An extensive body of research related to immigrants in a variety of countries has documented a "healthy immigrant effect" (HIE). When immigrants arrive in the host country they are healthier than comparable native populations, but their health status may deteriorate with additional years in the...

Cycles play an important role when analyzing market phenomena. In many markets, both overlaying (weekly, seasonal or business cycles) and time-varying cycles (e.g. asymmetric lengths of peak and off peak or variation of business cycle length) exist simultaneously. Identification of these market...

This paper investigates dynamic asymmetries in house price cycles. We introduce an ad-hoc nonlinear model to capture real estate cycles. The suggested model involves a particular parametrization of the transition function used in the transition equation of a smooth transition autoregressive...

Previous studies have shown that the effectiveness of monetary policy largely depends on market expectations about future policy actions. This paper proposes an econometric framework to address the effect of the current state of the economy on monetary policy expectations. Specifically, we study...

This paper contributes to the literature by examining the possible influence of public debt on economic performance, using data from both central and peripheral countries of the European Economic and Monetary Union for the 1960-2012 period. To this end, a simple aggregate production function...

From January 2016, all insurance companies that are regulated within Solvency II framework will have to value their asset and liabilities using a market-consistent method. This paper studies market-consistent and sub-consistent valuations in incomplete financial markets with two types (type I...

Long-term forecasts are of key importance for the car industry due to the lengthy period of time required for the development and production processes. With this in mind, this paper proposes new multivariate models to forecast monthly car sales data using economic variables and Google online...

This note studies robust estimation of the autoregressive (AR) parameter in a nonlinear, nonnegative AR model driven by nonnegative errors. It is shown that a linear programming estimator (LPE), considered by Nielsen and Shephard (2003) among others, remains consistent under severe model...

Estimation of GARCH models can be simplified by augmenting quasi-maximum likelihood (QML) estimation with variance targeting, which reduces the degree of parameterization and facilitates estimation. We compare the two approaches and investigate, via simulations, how non-normality features of the...

French Abstract: Cette étude a pour but d'évaluer la pertinence et le contenu prédictif des indicateurs de l'enquête qualitative trimestrielle auprès des banques sur la distribution du crédit (autrement dit le Bank Lending Survey ou BLS), dix ans après son lancement simultané dans tous...