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Estimation et interpretation des densites neutres au risque: Une comparaison de methodes

Jondeau, E.; Rockinger, M. - Banque de France - 1997

Nous comparons dans ce papier la qualite et le contenu en information des densites neutres au risque, obtenus a partir de differentes representations de ces densites: l'approche non-parametrique fondee sur un melange de densites log-normales; les formulations semi-parametriques fondees sur...

Persistent link: https://www.econbiz.de/10005781190

A smoke screen theory of financial intermediation

Breton, R. - Banque de France - 2011

This paper explores the role of diversification and size in protecting information. We present a simple two period credit market with a sophisticated lender faced with competitors who free ride on his screening activity. Absent commitment problems, the lender funds one borrower and exerts...

Persistent link: https://www.econbiz.de/10009399334

Coin Assaying and Commodity Money

Bignon, V.; Dutu, R. - Banque de France - 2014

When money was made of gold and silver, individuals faced the problem of determining the intrinsic content of coins in many exchange situations. In this paper we look at a well-documented solution to this problem, and a key institution of the commodity money system: coin assaying. To that goal...

Persistent link: https://www.econbiz.de/10010891763

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

Credit Constraints and the Cyclicality of R&D Investment: Evidence from France.

Aghion, P.; Askenazy, P.; Berman, N.; Cette, G.; Eymard, L. - Banque de France - 2008

volatility in more credit constrained firms. …

Persistent link: https://www.econbiz.de/10008528504

Illiquidity, Financial Development and the Growth-Volatility Relationship Illiquidity, Financial Development and the Growth-Volatility Relationship.

Kharroubi, E. - Banque de France - 2006

This paper studies how financial development affects the relation between average growth and growth volatility through … volatility is more likely to be negative in developing countries, but more likely to be positive in developed economies. Finally …

Persistent link: https://www.econbiz.de/10004998817

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