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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

under European Monetary Union determines the short end of the yield curves, whereas decentralized debt policies drive … expected changes in debt/GDP ratios of the respective countries. Our model explains spreads both before and during the crisis … of sovereign default at any maturity and assess their elasticity to shifts in expected changes in debt/GDP ratios. …

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

GDP per capita in advanced countries over the 20th century

Bergeaud, A.; Cette, G.; Lecat, R. - Banque de France - 2015

This study presents a GDP per capita level and growth comparison across 17 main advanced countries and over the 1890-2013 long period. It proposes also a comparison of the level and growth of the main components of GDP per capita through an accounting breakdown and runs Philips-Sul (2007)...

Persistent link: https://www.econbiz.de/10011269009

Productivity trends from 1890 to 2012 in advanced countries

Bergeaud, A.; Cette, G.; Lecat, R. - Banque de France - 2014

In order to examine innovation diffusion and convergence processes, we study productivity trends, trend breaks and levels for 13 advanced countries over 1890-2012. We highlight two productivity waves, a big one following the second industrial revolution and a small one following the ICT...

Persistent link: https://www.econbiz.de/10010815951

On the Evolution of Specie: Circulation and Weight Loss in 18th and 19th Century Coinage.

Velde, F R. - Banque de France - 2013

I measure the parameters of coin wear using data collected in the 19th century. A comparison across denominations and countries shows that coin wear (in relative terms) is linear in the logarithm of coin value. Data from coin hoards of the 18th and early 19th centuries yield similar estimates of...

Persistent link: https://www.econbiz.de/10010816008

Productivity Growth and Levels in France, Japan, the United Kingdom and the United States in the Twentieth Century.

Cette, G.; Kocoglu, Y.; Mairesse, J. - Banque de France - 2010

This study compares labor and total factor productivity (TFP) in France, Japan, the United Kingdom and the United States in the very long (since 1890) and medium (since 1980) runs. During the past century, the United States has overtaken the United Kingdom and become the leading world economy....

Persistent link: https://www.econbiz.de/10008503199

The Breaks in per Capita Productivity Trends in a Number of Industrial Countries

Maury, P-M.; Pluyaud, B. - Banque de France - 2004

The purpose of this article is to study the trends in per capita productivity in several major industrialised countries. The analysis is first based on annual data over a long period spanning the entire 20th century for the United States, France and the United Kingdom. Productivity trends are...

Persistent link: https://www.econbiz.de/10005056503

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

Determinants of OECD countries’ sovereign yields: safe havens, purgatory, and the damned.

Bortoli, C.; Harreau, L.; Pouvelle, C. - Banque de France - 2014

main, fixed-effect, model highlights the crucial role of GDP growth, public deficit and debt liquidity in explaining the … level of spreads, while the public debt-to-GDP ratio plays a lesser role. We find that our results are mainly driven by … debt-to-GDP ratio, and potential GDP growth, with a larger impact of the latter variable. …

Persistent link: https://www.econbiz.de/10010815955

Optimal Portfolio Allocation under Asset and Surplus VaR Constraints

Monfort, A. - Banque de France - 2009

In this paper we propose an approach to Asset Liability Management of various institutions, in particular insurance companies, based on a dual VaR constraint for the asset and the surplus. A key ingredient of this approach is a flexible modelling of the term structure of interest rates leading...

Persistent link: https://www.econbiz.de/10008531413

Differences in Interest Rate Policy at the ECB and the Fed: An Investigation with a Medium-Scale DSGE Model.

Smets, F.; Sahuc, J-G. - Banque de France - 2007

Using two estimated models for the euro area and the United States, this paper investigates whether the observed difference in the amplitude of the interest rate cycle since 1999 in both areas is due to differences in the estimated monetary policy reaction function, differences in the structure...

Persistent link: https://www.econbiz.de/10004998810