This paper investigates the predictive accuracy of two alternative forecasting strategies, namely the forecast and information combinations. Theoretically, there should be no role for forecast combinations in a world where information sets can be instantaneously and costlessly combined. However,...

This paper introduces the new Monthly Index of Business Activity (MIBA) model of the Banque de France for forecasting France's GDP. As the previous versions, the model relies exclusively on data from the monthly business survey (EMC) conducted by the Banque de France. However, several major...

This study explores the factors driving the observed movements of the profit share in several major industrialised countries (France, Germany, United States, United Kingdom and Japan) over the period 1970-2000. Within the group of countries we study, both the level and the fluctuations of the...

This article explores the determinants of price level fluctuations in Britain during the first suspension of the gold standard over the 1797-1821 period. I find that the contemporary price level was determined by world gold prices and expectations regarding the resumption of the gold standard at...

Between 1797 and 1821, Britain suspended the gold standard in order to finance the Napoleonic Wars. This measure was accompanied by large scale debt accumulation and inflation: After Napoleon’s final defeat at Waterloo in 1815, the debt to GDP ratio had climbed to 226%; the price level...

The debate on the forecasting ability in economics of non-linear models has a long history, and the Great Recession provides us with an opportunity for a re-assessment of the forecasting performance of several classes of non-linear models, widely used in applied macroeconomic research. In this...

We consider the channel consisting in transferring the credit risk associated with refinancing operations between financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French government debt securities market, since these assets are used...

We examine the effects of collateral provision as a potential channel between funding liquidity tensions and the scarcity of market liquidity. This channel consists in transferring the credit risk associated with refinancing operations between financial institutions to market participants that...

This paper proposes new bridge equations for the Monthly Index of Business Activity (MIBA) published by the Banque de France. The MIBA is a forecasting tool for the quarterly GDP growth in France both for the current quarter and the next quarter, originally based on the surveys in the industrial...

The aim of this paper is to build and estimate a macroeconomic model of credit risk for the French manufacturing sector. This model is based on Wilson's CreditPortfolioView model (1997a, 1997b); it enables us to simulate loss distributions for a credit portfolio for several macroeconomic...