It is well known that non-normality plays an important role in asset and risk management. However, handling a large number of assets has long been a challenge. In this paper, we present a statistical technique that extends Principal Component Analysis to higher moments such as skewness and...

Sector-level Phillips curves are estimated in French data. There is considerable heterogeneity across sectors, with vastly different estimates of the backward looking component of inflation and the duration of nominal rigidities. A multi-sector model of inflation dynamics is calibrated on the...

In this paper, we investigate the sources of heterogeneity within the euro area. For this purpose, we build an optimization-based multi-country model (MCM) that allows different sources of heterogeneity across countries, both in terms of behavior of economic agents and in terms of asymmetry of...

The aggregation of individual random AR(1) models generally leads to an AR(∞) process. We provide two consistent estimators of aggregate dynamics based on either a parametric regression or a minimum distance approach for use when only macro data are available. Notably, both estimators allow us...

type="main" xml:lang="en" <p>Correlations betwen international equity markets are often claimed to increase during periods of high volatility. Therefore the benefits of international diversification are reduced when they are most needed, i.e. during turbulent periods. This paper investigates the...</p>

It is well known that strategies that allow investors to allocate their wealth using return and volatility forecasts, the use of which are termed market and volatility timing, are of significant value. In this paper, we show that distribution timing, defined here as the ability to use forecasts...

We investigate the implications of cross-country heterogeneity within the euro area for the design of optimal monetary policy. We build an optimizing-based multi-country model (MCM) describing the euro area in which differences between structural parameters across countries are allowed. Using...

[spa] Gestión óptima de las finanzas públicas en presencia de costes de ajuste, . por Jean-François Loué y Eric Jondeau.. . Las modifîcaciones de las reglas fiscales y las modalidades de la acción y de los gastos públicos presentan incertidumbres para el sector privado y, por ende,...

[fre] Les politiques monétaires au sein du SME, . par Patrick Jacq, Eric Jondeau, Frank Sédillot. . . Les contraintes imposées par le SME et les perspectives de l 'union européenne ont permis une convergence spectaculaire des taux d'intérêt de l'ensemble des pays membres. Cette convergence...

[eng] The Sustainability of Budget Policy, . by Eric Jondeau.. . The hypothesis of the sustainability of French budget policy, according to which there is a long-term relationship between receipts and expenses, is tested and rejected. The reason for this is probably the change in the...