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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

Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market.

Avouyi-Dovi, S.; Idier, J. - Banque de France - 2010

We examine the effects of collateral provision as a potential channel between funding liquidity tensions and the scarcity of market liquidity. This channel consists in transferring the credit risk associated with refinancing operations between financial institutions to market participants that...

Persistent link: https://www.econbiz.de/10008516105

The Effects of Information Asymmetries on the Ex-Post Success of Stock Option Listings.

Bernales, A. - Banque de France - 2014

stock volatility and volume. Nevertheless, option listings induce a reduction in the strength of the information asymmetries …

Persistent link: https://www.econbiz.de/10010816019

The possible shapes of recoveries in Markov-switching models

Bec, F.; Bouabdallah, O.; Ferrara, L. - Banque de France - 2011

This paper explores the various shapes the recoveries may exhibit within a Markov-Switching model. It relies on the bounce-back effects first analyzed by Kim, Morley and Piger (2005) and extends the methodology by proposing i) a more flexible bounce-back model, ii) explicit tests to select the...

Persistent link: https://www.econbiz.de/10008873322

Unit Roots, Level Shifts and Trend Breaks in Per Capita Output: A Robust Evaluation

Kejriwal, M.; Lopez, C. - Banque de France - 2011

Determining whether per capita output can be characterized by a stochastic trend is complicated by the fact that infrequent breaks in trend can bias standard unit root tests towards non-rejection of the unit root hypothesis. The bulk of the existing literature has focused on the application of...

Persistent link: https://www.econbiz.de/10009205031

Interpreting the Hours-Technology time-varying relationship

Cantore, C.; Ferroni, F.; León-Ledesma, M A. - Banque de France - 2011

We investigate the time varying relation between hours and technology shocks using a structural business cycle model. We propose an RBC model with a Constant Elasticity of Substitution (CES) production function that allows for capital- and labor-augmenting technology shocks. We estimate the...

Persistent link: https://www.econbiz.de/10009371433

Did Tax Policies mitigate US Business Cycles?

Jimborean, R.; Ferroni, F. - Banque de France - 2010

I study whether US Tax Policies affected economic volatility during the post World War II period. I employ a Real … policies display a strong countercyclical behavior, (b) help to reduce the cyclical and raw volatility of GDP, consumption …, investment when the government can issue debt, and (c) unexpected changes in tax policies do not affect the volatility of the …

Persistent link: https://www.econbiz.de/10008682874

Median-Unbiased Estimation in DF-GLS Regressions and the PPP Puzzle

Lopez, C.; Murray, C J.; Papell, D H. - Banque de France - 2011

Using median-unbiased estimation based on Augmented-Dickey-Fuller (ADF) regressions, recent research has questioned the validity of Rogoff's "remarkable consensus" of 3-5 year half-lives of deviations from PPP. The confidence intervals of these half-life estimates, however, are extremely wide,...

Persistent link: https://www.econbiz.de/10009228696

Fiscal Sustainability and the Value of Money: Lessons from the British Paper Pound, 1797-1821.

Antipa, P. - Banque de France - 2013

This article explores the determinants of price level fluctuations in Britain during the first suspension of the gold standard over the 1797-1821 period. I find that the contemporary price level was determined by world gold prices and expectations regarding the resumption of the gold standard at...

Persistent link: https://www.econbiz.de/10010726921

Nowcasting French GDP in Real-Time from Survey Opinions: Information or Forecast Combinations?

Bec, F.; Mogliani, M. - Banque de France - 2013

This paper investigates the predictive accuracy of two alternative forecasting strategies, namely the forecast and information combinations. Theoretically, there should be no role for forecast combinations in a world where information sets can be instantaneously and costlessly combined. However,...

Persistent link: https://www.econbiz.de/10010815947