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...

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, widely used in applied macroeconomic research. In this...

This paper investigates the predictive accuracy of two alternative forecasting strategies, namely the forecast and information combinations. Theoretically, there should be no role for forecast combinations in a world where information sets can be instantaneously and costlessly combined. However,...

This paper introduces the new Monthly Index of Business Activity (MIBA) model of the Banque de France for forecasting France's GDP. As the previous versions, the model relies exclusively on data from the monthly business survey (EMC) conducted by the Banque de France. However, several major...

This paper proposes new bridge equations for the Monthly Index of Business Activity (MIBA) published by the Banque de France. The MIBA is a forecasting tool for the quarterly GDP growth in France both for the current quarter and the next quarter, originally based on the surveys in the industrial...

Business surveys are an important element in the analysis of the short-term economic situation because of the timeliness and nature of the information they convey. Especially, surveys are often involved in econometric models in order to provide an early assessment of the current state of the...