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Monnet, Cyril - 2005

matching model with no commitment and no enforcement. An intrinsically worthless but perfectly durable object called a ‘note …

Persistent link: https://www.econbiz.de/10011604558

Money talks

Hoerova, Marie; Monnet, Cyril; Temzelides, Ted - 2009

We study credible information transmission by a benevolent Central Bank. We consider two possibilities: direct … revelation through an announcement, versus indirect information transmission through monetary policy. These two ways of … transmitting information have very different consequences. Since the objectives of the Central Bank and those of individual …

Persistent link: https://www.econbiz.de/10011605137

Measuring comovements by regression quantiles

Cappiello, Lorenzo; Gérard, Bruno; Manganelli, Simone - 2005

This paper develops a rigorous econometric framework to investigate the structure of codependence between random variables and to test whether it changes over time. Our approach is based on the computation - over both a test and a benchmark period - of the conditional probability that a random...

Persistent link: https://www.econbiz.de/10011604547

Infinite-dimensional VARs and factor models

Chudik, Alexander; Pesaran, Hashem - 2009

This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...

Persistent link: https://www.econbiz.de/10011605044

Why do financial systems differ? History matters

Monnet, Cyril; Quintin, Erwan - 2005

We describe a dynamic model of financial intermediation in which fundamental characteristics of the economy imply a unique equilibrium path of bank and financial market lending. Yet we also show that economies whose fundamental characteristics have converged may continue to have very different...

Persistent link: https://www.econbiz.de/10011604488

Near-rational exuberance

Bullard, James; Evans, George W.; Honkapohja, Seppo - 2005

We study how the use of judgement or “add-factors” in macroeconomic forecasting may disturb the set of equilibrium outcomes when agents learn using recursive methods. We isolate conditions under which new phenomena, which we call exuberance equilibria, can exist in standard macroeconomic...

Persistent link: https://www.econbiz.de/10011604601

A new theory of forecasting

Manganelli, Simone - 2006

This paper argues that forecast estimators should minimise the loss function in a statistical, rather than deterministic, way. We introduce two new elements into the classical econometric analysis: a subjective guess on the variable to be forecasted and a probability reflecting the confidence...

Persistent link: https://www.econbiz.de/10011604630

A dynamic model of settlement

Koeppl, Thorsten Volker; Monnet, Cyril; Temzelides, Ted - 2006

full information first-best allocation cannot be supported due to incentive constraints. In contrast, this allocation is …

Persistent link: https://www.econbiz.de/10011604650

Asset allocation by penalized least squares

Manganelli, Simone - 2007

This paper shows how the problem of mean-downside risk portfolio allocation can be cast in terms of penalized least squares (PLS). The penalty is given by a power function of the returns below a certain threshold. We derive the asymptotic properties of the PLS estimator, allowing for possible...

Persistent link: https://www.econbiz.de/10011604769

Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR

White, Halbert; Kim, Tae-Hwan; Manganelli, Simone - 2008

Engle and Manganelli (2004) propose CAViaR, a class of models suitable for estimating conditional quantiles in dynamic settings. Engle and Manganelli apply their approach to the estimation of Value at Risk, but this is only one of many possible applications. Here we extend CAViaR models to...

Persistent link: https://www.econbiz.de/10011605003