Showing 1 - 10 of 161
-data from a major euro-area economy (France), we develop calibrated versions of these models. We assess the consequences for …
Persistent link: https://www.econbiz.de/10013128261
-level trade data on multinational firms with operations in France. We provide evidence that financial development generates a …
Persistent link: https://www.econbiz.de/10013131720
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,...
Persistent link: https://www.econbiz.de/10013131807
To explain the existence of stop-loss rules in financial institutions, we develop a principal/agent model, where an investment firm (the principal) has to rely on the expertise of a trader (the agent) to invest in a risky asset (a future contract, say). When the trader faces a limited liability...
Persistent link: https://www.econbiz.de/10013131855
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...
Persistent link: https://www.econbiz.de/10013131856
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...
Persistent link: https://www.econbiz.de/10013131857
Blanchard and Quah(1989) to compute the core inflation in UK. We apply the same technique for France, Germany and UK. Moreover …
Persistent link: https://www.econbiz.de/10013131867
Persistent link: https://www.econbiz.de/10013131868
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...
Persistent link: https://www.econbiz.de/10013131872
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...
Persistent link: https://www.econbiz.de/10013131873