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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
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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
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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
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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
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Nowcasting French GDP in Real-Time from Survey Opinions: Information or Forecast Combinations?
Bec, F.; Mogliani, M. - Banque de France - 2013
This paper investigates the predictive accuracy of two alternative forecasting strategies, namely the forecast and …
Persistent link: https://www.econbiz.de/10010815947
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New estimate of the MIBA forecasting model. Modeling first-release GDP using the Banque de France's Monthly Business Survey and the “blocking” approach.
Mogliani, M.; Brunhes-Lesage, V.; Darné, O.; Pluyaud, B. - Banque de France - 2014
This paper introduces the new Monthly Index of Business Activity (MIBA) model of the Banque de France for forecasting … consistent with the time frame of real-time forecasting exercises: the first month equation is dominated by data on expected …
Persistent link: https://www.econbiz.de/10010815984
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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
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L’Indicateur Synthétique Mensuel d’Activité (ISMA) : une révision
Darné, O.; Brunhes-Lesage, V. - Banque de France - 2007
France. The MIBA is a forecasting tool for the quarterly GDP growth in France both for the current quarter and the next … viewpoint, we take into account the business surveys in the services sector published by the Banque de France. The forecasting …
Persistent link: https://www.econbiz.de/10004998824
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Macro stress testing with a macroeconomic credit risk model: Application to the French manufacturing sector.
Avouyi-Dovi, S.; Bardos, M.; Jardet, C.; Kendaoui, L.; … - Banque de France - 2009
The aim of this paper is to build and estimate a macroeconomic model of credit risk for the French manufacturing sector. This model is based on Wilson's CreditPortfolioView model (1997a, 1997b); it enables us to simulate loss distributions for a credit portfolio for several macroeconomic...
Persistent link: https://www.econbiz.de/10005034727
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Business surveys modelling with Seasonal-Cyclical Long Memory models.
Ferrara, L.; Guégan, D. - Banque de France - 2008
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...
Persistent link: https://www.econbiz.de/10005036179