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Generalizing the Taylor Principle: New Comment.
Barthélemy, J.; Marx, M. - Banque de France - 2012
In this paper, we provide determinacy conditions, i.e. conditions ensuring the existence and uniqueness of a bounded solution, in a purely forward-looking linear Markov switching rational expectations model. We thus settle the debate between Davig and Leeper (2007) and Farmer et al. (2010). The...
Persistent link: https://www.econbiz.de/10010585703
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Debt enforcement and the return on money
Rojas-Breu, M. - Banque de France - 2011
The rate-of-return-dominance puzzle asks why low-return assets, like fiat money, are used in actual economies given … monetary models which arbitrarily restrict the marketability properties of alternative assets to make money valuable are … difficult to assess. In this paper, I provide a framework in which fiat money has value in equilibrium, even though a higher …
Persistent link: https://www.econbiz.de/10009320820
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Excès de liquidité monétaire et prix des actifs.
Gouteron, S.; Szpiro, D. - Banque de France - 2005
prices, and the extension of the quantitative equation of money to transactions on assets does not stabilize the money …
Persistent link: https://www.econbiz.de/10005056539
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The Expectation Theory: Tests on French, German, and American Euro-Rates.
Jondeau, E.; Ricart, R. - Banque de France - 1996
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/10005036221
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State-Dependent Probability Distributions in Non Linear Rational Expectations Models
Barthélemy, J.; Marx, M. - Banque de France - 2011
In this paper, we provide solution methods for non-linear rational expectations models in which regime-switching or the shocks themselves may be "endogenous", i.e. follow state-dependent probability distributions. We use the perturbation approach to find determinacy conditions, i.e. conditions...
Persistent link: https://www.econbiz.de/10009352244
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Variantes en Univers Incertain.
Adjemian, S.; Cahn, C.; Devulder, A.; Maggiar, N. - Banque de France - 2009
In this paper, we try to illustrate the interest of the Bayesian approach for the evaluation of economic policies, often realised by analysing the response of the economy to a standard shock. We present a Stochastic Dynamic General Equilibrium model for the euro area. The Bayesian estimation...
Persistent link: https://www.econbiz.de/10005034721
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Did the EBA Capital Exercise Cause a Credit Crunch in the Euro Area?
Mésonnier, J-S.; Monks, A. - Banque de France - 2014
We exploit a unique monthly dataset of bank balance sheets to document the lending behaviour of euro area banks that were subject to the EBA's 2011/12 Capital Exercise. This exercise was announced in October 2011 and required large European banking groups to meet a higher Tier 1 capital ratio by...
Persistent link: https://www.econbiz.de/10010815982
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Macro-Prudential Policy and the Conduct of Monetary Policy.
Beau, D.; Clerc, L.; Mojon, B. - Banque de France - 2012
monetary and macro-prudential policies. Then, we use a DSGE model incorporating financial frictions, heterogeneous agents and …
Persistent link: https://www.econbiz.de/10010816001
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Bank leverage shocks and the macroeconomy: a new look in a data-rich environment.
Mésonnier, J-S.; Stevanovic, D. - Banque de France - 2012
The recent crisis has revealed the potentially dramatic consequences of allowing the build-up of an overstretched leverage of the financial system, and prompted proposals by bank supervisors to significantly tighten bank capital requirements as part of the new Basel 3 regulations. Although these...
Persistent link: https://www.econbiz.de/10010816017
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Monitoring the European CDS Market through Networks: Implications for Contagion Risks.
Clerc, L.; Gabrieli, S.; Kern, S.; El Omari, Y. - Banque de France - 2014
Based on a unique data set referencing exposures on single name credit default swaps (CDS) on European reference entities, we study the structure and the topology of the European CDS market and its evolution from 2008 to 2012, resorting to network analysis. The structural features revealed show...
Persistent link: https://www.econbiz.de/10010753778