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Tails of Inflation Forecasts and Tales of Monetary Policy

Andrade, P.; Ghysels, E.; Idier, J. - Banque de France - 2012

We introduce a new measure called Inflation-at-Risk (I@R) associated with (left and right) tail inflation risk. We estimate I@R using survey-based density forecasts. We show that it contains information not covered by usual inflation risk indicators which focus on inflation uncertainty and do...

Persistent link: https://www.econbiz.de/10010815970

Are the effects of fiscal changes different in times of crisis and non-crisis? The French Case

Bouthevillain, C.; Dufrénot, G. - Banque de France - 2010

magnitude in times of crisis and non-crisis in France. We find that these nonlinearities are both frequent (as they exist on all … show that if one considers the aggregate GDP, public expenditure has a stronger impact during crisis and the expenditure … taxes changes induce a (stimulus) effect in the investment rate only during non-crisis periods. A rise in subsidies has a …

Persistent link: https://www.econbiz.de/10008606459

Economic Policy Uncertainty and Inflation Expectations.

Istrefi, K.; Piloiu, A. - Banque de France - 2014

Theory and evidence suggest that in an environment of well-anchored expectations, temporary economic news or shocks should not affect agents' expectations of inflation in the long term. Our estimated structural VARs show that both long- and short-term inflation expectations are sensitive to...

Persistent link: https://www.econbiz.de/10010937890

La Banque de France et la monnaie

1986 - 4. éd.

Persistent link: https://www.econbiz.de/10004059581

Macro-prudential policy and the conduct of monetary policy.

Beau, D.; Clerc, L.; Mojon, B. - Banque de France - 2011

In this paper, we analyse the interactions between monetary and macro-prudential policies and the circumstances under which such interactions call for their coordinated implementation. We start with a review of the interdependencies between monetary and macro-prudential policies. Then, we use a...

Persistent link: https://www.econbiz.de/10010815922

Monetary Policy and Herd Behavior: Leaning Against Bubbles.

Loisel, O.; Pommeret, A.; Portier, T. - Banque de France - 2012

We study the role of monetary policy when asset-price bubbles may form due to herd behavior in investment in an asset whose return is uncertain. To that aim, we build a simple general-equilibrium model whose agents are households, entrepreneurs, and a central bank. Entrepreneurs receive private...

Persistent link: https://www.econbiz.de/10010815962

Rational Inattention to News: The Perils of Forward Guidance.

Gaballo, G. - Banque de France - 2013

This paper studies the social value of information about the future when agents are rationally inattentive. In a stylized OLG model of inflation the central bank (CB) can set money supply in response to the current price. The CB has perfect foresight about the future T shocks and releases this...

Persistent link: https://www.econbiz.de/10010815968

Macro-Prudential Policy and the Conduct of Monetary Policy.

Beau, D.; Clerc, L.; Mojon, B. - Banque de France - 2012

Persistent link: https://www.econbiz.de/10010816001

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

Regime Switching and Bond Pricing.

Gouriéroux, C.; Monfort, A.; Pegoraro, F.; Renne, J-P. - Banque de France - 2013

This article proposes an overview of the usefulness of the regime switching approach for building various kinds of bond pricing models and of the roles played by the regimes in these models. Both default-free and defaultable bonds are considered. The regimes can be used to capture stochastic...

Persistent link: https://www.econbiz.de/10010816014