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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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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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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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Long term vs. short term comovements in stock markets: the use of Markov-switching multifractal models.
Idier, J. - Banque de France - 2008
Empirical techniques to assess market comovements are numerous from cointegration to dynamic conditional correlations. This paper uses the fractal properties of asset returns and presents estimations of Markov switching multifractal models [as MSM] to give new insights about short and long run...
Persistent link: https://www.econbiz.de/10004979468
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A stylized applied energy-economy model for France.
Henriet, F.; Maggiar, N.; Schubert, K. - Banque de France - 2014
We build, calibrate and simulate a stylized energy-economy model designed to evaluate the magnitude of carbon tax that would allow the French economy to reduce by a factor of four its CO2 emissions at a forty-year horizon. We estimate the substitution possibilities between fossil energy and...
Persistent link: https://www.econbiz.de/10011100194
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On the Size of the Government Spending Multiplier in the Euro Area
Fève, P.; Sahuc, J-G. - Banque de France - 2015
This article addresses the existence of a wide range of estimated government spending multipliers in a dynamic stochastic general equilibrium model of the euro area. Our estimation results and counterfactual exercises provide evidence that omitting the interactions of key ingredients at the...
Persistent link: https://www.econbiz.de/10011166880
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The changing role of expectations in US monetary policy: A new look using the Livingston Survey
Banerjee, A.; Malik, S. - Banque de France - 2012
Using a Bayesian structural vector autoregression (TVP-SVAR) with time-varying parameters and volatility we investigate monetary policy in the United States, in particular its interaction with the formation of inflation expectations and the linkages between monetary policy, inflation...
Persistent link: https://www.econbiz.de/10010816004
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A Quadratic Kalman Filter
Monfort, A.; Renne, J.-P.; Roussellet, G. - Banque de France - 2014
We propose a new filtering and smoothing technique for non-linear state-space models. Observed variables are quadratic functions of latent factors following a Gaussian VAR. Stacking the vector of factors with its vectorized outer-product, we form an augmented state vector whose first two...
Persistent link: https://www.econbiz.de/10010781570