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...

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 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...

The estimation of the jump component in asset pricing has witnessed a considerably growing body of literature. Of particular interest is the decomposition of total volatility between its continuous and jump components. Recent contributions highlight the importance of the jump component in...

We reinvestigate the issue of excess comovements of commodity prices initially raised in Pindyck and Rotemberg (1990). While Pindyck and Rotemberg and following contributions consider this issue using an arbitrary set of control variables, we develop our analysis using recent development in...

In recent years, the dynamics of M3 in the euro area have been driven by two factors : a strong preference for liquidity, observed between 2001 and 2003, followed by a normalisation, at a relatively moderate pace, of portfolio behaviour; as regards the counterparts, changes in M3 and net...

As both speculative and hedging financial flows into commodity futures are expected to link commodity price formation more strongly to equity indices, we investigate whether these processes also create increased correlation amongst the commodities themselves. Considering U.S. oil and gas...

We proceed to an impulse-response analysis on the conditional correlations between three stock indices returns: the S&P 500, the ftse 100 and the Nikkei 225. As a first step, a general asymmetric dynamic conditional correlation (ga-dcc) model proposed by Cappiello, Engle and Sheppard [2006] is...