https://www.econbiz.de/10005646657
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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
This paper develops an arbitrage-free affine term structure model of potentially defaultable sovereign bonds to model a cross-section of eight euro area government bond yield curves since January 1999. The existence of a common monetary policy under European Monetary Union determines the short...
Persistent link: https://www.econbiz.de/10009367415
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L'influence des montants emis sur le taux des certificats de depots.
Rosenwald, F. - Banque de France - 1996
les conditions de financement des banques contribuent a expliquer leur comportement et en particulier les modifications de leur offre de pret a la suite de differents chocs. Dans cet article nous utilisons des donnees sur les emissions de certificats de depots francais pour etudier la...
Persistent link: https://www.econbiz.de/10005646658
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Le marche des certificats de depots: ecarts de taux a l'emission : l'influence de la relation emetteurs-souscripteurs initaux.
martin, C.; Rosenwald, F. - Banque de France - 1996
Apres une description rapide des caracteristiques respectives des echantillons de certificats de depot, cette note examine successivement les comportements selon les differents types d'emetteurs et de souscripteurs, et les consequences de ces distinctions sur les arbitrages operes sur le marche...
Persistent link: https://www.econbiz.de/10005781185
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Stock exchanges industry consolidation and shock transmission.
Idier, J. - Banque de France - 2006
Stock exchange industry consolidation is at work since many years and has recently accelerated through competition for order flows, agreements and mergers. However, consolidation may not mean that all shocks are transmitted to every place. Therefore, following Forbes and Rigobon (2002) we...
Persistent link: https://www.econbiz.de/10005082520
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How do anticipated changes to short-term market rates influence banks' retail interest rates? Evidence from the four major euro area economies
Banerjee, A.; Bystrov, V.; Mizen, P. - Banque de France - 2012
In this paper we argue that banks anticipate short-term market rates when setting interest rates on loans and deposits. In order to include anticipated rates in an empirical model, we use two methods to forecast market rates - a level, slope, curvature model and a principal components model -...
Persistent link: https://www.econbiz.de/10009651277
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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
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Short Note on the Unemployment Rate of the French Overseas Regions
Hoarau, J-F.; Lopez, C.; Paul, M. - Banque de France - 2011
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...
Persistent link: https://www.econbiz.de/10009228694
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Measuring the NAIRU: a complementary approach
De la Serve, M-E.; Lemoine, M. - Banque de France - 2011
Estimates of the Nairu generally suffer from a large uncertainty, which can be reduced by adopting a bivariate framework and assuming that shifts of the Phillips curve share a common trend with the unemployment rate. We consider in this paper if this common trend assumption is empirically...
Persistent link: https://www.econbiz.de/10009293540