This paper describes a forecasting model of the French consumer price index. Its purpose is to allow for rapid and detailed analysis of recent inflation developments, as well as frequent forecasts. Its characteristics are therefore the following: a small number of equations, a monthly frequency,...

We study in this paper a forecasting model for long-term rates based both on the arbitrage-free hypothesis and the agents' rationality. The long-term rate is expressed as an average of expected short-term rates, which are modelized according to three models: two univariate models (with...

We investigate in this paper the ability of the yield spread to forecast economic activity in Germany, the United States and France. Two approaches are implemented. The first one, widely used, consists in regressing the growth rate of the GDP computed on various horizons on the yield spread. In...

Over the last decades, the composition of financial wealth of French households has dramatically changed. We seek explanatory factors for these changes by estimating an extended version of Deaton and Muellbauer (1980) model applied to French households' portfolio choices. We find that most of...

This paper describes a short-term projection model for French economic activity, OPTIM, the aim of which is twofold. First it gives an early estimate of real GDP growth for the previous quarter, when no figure has yet been released by Insee, the French National Statistical Institute, along with...