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The confidence channel for the transmission of shocks

Fei, S. - Banque de France - 2011

of a contagion of confidence from “large countries” to “small countries”. I apply instrumental-variable regressions to …

Persistent link: https://www.econbiz.de/10008800897

The European Monetary Union and Imbalances: Is it an Anticipation Story ?

Siena, D. - Banque de France - 2014

This paper investigates the sources of current account imbalances accumulated within the European Monetary Union before the Great Recession. First, it documents that starting in 1996, before the actual introduction of the euro, countries in the euro area periphery experienced increasing current...

Persistent link: https://www.econbiz.de/10010815969

Global Imbalances and Imported Disinflation in the Euro Area

Barthélemy, J.; Cléaud, G. - Banque de France - 2011

We estimate a medium-scale DSGE model for the euro area in an open economy framework. The model includes structural trends on all variables, which allow us to estimate on gross data. We first provide a theoretical balanced growth path consistent with permanent productivity shocks, inflation...

Persistent link: https://www.econbiz.de/10009145707

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, widely used in applied macroeconomic research. In this...

Persistent link: https://www.econbiz.de/10010550857

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

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

The Great Recession endured by the main industrialized countries during the period 2008–2009, in the wake of the financial and banking crisis, has pointed out the major role of the financial sector on macroeconomic fluctuations. In this respect, many researchers have started to reconsider the...

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

Precautionary Saving and Aggregate Demand

Challe, E.; Matheron, J.; Ragot, X.; Rubio-Ramirez, M.F. - Banque de France - 2015

We formulate and estimate a tractable macroeconomic model with time-varying precautionary savings. We argue that the latter affect aggregate fluctuations via two main channels: a stabilizing aggregate supply effect working through the supply of capital; and a destabilizing aggregate demand...

Persistent link: https://www.econbiz.de/10011123452

Cross-border interbank contagion in the European banking sector.

Gabrieli, S.; Salakhova, D.; Vuillemey, G. - Banque de France - 2015

This paper studies the scope for cross-border contagion in the European banking sector using true bilateral exposure … propagation from 2008 to 2012. We study the distribution of contagion outcomes after a common shock and an exogenous bank default … propagation of losses. An econometric analysis of the determinants of contagion shows that the position of a bank in the network …

Persistent link: https://www.econbiz.de/10011212945

Pricing Default Events: Surprise, Exogeneity and Contagion.

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

In order to derive closed-form expressions of the prices of credit derivatives, standard credit-risk models typically price the default intensities, but not the default events themselves. The default indicator is replaced by an appropriate prediction and the prediction error, that is the...

Persistent link: https://www.econbiz.de/10010815976

Bilateral Exposures and Systemic Solvency Risk.

Gourieroux, C.; Heam, J.C.; Monfort, A. - Banque de France - 2012

consequences of exogenous shocks on the banking system and we measure contagion phenomena. This approach is illustrated by an …

Persistent link: https://www.econbiz.de/10010815986

Regime Switching and Bond Pricing.

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

incorporate business cycles or crises, to introduce contagion, to reproduce zero lower bound spells, or to evaluate the impact of …

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

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