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Les marchés financiers anticipent-ils les retournements conjoncturels?

Bellone, B.; Gautier, E.; Le Coent, S. - Banque de France - 2005

This article aims at estimating leading indicators of the American economy with financial variables. We use two types of hidden Markov chains models, a quantitative one (Krolzig (1997)) and a qualitative one (Gregoir and Lenglart (2000)). These models provide a robust and reliable framework to...

Persistent link: https://www.econbiz.de/10005056509

Common business and housing market cycles in the Euro area from a multivariate decomposition.

Ferrara, L.; Koopman, S J. - Banque de France - 2010

The 2007 sub-prime crisis in the United States, prolonged by a severe economic recession spread over many countries …

Persistent link: https://www.econbiz.de/10008503197

The changing role of house price dynamics over the business cycle

Dufrénot, G.; Malik, S. - Banque de France - 2010

growth states. In addition, we suggest a possible range of values for house price de.ation which may trigger a recession the …

Persistent link: https://www.econbiz.de/10008765722

Financial Shocks and the Cyclical Behavior of Skilled and Unskilled Unemployment.

Lopez, J.I.; Moppett, V. Olivella - Banque de France - 2014

We study the effect of financial shocks in labor market dynamics. We build a model with two types of labor, two types of capital and both search and financial frictions. We find that financial shocks, modeled as exogenous disturbances to the borrowing constraint of firms, can generate realistic...

Persistent link: https://www.econbiz.de/10010815961

Forecasting Euro-area recessions using time-varying binary response models for financial.

Bellégo, C.; Ferrara, L. - Banque de France - 2009

provide a readable and leading signal of recession by combining information according to two combining schemes over the sample … 1970-2006. First we average recession probabilities and second we linearly combine variables through a dynamic factor model … that financial variables would have been helpful in predicting a recession signal as September 2007, that is around six …

Persistent link: https://www.econbiz.de/10008556977

Are Business and Credit Cycles Converging or Diverging? A comparison of Poland, Hungary, the Czech Republic and the Euro Area.

Avouyi-Dovi, S.; Kierzenkowski, R.; Lubochinsky, C. - Banque de France - 2006

This paper provides an analysis of co-movements between real and financial variables in three new EU member countries (the Czech Republic, Hungary and Poland) and the euro area. It focuses on the co-movement between real credit granted to firms and real industrial output on the one hand, and...

Persistent link: https://www.econbiz.de/10004998815

L’évolution des crédits à l’habitat en France : une grille d’analyse en termes de cycles

Kierzenkowski, R.; Oung, V. - Banque de France - 2007

This article puts forward a framework based primarily on probabilistic tools to analyse the nature of housing loan cycles in France. The continued high growth rate of housing loans may indeed raise concerns as to the duration and determinants of the cycle which currently prevails. The results...

Persistent link: https://www.econbiz.de/10004998836

Learning Leverage Shocks and the Great Recession.

Pintus, P. A.; Suda, J. - Banque de France - 2013

magnitude for the Great Recession, while its rational expectations counterpart predicts a counter-factual expansion. In addition …

Persistent link: https://www.econbiz.de/10010815952

Capital controls and spillover effects: evidence from Latin-American countries

Lambert, F.; Ramos-Tallada, J.; Rebillard, C. - Banque de France - 2011

The surge in capital inflows towards emerging countries after 2009 has revived the debate about capital controls. This paper analyzes some of the international implications of restrictions on capital inflows. Focusing on a sample of Latin-American countries, we use detailed balance of payments...

Persistent link: https://www.econbiz.de/10009399335

Convergence in Household Credit Demand Across Euro Area Countries: Evidence from Panel Data.

De Bandt. O.; Bruneau, C.; El Amri, W. - Banque de France - 2006

The paper contributes to the literature on the convergence of financial systems in the euro area by estimating household credit demand in individual countries. Using the ARDL framework advocated notably by Pesaran et al. (1999), the paper provides evidence on the convergence of long run credit...

Persistent link: https://www.econbiz.de/10004998838

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