This paper studies the nonlinear adjustment between industrial production and carbon prices – coined as ‘the carbon-macroeconomy relationship’ – in the EU 27. We model carbon price returns and industrial production as nonlinear and state-dependent, with dynamics depending on the sign and...

This article is centred on the volatility of commodity prices. It presents the instruments offering a protection against volatility and shows how they can be employed. The first section exposes these derivative instruments. It distinguishes them in step with the need they respond and the way...

We examine the unconditional distribution of the realized variance of three European stock market indexes obtained from intraday transaction prices. We find that they share common distributional features: a significant mass close to zero, a sharp decrease afterwards and a significant right tail....

Our thesis focuses on SMB bank financing in France. This Kind of firms tends to borrow from more than one bank to finance their investments in recent years. The choice of multiple bank relationships by SMB leads us to formulate two questions i) What are the determinants of the choice of number...

Developing term structure models can be tricky, as unknown factors and non-observable variables can affect futures prices. But principal components analysis is useful in tackling these problems. Here, Delphine Lautier uses PCA to pin down price movements, test their stability over time and to...

Despite a large body of literature on the topic, empirical tests of real option models are scarce. The lack of data offers an initial explanation for this. However other intrinsic reasons could well explain why real options are difficult to test on large-scale studies. We show that the use of...

This article analyses long-term dynamic hedging strategies relying on term structure models of commodity prices and proposes a new way to calibrate the models which takes into account the errors associated to the hedge ratios. Different strategies, with maturities up to seven years, are tested...

The European Union enforced respect of human rights and democratic principles an essential elements of all its preferential and non preferential trading agreements since the beginning of the 90's. In all EU external agreements, an essential element would imply that the EU can impose sanctions...

The intention of this article is to take advantage of recent discoveries in econometrics (ARCH processes) to reformulate classical tests about the efficiency of financial market. It is also intended to improve the quality of stock index forecasts. Classical tests about the efficiency are...