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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

We explore the practical relevance from a supervisor's perspective of a popular market-based indicator of the exposure of a financial institution to systemic risk, the marginal expected shortfall (MES). The MES of an institution can be defined as its expected equity loss when the market itself...

Persistent link: https://www.econbiz.de/10009358990

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

Multi-Lag Term Structure Models with Stochastic Risk Premia.

Monfort, A.; Pegoraro, F. - Banque de France - 2007

The purpose of this paper is to propose discrete-time term structure models where the historical dynamics of the factor (xt) is given, in the univariate case, by a Gaussian AR(p) process, and, in the multivariate case, by a Gaussian n-dimensional VAR(p) process. The factor (xt) is considered as...

Persistent link: https://www.econbiz.de/10004998819

Switching VARMA Term Structure Models - Extended Version.

Monfort, A.; Pegoraro, F. - Banque de France - 2007

The purpose of the paper is to propose a global discrete-time modeling of the term structure of interest rates able to capture simultaneously the following important features : (i) an historical dynamics of the factor driving term structure shapes involving several lagged values, and switching...

Persistent link: https://www.econbiz.de/10004998827

Pricing and Inference with Mixtures of Conditionally Normal Processes.

Bertholon, H.; Monfort, A.; Pegoraro, F. - Banque de France - 2007

We consider the problems of derivative pricing and inference when the stochastic discount factor has an exponential-affine form and the geometric return of the underlying asset has a dynamics characterized by a mixture of conditionally Normal processes. We consider both the static case in which...

Persistent link: https://www.econbiz.de/10004998849

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

Econometric Asset Pricing Modelling.

Bertholon, H.; Monfort, A.; Pegoraro, F. - Banque de France - 2008

The purpose of this paper is to propose a general econometric approach to no-arbitrage asset pricing modelling based on three main ingredients: (i) the historical discrete-time dynamics of the factor representing the information, (ii) the Stochastic Discount Factor (SDF), and (iii) the...

Persistent link: https://www.econbiz.de/10005036212

The impact of unconventional monetary policy on the market for collateral: The case of the French bond market

Avouyi-Dovi, S.; Idier, J. - Banque de France - 2011

financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French …; in the other, which we dub the unconventional regime, monetary policy operations lead to volatility and liquidity premia …

Persistent link: https://www.econbiz.de/10009275673

Forecasting growth during the Great Recession: is financial volatility the missing ingredient?

Ferrara, L.; Marsilli, C.; Ortega, J-P. - Banque de France - 2013

evaluate the leading role of the daily volatility of two major financial variables, namely commodity and stock prices, in their …

Persistent link: https://www.econbiz.de/10010815989

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 … delivers for the first time estimates of this relationship based on a logarithm variant of stochastic volatility in mean (SV … show that output volatility has increased in all countries since the beginning of the financial crisis, which illustrates …

Persistent link: https://www.econbiz.de/10008511689