This paper relaxes a fundamental hypothesis commonly accepted in the expectation formation literature: expectations are, unchangingly, either rational or generated by one of the three simple extrapolative, regressive or adaptive processes. Using expectations survey data provided by Consensus...

We present in this paper a method to extract fair prices from observable prices in an illiquid market. The dynamics of fair prices have a general form encompassing random walks. In fact, only a part of a movement in price is assumed to reflect fundamental changes, the rest is considered to be...

No-arbitrage macro-finance models use variance decompositions to gauge the extent of association between the macro variables and yields. We show that results generated by this approach are sensitive to the order of variables in the recursive identification scheme. In a four-factor model, one may...

This paper shows consistency of a two step estimation of the factors in a dynamic approximate factor model when the panel of time series is large ( large). In the first step, the parameters of the model are estimated from an OLS on principal components. In the second step, the factors are...

The aim of this article is to study the vulnerability of the New-Caledonian economy from the analysis of the historical trajectories of genuine saving and its component linked to natural capital. To this end, we calculate New-Caledonia's genuine saving, in accordance with the World Bank's...

This paper shows consistency of a two step estimation of the factors in a dynamic approximate factor model when the panel of time series is large ( large). In the first step, the parameters of the model are estimated from an OLS on principal components. In the second step, the factors are...

In this work, we use the VAR and space-state methodology to analyze how the recent developments in 20 European countries have modified the dynamics of structural shocks. Our results confirm a visible progress in (predominated output fluctuations) supply shocks convergence between the CEECs and...

No-arbitrage macro-finance models use variance decompositions to gauge the extent of association between the macro variables and yields. We show that results generated by this approach are sensitive to the order of variables in the recursive identification scheme. In a four-factor model, one may...

Ce papier présente un modèle macroéconomique qui associe étroitement théorie de la monnaie endogène et approche multi-agents. C'est un modèle décentralisé, peuplé d'agents multiples, hétérogènes, autonomes et concurrents qui interagissent simultanément dans les sphères réelle et...

This paper analyses the influence of organisational change on the widening of earnings inequality, depending on the nature of employers' policy with respect to both how to deal with moral hazard problems and how to manage the access to skills. In a linear agency model which explains...