[eng] This paper presents a dynamic stochastic general equilibrium (DSGE) model of the French economy in the euro zone. The model is partly estimated with Bayesian techniques for nominal and real rigidity parameters. It seeks to assess the impact of tax reforms on the French economy, allowing...

In order to derive closed-form expressions of the prices of credit derivatives, the standard models for credit risk usually price the default intensities but not the default events themselves. The default indicator is replaced by an appropriate prediction and the prediction error, that is the...

We investigate the extent to which it is possible to detect asset-price booms and banking crises according to alternative identification strategies and we assess their robustness. We find some evidence that house price-booms are more likely to turn into costly recession or to trigger a banking...

This doctoral thesis develops regime-switching models of the term structure of interest rates. A general framework is proposed to model the joint dynamics of yield curves associated with different debtors (Chapter 2). This framework is exploited to analyse the fluctuations of ten euro-area...

In the wake of the Great Recession, a massive monetary policy stimulus was provided in the main OECD economies. It helped to stabilise financial markets and avoid deflation. Nonetheless, GDP growth has been sluggish and in some countries lower than expected given the measures taken, and...