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The Reliability of Macroeconomic Forecasts based on Real Interest Rate Gap Estimates in Real Time: an Assessment for the Euro Area.

Mésonnier, J-S. - Banque de France - 2006

The real interest rate gap or IRG -the gap between the short term real interest rate and its "natural" level-, is a theoretical concept that has attracted much attention in central banks in recent years. This paper aims at clarifying its practical relevance for monetary policy in real time. For...

Persistent link: https://www.econbiz.de/10004998811

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

Macroeconomic forecasting during the Great Recession: The return of non-linearity?

Ferrara, L.; Marcellino, M.; Mogliani, M. - Banque de France - 2012

The debate on the forecasting ability in economics of non-linear models has a long history, and the Great Recession … provides us with an opportunity for a re-assessment of the forecasting performance of several classes of non-linear models … some countries and/or variables appear to be more adapted to non-linear forecasting. …

Persistent link: https://www.econbiz.de/10010550857

Variable Selection in Predictive MIDAS Models

Marsilli, C. - Banque de France - 2014

In short-term forecasting, it is essential to take into account all available information on the current state of the … cross-validation procedure that allows automatic in-sample selection based on recent forecasting performances. Then the … developed techniques are assessed with regards to their forecasting power of US economic growth during the period 2000 …

Persistent link: https://www.econbiz.de/10010961062

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

MASCOTTE: Model for AnalySing and foreCasting shOrT TErm developments

Baghli, M.; Brunhes-Lesage, V.; De bandt, O.; Fraisse, H.; … - Banque de France - 2004

MASCOTTE is the new version of the Banque de France's macro-econometric forecasting model. Following the last rebasing …

Persistent link: https://www.econbiz.de/10005056499

Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach

Challe, E.; Giannitsarou, C. - Banque de France - 2011

Recent empirical literature documents that unexpected changes in the nominal interest rates have a significant effect on stock prices: a 25-basis point increase in the Fed funds rate is associated with an immediate decrease in broad stock indices that may range from 0.5 to 2.3 percent, followed...

Persistent link: https://www.econbiz.de/10009145706

Impact of the crisis on potential growth: An approach based on unobserved component models (in french)

Lemoine, M.; de la Serve, M.E.; Chetouane, M. - Banque de France - 2011

This article aims at evaluating potential growth for France, Germany and the euro area during the period from after the 2007-2008 credit crisis until 2012. Such an assessment plays a central role in the determination of the structural deficit and therefore in the definition of consolidation...

Persistent link: https://www.econbiz.de/10009205030

State-Dependent Probability Distributions in Non Linear Rational Expectations Models

Barthélemy, J.; Marx, M. - Banque de France - 2011

In this paper, we provide solution methods for non-linear rational expectations models in which regime-switching or the shocks themselves may be "endogenous", i.e. follow state-dependent probability distributions. We use the perturbation approach to find determinacy conditions, i.e. conditions...

Persistent link: https://www.econbiz.de/10009352244

The impact of unconventional monetary policy on the market for collateral: The case of the French bond market

Avouyi-Dovi, S.; Idier, J. - Banque de France - 2011

We consider the channel consisting in transferring the credit risk associated with refinancing operations between financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French government debt securities market, since these assets are used...

Persistent link: https://www.econbiz.de/10009275673