We study the dynamics of the spread between U.S. corporate and Treasury bonds. We focus on Aaa and Baa corporate yield indices and estimate nonparametrically the dynamics of the spreads assuming that they follow a univariate diffusion process. Using techniques developed for interest rate...

The empirical literature on monetary policy shocks documents that contractionary shocks are followed by a persistent rise in interest rates and a persistent fall in output. Standard monetary business cycle models can account for the initial effects of monetary shocks, but have difficulty...

Dans les années soixante, l'étude de la stabilité, lorsque les échanges ont lieu en dehors de l'équilibre (Hahn-Negishi), a été par la suite utilement complétée par la prise en compte de la monnaie (Arrow-Hahn). Cependant, son introduction dans le modèle, à partir d'une contrainte de...

We study the properties of alternative central bank targeting procedures in a general equilibrium, monetary model with labor contracts, endogenous velocity and three shocks: money demand, supply and fiscal. Money demand -velocity- shocks emerge as the main source of macroeconomic volatility....

On compare deux cas d'incertitude qui ont abouti à des arguments de référence en faveur de moins d'activisme de la politique monétaire : celui où l'incertitude porte sur l'effet global de la politique, comme dans Brainard (1967) ; et celui où elle porte sur ses délais d'action, comme dans...

The paper investigates the links between the European Monetary Integration and the ongoing specificities and partial autonomy of industrial relations, labour markets and labour regimes at the national level. This is a follow up of John Hicks (1955) paper arguing that the Thirties experienced the...

Using a two country DGSE combining nominal rigidities and financial frictions, we show that the persistence of output and inflation asymmetries observed since 1999 in an increasingly integrated EMU is not necessarily puzzling. Only the integration of final goods markets unambiguously leads to a...

This paper investigates the relative price and relative wage effects of a higher productivity in the traded sector compared with the non traded sector in a two-sector open economy model with imperfect substitutability in hours worked across sectors. The Balassa-Samuelson [1964] model predicts...

In this paper, we build a two-country dynamic general equilibrium model to study whether European citizens would benefit from the eventual accession of Turkey to the European Union. The results of the simulations show that Turkey's accession to the European Union is welfare enhancing for...

The objective of this paper is analyse the determinants of the Argentine crisis of 2001-2002. In particular we analyse the role of macroeconomic policies during the crisis. The crisis coincided with a sudden stop of capital flows.We use a VAR model to better understand the shocks and mechanisms...