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Disaster Risk and Preference Shifts in a New Keynesian Model
Isoré, Marlène - 2017
In RBC models, “disaster risk shocks” reproduce countercyclical risk premia but generate an increase in consumption … solution to this puzzle by developing a New Keynesian model with such a small but time-varying probability of “disaster”. We … procyclical consumption and wages, while preserving countercyclical risk premia, in response to disaster risk shocks. The …
Persistent link: https://www.econbiz.de/10012966386
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Towards Recoupling? Assessing the Global Impact of a Chinese Hard Landing Through Trade and Commodity Price Channels
Gauvin, Ludovic - 2015
China's rapid growth over the past decade has been one of the main drivers of the rise in mineral commodity demand and prices. At a time when concerns about the sustainability of China's growth model are rising, this paper assesses to what extent a hard landing in China would impact other...
Persistent link: https://www.econbiz.de/10013019979
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The Currency Channel of the Global Bank Leverage Cycle
Pedrono, Justine - 2022
The amplitude of leverage procyclicality is heterogeneous across banks and across countries. This paper introduces international diversification of bank balance sheet as a factor of this observed heterogeneity, with a special emphasis on currency diversification. Based on a new theoretical...
Persistent link: https://www.econbiz.de/10013293954
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Interactions between Business Cycles, Stock Market Cycles and Interest Rates : The Stylised Facts
Avouyi-Dovi, Sanvi - 2010
In this paper, we study the co-movements between stock market indices and real economic activity over the business cycle in France, Germany, Italy, the United Kingdom and the United States, using two complementary approaches in our analysis. First, we identify the turning points in real economy...
Persistent link: https://www.econbiz.de/10013136227
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Do Financial Markets Forecast Economic Turning Points?
Bellone, Benoit - 2010
This article aims at estimating leading indicators of the American economy with financial variables. We use two types of hidden Markov chains models, a quantitative one (Krolzig (1997)) and a qualitative one (Gregoir and Lenglart (2000)). These models provide a robust and reliable framework to...
Persistent link: https://www.econbiz.de/10013136232
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Are Business and Credit Cycles Converging or Diverging? A Comparison of Poland, Hungary, the Czech Republic and the Euro Area
Avouyi-Dovi, Sanvi - 2010
This paper provides an analysis of co-movements between real and financial variables in three new EU member countries (the Czech Republic, Hungary and Poland) and the euro area. It focuses on the co-movement between real credit granted to firms and real industrial output on the one hand, and...
Persistent link: https://www.econbiz.de/10013136629
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Optimal Monetary and Prudential Policies
Collard, Fabrice - 2012
The recent financial crisis has highlighted the interconnectedness between macroeconomic and financial stability and has raised the question of whether and how to combine the corresponding main policy instruments (interest rate and bank-capital requirements). This paper offers a characterization...
Persistent link: https://www.econbiz.de/10013096163
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Housing Loans' Development in France : An Analysis in Terms of Cycles
Kierzenkowski, Rafaƚ - 2015
This article puts forward a framework based primarily on probabilistic tools to analyse the nature of housing loan cycles in France. The continued high growth rate of housing loans may indeed raise concerns as to the duration and determinants of the cycle which currently prevails. The results...
Persistent link: https://www.econbiz.de/10013038508
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Risk-Adjusted Linearizations of Dynamic Equilibrium Models
Lopez, Pierlauro - 2018
-Cochrane habits, recursive preferences, and time-varying disaster risk. The proposed affine approximation performs similarly to global …
Persistent link: https://www.econbiz.de/10012906892
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An Analytical Framework to Calibrate Macroprudential Policy
Bennani, Taryk - 2017
This project presents the analytical framework for macroprudential policy (AFMaP) developed at the Financial Stability Directorate of the Banque de France that could be used to calibrate macroprudential instruments and to provide analytical support to macroprudential policy decision making. In...
Persistent link: https://www.econbiz.de/10012944585