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Assessing GMM Estimates of the Federal Reserve Reaction Function.

Florens, C.; Jondeau, E.; Le Bihan, H. - Banque de France - 2001

Estimating a forward-looking monetary policy rule by the Generalized Method of Moments (GMM) has become a popular approach since the influential paper by Clarida, Gali, and Gertler (1998). However, an abundant econometric literature underlines the unappealing small-samples properties of GMM...

Persistent link: https://www.econbiz.de/10005671910

A Two-Pillar DSGE Monetary Policy Model for the Euro Area.

Barthélemy, J.; Clerc L.; Marx, M. - Banque de France - 2008

Whereas the bulk of the literature on DSGE models provides a rationale for inflation targeting strategies, there is no … inflation, eventually accounting for structural shifts in velocity; 4) we found some evidence that the ECB has reacted …

Persistent link: https://www.econbiz.de/10005036223

Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence.

Jondeau, E.; Rockinger, M. - Banque de France - 2000

Recent portfolio choice asset pricing and option valuation models highlight the importance of skewness and kurtosis. Since skewness and kurtosis are related to extreme variations they are also important for Value-at-Risk measurements. Our framework builds on a GARCH model with a condi-tional...

Persistent link: https://www.econbiz.de/10005487056