Using a new database of actual import price data, and not unit value indices, for several euro area countries during the period between June 2005 and April 2011, we provide new results on the Exchange Rate Pass Through (ERPT). First, we use a multi-currency approach to distinguish between...

This paper develops an estimated multi-country open economy dynamic stochastic general equilibrium (DSGE) model with incomplete Exchange Rate Pass-Through (ERPT) for the Euro-area. It is designed to model global international linkages and to assess international transmission of shocks under an...

This paper develops an estimated multi-country open economy dynamic stochastic gen- eral equilibrium (DSGE) model with incomplete Exchange Rate Pass-Through (ERPT) for the Euro-area. It is designed to model global international linkages and to assess inter- national transmission of shocks under...

This paper analyzes the impact of macroeconomic uncertainty on a large sample of 19 commodity markets. We rely on a robust measure of macroeconomic uncertainty based on a wide range of monthly macroeconomic and financial indicators, and we estimate a structural threshold VAR (TVAR) model to...

[eng] Common Risk Factors on the International Stock, Bond and Exchange Markets . by Olivier De Bandt . This paper finds a «predictability» of yield spreads on the stock, bond and exchange markets in the United States, Japan, Germany and the United Kingdom for the 1980: 1-1994:5 period....

[eng] Structural VAR modeling: application to France's monetary policy by Catherine Bruneau and Olivier De Bandt . This paper discusses the purposes and limits of "structural" VAR modeling. It explains the choices that modelers have to make at different stages of the procedure. An illustration...

[fre] L'analyse statistique comparée des structures de financement des entreprises industrielles aux Etats-Unis, au Royaume-Uni, au Japon, en R.F.A. et en France, sur la période 1971-1983, permet de vérifier, dans une certaine mesure, les conclusions des théories faisant état de...

Cet article propose un modèle de croissance endogène dans lequel on introduit des intermédiaires financiers en concurrence imparfaite et une rémunération du capital soumise à un choc macroéconomique. Les anticipations rationnelles des ménages sur le risque de faillites bancaires (dont...

The paper investigates, from the welfare and growth point of view, the determination of the optimal capacity of the banking system. For that purpose, we consider an overlapping generation model with endogenous growth. There is horizontal differentiation and imperfect competition in the banking...