This paper shows that a neoclassical model with standard assumptions but endowed with an explicit age structure of the population, converges to its balanced growth path with damped oscillations. It therefore reproduces a trend-reverting process with short run fluctuations that is displayed by...

We analyze empirically the determinants of Eurozone Treasury bills yields. Market microstructure as well as macroeconomic variables are found to significantly impact yields. Secondary trading in a centralized transparent electronic limit order book enhances liquidity and thus reduce yields....

Monetary policy contributes to stabilize growth. Particularly in a reforming context for financial and economic activities, it is important to know how central bankers’ decisions through the short term interest rate of the money market are transmitted to the real variables: the GDP and the...

This doctoral thesis develops regime-switching models of the term structure of interest rates. A general framework is proposed to model the joint dynamics of yield curves associated with different debtors (Chapter 2). This framework is exploited to analyse the fluctuations of ten euro-area...

Assets managers use financial institutions market studies to allocate assets. These studies show the evolution of financial and economic variables. These variables contribute to the determination of assets price. The purpose of this paper is to test the existence and the form of a relation on...

This paper provides an analysis of co-movements between real and financial variables in three new EU member countries (the Czech Republic, Hungary and Poland) and the euro area. It focuses on the co-movement between real credit granted to firms and real industrial output on the one hand, and...

The present paper contributes to the body of knowledge on search frictions in credit markets by demonstrating their ability to explain why the net interest margins of banks behave countercyclically. During periods of expansion, a fall in the net interest margin proceeds from two mechanisms: (i)...

The recent observed decline of business cycle variability suggests that broad macroeconomic risk may have fallen as well. This may in turn have some impact on equity risk premia. We investigate the latent structures in the volatilities of the business cycle and stock market valuations by...

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...