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Tails of Inflation Forecasts and Tales of Monetary Policy

Andrade, P.; Ghysels, E.; Idier, J. - Banque de France - 2012

We introduce a new measure called Inflation-at-Risk (I@R) associated with (left and right) tail inflation risk. We … estimate I@R using survey-based density forecasts. We show that it contains information not covered by usual inflation risk … indicators which focus on inflation uncertainty and do not distinguish between the risks of low or high future inflation outcomes …

Persistent link: https://www.econbiz.de/10010815970

Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election

Coutant, S.; Jondeau, E.; Rockinger, M. - Banque de France - 1998

The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR as well as …

Persistent link: https://www.econbiz.de/10005036199

Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election

Coutant, S.; Jondeau, E.; Rockinger, M. - Banque de France - 1998

The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR as well as …

Persistent link: https://www.econbiz.de/10005646662

The green swan : central banking and financial stability in the age of climate change

Bolton, Patrick; Despres, Morgan; Silva, Luiz A. Pereira da - Bank für Internationalen Zahlungsausgleich - 2020

these new risks within central banks’ financial stability mandate. However, integrating climate-related risk analysis into … backward-looking risk assessments and existing climate-economic models cannot anticipate accurately enough the form that …

Persistent link: https://www.econbiz.de/10012200152

Economic Policy Uncertainty and Inflation Expectations.

Istrefi, K.; Piloiu, A. - Banque de France - 2014

should not affect agents' expectations of inflation in the long term. Our estimated structural VARs show that both long- and … short-term inflation expectations are sensitive to policy-related uncertainty shocks. While economic activity contracts …, long-term inflation expectations raise in response to such shocks. These results suggest that observed uncertainty about …

Persistent link: https://www.econbiz.de/10010937890

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

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

. Since skewness and kurtosis are related to extreme variations they are also important for Value-at-Risk measurements. Our …

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

Interest Rate Transmission and Volatility Transmission along the Yield Curve.

Avouyi-Dovi, S.; Jondeau, E. - Banque de France - 1999

In order to analyse the interest rate transmission mechanism, we study daily Euro-rates term structure for the US, Germany, and the UK between 1983 and 1997. We estimate multivariate VECM-GARCH models, which takes into account most of the usual feaures of financial data (non-stationarity,...

Persistent link: https://www.econbiz.de/10005487060

Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates

Bruneau, C.; Jondeau, E. - Banque de France - 1998

In this paper we give a precise definition of long-run causality in a multivariate non-stationary, possibly cointegrated, framework. A variable is said to be causal for another in the long-run if knwoledge of the past of the former improves long-run predictions of the latter. In a VAR framework,...

Persistent link: https://www.econbiz.de/10005036190

Threat of a Capital Levy, Expected Devaluation and Interest Rates in France during the Interwar Period

Hautcoeur, P-C.; Sicsic, P. - Banque de France - 1998

This paper tries to improve the understanding of the French interwar monetary situation by using thoroughly one indicator: long-term interest rates. As such, it could be attacked from a methodological point of view as relying excessively on that indicator and on a small number of hypothesis...

Persistent link: https://www.econbiz.de/10005036208

Interest Rate Transmission and Volatility Transmission along the Yield Curve.

Avouyi-Dovi, S.; Jondeau, E. - Banque de France - 1999

In order to analyse the interest rate transmission mechanism, we study daily Euro-rates term structure for the US, Germany, and the UK between 1983 and 1997. We estimate multivariate VECM-GARCH models, which take into account moste of the usual features of financial data (non-stationarity,...

Persistent link: https://www.econbiz.de/10005036224