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A stylized applied energy-economy model for France.

Henriet, F.; Maggiar, N.; Schubert, K. - Banque de France - 2014

We build, calibrate and simulate a stylized energy-economy model designed to evaluate the magnitude of carbon tax that … substitution possibilities between fossil energy and other factors for households and firms. We build two versions of the model …. We show that if the energy-saving technical progress rate remains at its recent historical value, the magnitude of the …

Persistent link: https://www.econbiz.de/10011100194

Modelling the French Swap Spread.

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

Swaps are one of the major innovations of the 80s but there are little empirical studies on interest rates swaps (IRS), especially on European markets. To understand how swap pricing works, we estimate IRS valuation models for the French swap market. On one hand, from the market value of the...

Persistent link: https://www.econbiz.de/10005671911

Stock exchanges industry consolidation and shock transmission.

Idier, J. - Banque de France - 2006

Stock exchange industry consolidation is at work since many years and has recently accelerated through competition for order flows, agreements and mergers. However, consolidation may not mean that all shocks are transmitted to every place. Therefore, following Forbes and Rigobon (2002) we...

Persistent link: https://www.econbiz.de/10005082520

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

A Pitfall with DSGE-Based, Estimated, Government Spending Multipliers

Fève, P.; Matheron, J.; Sahuc, J.G. - Banque de France - 2012

This paper examines issues related to the estimation of the government spending multiplier (GSM) in a Dynamic Stochastic General Equilibrium context. We stress a potential source of bias in the GSM arising from the combination of Edgeworth complementarity/substitutability between private...

Persistent link: https://www.econbiz.de/10010544322

Short Note on the Unemployment Rate of the French Overseas Regions

Hoarau, J-F.; Lopez, C.; Paul, M. - Banque de France - 2011

This article analyzes the hysteresis hypothesis in the unemployment rates of the four French overseas regions (Guadeloupe, Martinique, Guyana, Reunion) [FORs] over the period 1993-2008. We use standard univariate and panel unit root tests, among them Choi (2006) and Lopez (2009) that account for...

Persistent link: https://www.econbiz.de/10009228694

Measuring the NAIRU: a complementary approach

De la Serve, M-E.; Lemoine, M. - Banque de France - 2011

Estimates of the Nairu generally suffer from a large uncertainty, which can be reduced by adopting a bivariate framework and assuming that shifts of the Phillips curve share a common trend with the unemployment rate. We consider in this paper if this common trend assumption is empirically...

Persistent link: https://www.econbiz.de/10009293540

Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets

Borgy, V.; Laubach, T.; Mésonnier, J-S.; Renne, J-P. - Banque de France - 2011

This paper develops an arbitrage-free affine term structure model of potentially defaultable sovereign bonds to model a cross-section of eight euro area government bond yield curves since January 1999. The existence of a common monetary policy under European Monetary Union determines the short...

Persistent link: https://www.econbiz.de/10009367415

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

Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates

Bruneau, C.; Jondeau, E. - Banque de France - 1998

In this paper we give a precise definition of long-run causality in a multivariate non-stationary, possibly cointegrated, framework. A variable is said to be causal for another in the long-run if knwoledge of the past of the former improves long-run predictions of the latter. In a VAR framework,...

Persistent link: https://www.econbiz.de/10005671915