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Fixed-Income Pricing in a Non-Linear Interest-Rate Model.

Renne, J-P. - Banque de France - 2014

This paper introduces a novel kind of interest-rate model offering simple analytical pricing formulas for swaps, futures, swaptions, caps and floors. The model is based on an original use of regime-switching features that makes it consistent with the non-linear behavior of interest rates. In...

Persistent link: https://www.econbiz.de/10010940878

State-Dependent Probability Distributions in Non Linear Rational Expectations Models

Barthélemy, J.; Marx, M. - Banque de France - 2011

In this paper, we provide solution methods for non-linear rational expectations models in which regime-switching or the shocks themselves may be "endogenous", i.e. follow state-dependent probability distributions. We use the perturbation approach to find determinacy conditions, i.e. conditions...

Persistent link: https://www.econbiz.de/10009352244

Default, liquidity and crises: an econometric framework

Monfort, A.; Renne, J-P. - Banque de France - 2011

In this paper, we present a general discrete-time affine framework aimed at jointly modeling yield curves associated with different debtors. The underlying fixed-income securities may differ in terms of credit quality and/or in terms of liquidity. The risk factors follow conditionally Gaussian...

Persistent link: https://www.econbiz.de/10009275672

Regime Switching and Bond Pricing.

Gouriéroux, C.; Monfort, A.; Pegoraro, F.; Renne, J-P. - Banque de France - 2013

This article proposes an overview of the usefulness of the regime switching approach for building various kinds of bond pricing models and of the roles played by the regimes in these models. Both default-free and defaultable bonds are considered. The regimes can be used to capture stochastic...

Persistent link: https://www.econbiz.de/10010816014

A model of the euro-area yield curve with discrete policy rates.

Renne, J-P. - Banque de France - 2012

This paper presents a no-arbitrage model of the yield curve that explicitly incorporates the central-bank policy rate. After having estimated the model using daily euro-area data, I explore the behaviour of risk premia at the short end of the yield curve. These risk premia are neglected by the...

Persistent link: https://www.econbiz.de/10010568851

Monetary Policy and Herd Behavior: Leaning Against Bubbles.

Loisel, O.; Pommeret, A.; Portier, T. - Banque de France - 2012

We study the role of monetary policy when asset-price bubbles may form due to herd behavior in investment in an asset … from households to publicly invest in the old or the new technology. The three main results of the paper are that bubbles … directly access to less information than the investors; and that the central bank can eliminate bubbles by manipulating the …

Persistent link: https://www.econbiz.de/10010815962

The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets.

Jondeau, E.; Rockinger, M. - Banque de France - 1999

In the following paper the authors start with a review of theoretical elements of extreme value theory (evt). In the empirical section of this study they consider five mature markets, nine Asian, six Eastern European, and seven Latin American emerging markets. The tail-behavior of returns is...

Persistent link: https://www.econbiz.de/10005671921

On the Role of a Stock Market: A Study of France, Germany, and thez Euro Area.

Krainer, R. - Banque de France - 2008

What factors cause banks to lend to the private sector in a bank-based financial system like the ones in place in Europe? In this paper we compare a traditional demand oriented model to a non-traditional capital budgeting model of bank lending based on movements in the equity cost of capital for...

Persistent link: https://www.econbiz.de/10005036180

Conditional Dependency of Financial Series: An Application of Copulas.

Rockinger, M.; Jondeau, E. - Banque de France - 2001

We develop a new methodology that measures conditional dependency. We achieve this by using copula functions that link marginal distributions, here chosen to obey a GARCH-type model with time-varying skewness and kurtosis. We apply this model to daily returns of stock-market indices. We find...

Persistent link: https://www.econbiz.de/10005487057