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...

Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption that economic variables are properly measured by a single indicator, and that all relevant information for the estimation is summarized by a small number of data series. However,...

We propose a new methodology for the analysis of impulse response functions in VAR or VARMA models. More precisely, we build our results on the non ambiguous notion of innovation of a stochastic process and we consider the impact of any kind of new information at a given date $t$ on the future...

The paper studies how parameter variation affects the decision rules of a DSGE model and structural inference. We provide diagnostics to detect parameter variations and to ascertain whether they are exogenous or endogenous. Identification and inferential distortions when a constant parameter...

French Abstract: Cet article vise à présenter et mettre en perspective les approches structurelles et non structurelles en économétrie de l'évaluation des politiques publiques. Si ces approches sont souvent opposées car correspondant à des démarches scientifiques différentes, elles se...

This Study and Research Paper is devoted to different estimates of the French economy's potential output and output gap. Several methods, which are presented in detail, are put forward to measure these indicators. The first two sections of the paper profile statistical univariate approaches:...

The shocks on a stochastic system can be defined by means of either distribution, or variable. We relate these approaches and provide the link between the global and local effects of both types of shocks. These methodologies are used to perform stress-tests on the portfolio of financial...

In this paper we propose an approach to Asset Liability Management of various institutions, in particular insurance companies, based on a dual VaR constraint for the asset and the surplus. A key ingredient of this approach is a flexible modelling of the term structure of interest rates leading...

The Generalized Calvo and the Generalized Taylor model of price and wage-setting are, unlike the standard Calvo and Taylor counterparts, exactly consistent with the distribution of durations observed in the data. Using price and wage micro-data from a major euro-area economy (France), we develop...

We examine the effects of introducing investment adjustment costs, variable capital utilization, indivisible labor, and material goods into a sticky price model subject to a cash-in-advance constraint. Combining these elements, the model overcomes the main criticisms traditionally addressed to...