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The Term Structure of the Welfare Cost of Uncertainty
Lopez, P. - Banque de France - 2014
procyclical term structure of welfare costs. On average, the gains from greater macroeconomic stability are large, especially in … percentage points of additional growth; this number compares to a marginal cost of lifetime uncertainty of 2-3 percentage points …
Persistent link: https://www.econbiz.de/10010961063
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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 … in mean (log-GARCH-M) models, the class of time series models previously used in the literature to estimate the growth … volatility on output growth, which is not taken into account by log-GARCH-M models. …
Persistent link: https://www.econbiz.de/10008511689
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BASEL III: Long-term impact on economic performance and fluctuations
Angelini, P.; Clerc, L.; Cúrdia, V.; Gambacorta, L.; … - Banque de France - 2011
We assess the long-term economic impact of the new regulatory standards (the Basel III reform), answering the following questions. (1) What is the impact of the reform on long-term economic performance? (2) What is the impact of the reform on economic fluctuations? (3) What is the impact of the...
Persistent link: https://www.econbiz.de/10008873321
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Euro Area monetary policy shocks: impact on financial asset prices during the crisis?
Jardet, C.; Monks, A. - Banque de France - 2014
We use high-frequency intraday interest rate data to measure euro area monetary policy shocks on the days of ECB interest rate announcements between 2002 and 2013. In line with Gürkaynak et al. (2005), we look at monetary policy shocks along two time dimensions: one related to the current level...
Persistent link: https://www.econbiz.de/10010938544
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Bubble-free interest-rate rules.
Loisel, O. - Banque de France - 2006
This paper designs, for a broad class of rational-expectations dynamic stochastic general-equilibrium models, interest-rate rules which not only ensure the local determinacy of the targeted equilibrium within the neighbourhood of the targeted steady state, but also prevent the economy from...
Persistent link: https://www.econbiz.de/10004998843
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Comportement du banquier central en environnement incertain
Avouyi-Dovi, S.; Sahuc, J-G. - Banque de France - 2009
Several recent papers are devoted to the examination of the central banker's behaviour in an uncertain economic environment. This paper proposes, from a central banker's point of view, a synthesis of the main sources of uncertainty as well as an illustration of their effects within an analytical...
Persistent link: https://www.econbiz.de/10008479237
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Central Bank Reputation in a Forward-Looking Model.
Loisel, O. - Banque de France - 2005
This paper examines whether reputation concerns can induce the central bank to implement the time-inconsistent optimal monetary policy in a standard New Keynesian model. The forward-looking nature of this model is in this respect interesting on two accounts: first, it worsens the...
Persistent link: https://www.econbiz.de/10005056519
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The possible shapes of recoveries in Markov-switching models
Bec, F.; Bouabdallah, O.; Ferrara, L. - Banque de France - 2011
measure of the permanent impact of recessions. This approach is then applied to post-WWII quarterly growth rates of US, UK and …
Persistent link: https://www.econbiz.de/10008873322
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Generalized Taylor and Generalized Calvo price and wage-setting: micro evidence with macro implications
Dixon, H.; Le Bihan, H. - Banque de France - 2011
The Generalized Calvo and the Generalized Taylor model of price and wage-setting are, unlike the standard Calvo and Taylor counterparts, exactly consistent with the distribution of durations observed in the data. Using price and wage micro-data from a major euro-area economy (France), we develop...
Persistent link: https://www.econbiz.de/10008873323
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Global Imbalances and Imported Disinflation in the Euro Area
Barthélemy, J.; Cléaud, G. - Banque de France - 2011
trends on all variables, which allow us to estimate on gross data. We first provide a theoretical balanced growth path …
Persistent link: https://www.econbiz.de/10009145707