This paper describes a forecasting model of the French consumer price index. Its purpose is to allow for rapid and detailed analysis of recent inflation developments, as well as frequent forecasts. Its characteristics are therefore the following: a small number of equations, a monthly frequency,...

In this paper, we estimate two small, forward-looking, macroeconomic models for the US and Germany and we compare the implied optimal monetary policy rules. Both models have a standard structure: an I-S curve, a Phillips curve, a short term interest-rate rule and a long term interest rate...

Estimating a forward-looking monetary policy rule by the Generalized Method of Moments (GMM) has become a popular approach since the influential paper by Clarida, Gali, and Gertler (1998). However, an abundant econometric literature underlines the unappealing small-samples properties of GMM...

The "New Keynesian" Phillips Curve (NKPC) states that inflation has a purely forward-looking dynamics. In this paper, we test whether European and US inflation dynamics can be described by this model. For this purpose, we estimate hybrid Phillips curves, which include both backward and...

Many macroeconomic models involve hybrid equations, in which some variables are a function of both their lags and their expected future value. The hybrid "New Keynesian" Phillips Curve is a prominent example. Estimates of such hybrid models have produced conflicting empirical results: Studies...

This paper deals with tests of the expectations hypothesis of the term structure on French, German, UK and US short-term interest rates. Three tests are examined: the first is based on forward rates and the other two are based on the interest rates spread. First, we show that the puzzle...

This paper focuses on the expectations hypothesis of the term structure on long-term government bonds. Standard tests (based on the relationships between the change in the long-term rate and the spread and between the change in the short-term rate and the spread) lead to a puzzle close to the...

In this paper we give a precise definition of long-run causality in a multivariate non-stationary, possibly cointegrated, framework. A variable is said to be causal for another in the long run if knowledge of the past of the former improves long-run predictions of the latter. In a VAR framework,...

We study in this paper a forecasting model for long-term rates based both on the arbitrage-free hypothesis and the agents' rationality. The long-term rate is expressed as an average of expected short-term rates, which are modelized according to three models: two univariate models (with...

The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR as well as of Notional interest rate futures options and to investigate how traders reacted to a political event. We first focus on 5 dates surrounding the 1997 snap election and several...