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...

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...

Arrow-Debreu state preference approach to derivatives pricing is embedded into decision theoretical framework. Derivatives prices are considered as decision variables. Axiomatic decision theory, concerned with the attitude toward uncertainty and existence of closed in *-weak topology sets of...

The purpose of the paper is to introduce, in a discrete-time no-arbitrage pricing context, a bridge between the historical and the risk-neutral state vector dynamics which is wider than the one implied by a classical exponential-affine stochastic discount factor (SDF) and to preserve, at the...

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...

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...

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...

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...

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...

In this paper, we analyse the interactions between monetary and macro-prudential policies and the circumstances under which such interactions call for their coordinated implementation. We start with a review of the interdependencies between monetary and macro-prudential policies. Then, we use a...