This paper examines heterogeneity in price stickiness using a large, original, set of individual price data collected at the retail level for the computation of the French CPI. To that end, we estimate, at a very high level of disaggregation, competing-risks duration models that distinguish...

Our survey covers the recent developments of the microeconometric literature on evaluation methods. In this field, the canonical model is Rubin's causal model, which is close to Roy's selectivity model. This model is the relevant framework for defining and for examining the identifiability...

The acceleration of the firm failure rate in France between 2008 and 2010 was preceded by a surge in the number of firms' creations in 2003-2004.Therefore, identifying the impact of the 2008 crisis requires to distinguish, among the failures occurring over the period, those resulting from the...

In order to assess transmission mechanisms between global and domestic house prices, and possibly contagion effects, we use a large database of macroeconomic variables for OECD countries. We extract common factors to summarize the comovements of the variables and include them in stationary FAVAR...

This paper explores the various shapes the recoveries may exhibit within a Markov-Switching model. It relies on the bounce-back effects first analyzed by Kim, Morley and Piger (2005) and extends the methodology by proposing i) a more flexible bounce-back model, ii) explicit tests to select the...

For central banks, institutional, and individual investors, it is crucial to understand the frequency and importance of drops or sudden rises in financial markets. Extreme value theory (EVT) is an interesting tool providing answers to questions such as: With what frequency do we find variations...

It is well known that traditional inference do not apply when the spectral density of a stationary process vanishes for some frequency. This paper examines some properties of several new non parametric tests of this hypothesis which have been recently proposed by Lacroix (1999). These tests...

Non parametric and parametric estimation for the spectral density of a stationary process is a well-known topic, except when the spectrum vanishes for some frequency. Indeed, for this frequency, the limit law degenerates, and traditional inference no longer applies. The paper introduces non...

Recent portfolio choice asset pricing and option valuation models highlight the importance of skewness and kurtosis. Since skewness and kurtosis are related to extreme variations they are also important for Value-at-Risk measurements. Our framework builds on a GARCH model with a condi-tional...

We identify and examine the presence of the long memory in equity returns and more generally in specific transformations of these returns, on both the US and European stock markets. Taking into account the persistence phenomenon, we analyze the effect of the splitting of the sample period on the...