In this paper, we investigate the interactions between public debt and transfer policies in a framework based on Floden [2001], that we extend to allow for transitional dynamics between steady states. First, we show that, starting from a high level of public debt, it is possible to implement a...

This review of the literature presents the main tools and results of research at the crossroads between finance and macroeconomics. The literature seeks to jointly analyze the economic cycle and fluctuations in financial-asset prices.Our article follows this approach:we offer a critical analysis...

The main purpose of this succinct paper consists on bringing to discussion some arguments that oppose to the idea that the capitalization pension system is advantageous under macroeconomic aspect.

This thesis first presents India’s economy and financial system’s recent history and current issues. Then, with an emphasis on the recent turmoil period, it studies the question of financial integration in various markets: equity markets are dealt with in the 1st chapter, CDS spreads are...

To assess how financial markets and commodities are inter-related, this paper introduces a ‘volatility surprise’ component into the asymmetric DCC with one exogenous variable (ADCCX) framework. We develop an econometric model in which returns and volatility allow to influence pairs of...

This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect...

This paper proposes a new empirical methodology for computing a cross-market index – coined CMI – based on the Factor DCC-model. This approach solves both problems of treating high-dimensional data and estimating time-varying conditional correlations. We provide an application to a...

This paper contains the first empirical application of the Dynamic Equicorrelation (DECO) model to a cross-market dataset composed of equities, bonds, foreign exchange rates and commodities during 1983-2013. The originality of our approach consists in examining the volatility equicorrelations,...