In recent years, factor models have received increasing attention from both econometricians and practitioners in the forecasting of macroeconomic variables. In this context, Bai and Ng (2008) find an improvement in selecting indicators according to the forecast variable prior to factor...

This paper develops new bridge models to forecast the quarterly GDP growth in France in the short run. We only use data from business survey in the French industry, services and construction. Two alternative methods are considered. The first one relies on the GETS algorithm applied to blocks of...

In recent years, factor models have received increasing interest from central banks and international organizations to forecast macroeconomic variables. We examine the performance of these models in forecasting the French GDP growth rate over short horizons. The factors are extracted from a...

In recent years, central banks and international organisations have been making ever greater use of factor models to forecast macroeconomic variables. We examine the performance of these models in forecasting French GDP growth over short horizons. The factors are extracted from a large data set...

This paper merges two specifications recently developed in the forecasting literature: the MS-MIDAS model (Guérin and Marcellino, 2013) and the factor-MIDAS model (Marcellino and Schumacher, 2010). The MS-factor MIDAS model that we introduce incorporates the information provided by a large data...

We examine the effects of collateral provision as a potential channel between funding liquidity tensions and the scarcity of market liquidity. This channel consists in transferring the credit risk associated with refinancing operations between financial institutions to market participants that...

The aim of this paper is to build and estimate a macroeconomic model of credit risk for the French manufacturing sector. This model is based on Wilson’s Credit Portfolio View model (1997a, 1997b); it enables us to simulate loss distributions for a credit portfolio for several macroeconomic...

We consider the channel consisting in transferring the credit risk associated with refinancing operations between financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French government debt securities market, since these assets are used...

This paper explores the forecasting abilities of Markov-Switching models. Although MS models generally display a superior in-sample fit relative to linear models, the gain in prediction remains small. We confirm this result using simulated data for a wide range of specifications. In order to...

This paper investigates the relationship between trading volume and price volatility in the crude oil and natural gas futures markets when using high-frequency data. By regressing various realized volatility measures (with/without jumps) on trading volume and trading frequency, our results...