We quantify the capital shortfall that results from a global financial crisis by using a macrofinance dynamic stochastic general equilibrium model that captures the interactions between the financial and real sectors of the economy. We show that a crisis similar to that observed in 2008...

The Gram-Charlier expansion, where skewness and kurtosis directly appear as parameters, has become popular in Finance as a generalization of the normal density. We show how positivity constraints can be numerically implemented, thereby guaranteeing that the expansion defines a density. The...

Using daily data covering the 1988-1995 period, this paper checks the effects of three kinds of determinants on the main stock market indices of the G5: interactions between return and volatility, international transmission mechanisms and impact of trading volumes. The non-significance of...

This paper evaluates the information content of the term structure about future changes in interest rates and changes in inflation rate, in France. A data set has been constructed, which contains zero-coupon yield curves on government bonds over the period 1980-95. The information content is...

In this study we compare the quality and information content of risk neutral densities obtained by various methods. We consider a non-parametric method based on a mixture of log-normal densities, the semi-parametric ones based on an Hermite approximation of Madan and Milne, or based on an...

This paper deals with the implications of the expectations hypothesis of the term structure on the dynamics of interest rates, which are supposed to have a restricted VAR representation. Constraints on the parameters of the restricted VAR lead us to prefer an indirect estimation based on the...

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 note estimates several constrained versions of an optimization-based multi-country model to test the sources of heterogeneity within the euro area. We show that the main source is the asymmetry of shocks affecting the economies and that the heterogeneity of behaviors does not seem to be of...

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,...