Similar Search Results

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

Mouabbi, S. - Banque de France - 2014

Arbitrage-Free class of dynamic Nelson-Siegel term structure models with stochastic volatility to obtain the domestic and …

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

The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets.

Jondeau, E.; Rockinger, M. - Banque de France - 1999

In the following paper the authors start with a review of theoretical elements of extreme value theory (evt). In the empirical section of this study they consider five mature markets, nine Asian, six Eastern European, and seven Latin American emerging markets. The tail-behavior of returns is...

Persistent link: https://www.econbiz.de/10005671921

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

financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French …; in the other, which we dub the unconventional regime, monetary policy operations lead to volatility and liquidity premia …

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

Forecasting growth during the Great Recession: is financial volatility the missing ingredient?

Ferrara, L.; Marsilli, C.; Ortega, J-P. - Banque de France - 2013

evaluate the leading role of the daily volatility of two major financial variables, namely commodity and stock prices, in their …

Persistent link: https://www.econbiz.de/10010815989

The Growth-Volatility Relationship: New Evidence Based on Stochastic Volatility in Mean Models

Lemoine, M.; Mougin, C. - Banque de France - 2010

This paper models the relationship between growth and volatility for G7 economies in the time period 1960-2009. It … delivers for the first time estimates of this relationship based on a logarithm variant of stochastic volatility in mean (SV … show that output volatility has increased in all countries since the beginning of the financial crisis, which illustrates …

Persistent link: https://www.econbiz.de/10008511689

Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market.

Avouyi-Dovi, S.; Idier, J. - Banque de France - 2010

We examine the effects of collateral provision as a potential channel between funding liquidity tensions and the scarcity of market liquidity. This channel consists in transferring the credit risk associated with refinancing operations between financial institutions to market participants that...

Persistent link: https://www.econbiz.de/10008516105

Credit Constraints and the Cyclicality of R&D Investment: Evidence from France.

Aghion, P.; Askenazy, P.; Berman, N.; Cette, G.; Eymard, L. - Banque de France - 2008

volatility in more credit constrained firms. …

Persistent link: https://www.econbiz.de/10008528504

Illiquidity, Financial Development and the Growth-Volatility Relationship Illiquidity, Financial Development and the Growth-Volatility Relationship.

Kharroubi, E. - Banque de France - 2006

This paper studies how financial development affects the relation between average growth and growth volatility through … volatility is more likely to be negative in developing countries, but more likely to be positive in developed economies. Finally …

Persistent link: https://www.econbiz.de/10004998817

Interest Rate Transmission and Volatility Transmission along the Yield Curve.

Avouyi-Dovi, S.; Jondeau, E. - Banque de France - 1999

In order to analyse the interest rate transmission mechanism, we study daily Euro-rates term structure for the US, Germany, and the UK between 1983 and 1997. We estimate multivariate VECM-GARCH models, which takes into account most of the usual feaures of financial data (non-stationarity,...

Persistent link: https://www.econbiz.de/10005487060

Effets “volume”, volatilité et transmissions internationales sur les marchés boursiers dans le G5

Avouyi-Dovi, S.; Jondeau, E.; Lai Tong, C. - Banque de France - 1997

main stock market indices of the G5: interactions between return and volatility, international transmission mechanisms and … impact of trading volumes. The non-significance of expected volatility in return equation can be explained by the influence … of trading volumes on returns. On the other hand, asymmetric effects (from non-expected return to volatility) are very …

Persistent link: https://www.econbiz.de/10008566299