The "New Keynesian" Phillips Curve (NKPC) states that inflation has a purely forward-looking dynamics. In this paper, we test whether European and US inflation dynamics can be described by this model. For this purpose, we estimate hybrid Phillips curves, which include both backward and...

We evaluate how departure from normality may affect the conditional allocation of wealth. The expected utility function is approximated by a forth-order Taylor expansion that allows for non-normal returns. Market returns are characterized by a joint model that captures the time dependency and...

Many macroeconomic models involve hybrid equations, in which some variables are a function of both their lags and their expected future value. The hybrid ``New Keynesian'' Phillips Curve is a prominent example. Estimates of such hybrid models have produced conflicting empirical results: Studies...

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...

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...

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...

[eng] The Substitution Between Capital and Labour: an Evaluation Based on Panel Data - hen the costs of the factors of production vary, do firms alter their productive setup? The possibility of technical flexibility is analysed by the study on the elasticity of substitution between factors (that...

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>

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...