Narrow search
Showing 1 - 10 of 197
Cover Image
Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence.
Jondeau, E.; Rockinger, M. - Banque de France - 2000
Recent portfolio choice asset pricing and option valuation models highlight the importance of skewness and kurtosis. Since skewness and kurtosis are related to extreme variations they are also important for Value-at-Risk measurements. Our framework builds on a GARCH model with a condi-tional...
Persistent link: https://www.econbiz.de/10005487056
Cover Image
Price Stability and The ECB's Monetary Policy Strategy
Bordes, C.; Clerc, L. - Banque de France - 2004
exclusively on the anchoring of short- to medium-term inflation expectations (Part 2). Several measures show that this anchoring … expectations has on the determination of the short- to medium-term inflation rate. From this point of view, observed inflation in … on the other aspect of monetary stability: the degree of price-level uncertainty and the anchoring of inflation …
Persistent link: https://www.econbiz.de/10005056542
Cover Image
Frequency-domain analysis of debt service in a macro-finance model for the euro area.
Renne, J-P. - Banque de France - 2009
activity, those associated with inflation-linked bonds and short-term nominal bonds tend to be pro-cyclical. …
Persistent link: https://www.econbiz.de/10008503201
Cover Image
No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth.
Jardet, C.; Monfort, A.; Pegoraro, F. - Banque de France - 2009
Macroeconomic questions involving interest rates generally require a reliable joint dynamics of a large set of variables. More precisely, such a dynamic modelling must satisfy two important conditions. First, it must be able to propose reliable predictions of some key variables. Second, it must...
Persistent link: https://www.econbiz.de/10005034720
Cover Image
A term structure model with level factor cannot be realistic and arbitrage free
Dubecq, S.; Gourieroux, C. - Banque de France - 2012
A large part of the term structure literature interprets the first underlying factors as a level factor, a slope factor, and a curvature factor. In this paper we consider factor models interpretable as a level factor model, a level and a slope factor model, respectively. We prove that such...
Persistent link: https://www.econbiz.de/10009421798
Cover Image
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
Cover Image
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 of Notional interest rate futures options and to investigate how traders reacted to a political event. We first focus on 5 dates surrounding the 1997 snap election and several...
Persistent link: https://www.econbiz.de/10005036199
Cover Image
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
Cover Image
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
Cover Image
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 of Notional interest rate futures options and to investigate how traders react to a political event. We first focus on 5 dates surrounding the 1997 snap election and several...
Persistent link: https://www.econbiz.de/10005646662