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How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment
Idier, J.; Lamé, G.; Mésonnier, J S. - Banque de France - 2011
of a financial institution to systemic risk, the marginal expected shortfall (MES). The MES of an institution can be …
Persistent link: https://www.econbiz.de/10009358990
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Excès de liquidité monétaire et prix des actifs.
Gouteron, S.; Szpiro, D. - Banque de France - 2005
The recent rise of excess liquidity in the United States and in the euro zone did not result in a resurgence of … inflation. Excess liquidity, rather than heading towards the market of consumer goods, could have moved towards the asset … Kingdom and Japan, there's no element pointing out an effect of excess liquidity on asset prices: there is no common trend in …
Persistent link: https://www.econbiz.de/10005056539
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Welfare Implications of Heterogeneous Labor Markets in a Currency Area
Poilly, C.; Sahuc, J-G. - Banque de France - 2008
This paper investigates the role of labor markets heterogeneity in a monetary union and especially what are the welfare gains/costs of labor market reforms for each member of the area. To this end, we develop a medium-scale two-country model representing a currency union characterized by price...
Persistent link: https://www.econbiz.de/10008528499
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Multi-Lag Term Structure Models with Stochastic Risk Premia.
Monfort, A.; Pegoraro, F. - Banque de France - 2007
exponential-affine stochastic discount factor (SDF) with a stochastic factor risk correction coefficient defined, at time t, as an … Structure Models. We investigate, under the risk-neutral and the S-forward probability, the Moving Average (or discrete …
Persistent link: https://www.econbiz.de/10004998819
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Switching VARMA Term Structure Models - Extended Version.
Monfort, A.; Pegoraro, F. - Banque de France - 2007
) with time-varying and regime dependent risk-premia; (iii) explicit or quasi explicit formulas for zero-coupon bond and …
Persistent link: https://www.econbiz.de/10004998827
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Pricing and Inference with Mixtures of Conditionally Normal Processes.
Bertholon, H.; Monfort, A.; Pegoraro, F. - Banque de France - 2007
considered. In all cases, the risk-neutral processes and explicit pricing formulas are obtained. …
Persistent link: https://www.econbiz.de/10004998849
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La Modélisation Macro–Econométrique Dynamique.
Fève, F. - Banque de France - 2005
This paper presents the recent developments of macro-econometric modelling and discusses their advantages and limits. We first present the Sims critique and the Lucas critique. These two critiques have opened two new ways of macro-modelling. On the one hand, the Structural VAR approach allows to...
Persistent link: https://www.econbiz.de/10005056533
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Econometric Asset Pricing Modelling.
Bertholon, H.; Monfort, A.; Pegoraro, F. - Banque de France - 2008
Stochastic Discount Factor (SDF), and (iii) the discrete-time risk-neutral (R.N.) factor dynamics. Retaining an exponential …-affine specification of the SDF, its modelling is equivalent to the specification of the risk sensitivity vector and of the short rate, if … modelling strategies: the Direct Modelling, the Risk-Neutral Constrained Direct Modelling and the Back Modelling. In all the …
Persistent link: https://www.econbiz.de/10005036212
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Currency Union with and without Banking Union.
Bignon, V.; Breton, R.; Rojas Breu, M. - Banque de France - 2013
This paper analyzes a two-country model of currency, banks and endogenous default to study whether impediments to credit market integration across jurisdictions impact the desirability of a currency union. We show that when those impediments induce a higher cost for banks to manage cross-border...
Persistent link: https://www.econbiz.de/10010816016
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Monetary Union with A Single Currency and Imperfect Credit Market Integration.
Bignon, V.; Breton, R.; Breu, M. Rojas - Banque de France - 2015
With the Euro Area context in mind, we show that currency arrangements impact on credit available through default incentives. To this end we build a symmetric two-country model with money and imperfect credit market integration. Differences in credit market integration are captured by variations...
Persistent link: https://www.econbiz.de/10011199814