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Bussière, M. - Banque de France - 2013

The 2008 financial crisis has rekindled interest in the issue of early warning signals (EWS) of financial distress. It has also triggered renewed interest in the literature on currency crises, with many countries, especially among emerging market economies, experiencing severe exchange market...

Persistent link: https://www.econbiz.de/10010815949

The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk.

Lustig, H.; Verdelhan, A. - Banque de France - 2006

Aggregate consumption growth risk explains why low interest rate currencies do not appreciate as much as the interest rate differential and why high interest rate currencies do not depreciate as much as the interest rate differential. Domestic investors earn negative excess returns on low...

Persistent link: https://www.econbiz.de/10005082517

Measuring Long-Run Exchange Rate Pass-Through.

.De Bandt, O.; Banerjee, A.; Kozluk, T. - Banque de France - 2007

The paper discusses the issue of estimating short- and long-run exchange rate pass-through to import prices in euro area countries and reviews some problems with the measures recently proposed in the literature. Theoretical considerations suggest a long-run Engle and Granger cointegrating...

Persistent link: https://www.econbiz.de/10005092592

An arbitrage-free Nelson-Siegel term structure model with stochastic volatility for the determination of currency risk premia.

Mouabbi, S. - Banque de France - 2014

This paper uses a risk-averse formulation of the uncovered interest rate parity to determine exchange rates through interest rate differentials, and ultimately extract currency risk premia. The method proposed consists of developing an affine Arbitrage-Free class of dynamic Nelson-Siegel term...

Persistent link: https://www.econbiz.de/10011096780

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

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

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

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

Bayesian estimation of Cox models with non-nested random effects: an application to the ratification of ILO conventions by developing countries

Bernhard Boockmann.; Dragana Djurdjevic.; Guillaume Horny. - Banque de France - 2009

We use a multivariate hazard model to analyse the ratification behaviour of ILO conventions by developing countries. The model accounts for two random effects: one at the country level, the other at the convention level. After investigating identification, we use a semi-parametric Bayesian...

Persistent link: https://www.econbiz.de/10008479238