Working papers

The Working Paper Series showcases research work being conducted at the Banque de France on the development of analytical tools for use in macroeconomic forecasting, monetary policy conduct and the safeguarding of financial stability. The papers do not necessarily reflect the position of the Banque de France or the Eurosystem.

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December

Publication Working Paper Series no. 191:

Switching VARMA Term Structure Models - Extended Version

By Monfort Alain, Pegoraro Fulvio

Published on 12/01/2007
EN
PDF (516.23 KB)

November

Publication Working Paper Series no. 189:

Multi-Lag Term Structure Models with Stochastic Risk Premia

By Monfort Alain, Pegoraro Fulvio

Published on 11/01/2007
EN
PDF (792.21 KB)

Publication Working Paper Series no. 188:

Pricing and Inference with Mixtures of Conditionally Normal Processes

By Bertholon Henri, Monfort Alain, Pegoraro Fulvio

Published on 11/01/2007
EN
PDF (632.71 KB)

Publication Working Paper Series no. 190:

The Dynamic Effects of Disinflation Policies.

By Collard Fabrice, Fève Patrick, Matheron Julien

Published on 11/01/2007
EN
PDF (756.5 KB)

Publication Working Paper Series no. 187:

Two probabilistic cyclical turning point indicators for the French economy (in French)

By Adanero-donderis Marie, Darné Olivier, Ferrara Laurent

Published on 11/01/2007
EN
PDF (515.57 KB)

October

Publication Working Paper Series no. 185:

Lumpy Price Adjustments: A Microeconometric Analysis.

By Dhyne Emmanuel, Fuss Catherine, Pesaran Hashem, Sevestre Patrick

Published on 10/01/2007
EN
PDF (938.72 KB)

September

Publication Working Paper Series no. 182:

Differences in Interest Rate Policy at the ECB and the Fed: An Investigation with a Medium-Scale DSGE Model

By Smets Frank, Sahuc Jean-Guillaume

Published on 09/01/2007
EN
PDF (628.67 KB)

Publication Working Paper Series no. 184:

Does Money Matter for the Identification of Monetary Policy Shocks: A DSGE Perspective

By Poilly Céline

Published on 09/01/2007
EN
PDF (761.58 KB)

Publication Working Paper Series no. 183:

Euro Area Market Reactions to the Monetary Developments Press Release

By Coffinet Jérôme, Gouteron Sylvain

Published on 09/01/2007
EN
PDF (1.97 MB)

Publication Working Paper Series no. 178:

Financial Market Liquidity and the Lender of Last Resort

By Ewerhart Christian, Valla Natacha

Published on 09/01/2007
EN
PDF (706.92 KB)

Publication Working Paper Series no. 179:

Forced Portfolio Liquidation

By Ewerhart Christian, Valla Natacha

Published on 09/01/2007
EN
PDF (584.42 KB)

Publication Working Paper Series no. 180:

Indirect ICT Investment

By Beretti Paul-Antoine

Published on 09/01/2007
EN
PDF (849.3 KB)

Publication Working Paper Series no. 176:

Probability of informed trading: an empirical application to the euro overnight market rate.

By Idier Julien, Nardelli Stefano

Published on 09/01/2007
EN
PDF (1.06 MB)

Publication Working Paper Series no. 181:

Testing heterogeneity within the euro area

By Jondeau Eric, Sahuc Jean-Guillaume

Published on 09/01/2007
EN
PDF (519.51 KB)

Publication Working Paper Series no. 177:

Time-Varying Coefficients in a GMM Framework: Estimation of a Forward Looking Taylor Rule for the Federal Reserve

By partouche Harry

Published on 09/01/2007
EN
PDF (937.23 KB)

August

Publication Working Paper Series no. 175:

Does uncertainty make a time-varying natural rate of interest irrelevant for the conduct of monetary policy?

By Mésonnier Jean-Stéphane, Renne Jean-Paul

Published on 08/01/2007
EN
PDF (750 KB)

July

Publication Working Paper Series no. 174:

Global Ageing and Macroeconomic Consequences of Demographic Uncertainty in a Multi-regional Model

By Alho Juha, Borgy Vladimir

Published on 07/01/2007
EN
PDF (817.13 KB)

Publication Working Paper Series no. 172:

Housing loans' development in France: an analysis in terms of cycles. (in French)

By Kierzenkowski Rafal, Oung Vichett

Published on 07/01/2007
EN
PDF (1.02 MB)

Publication Working Paper Series no. 173:

Measuring Long-Run Exchange Rate Pass-Through. (en anglais)

By De Bandt Olivier, Banerjee Anindya, Kozluk Tomasz

Published on 07/01/2007
EN
PDF (569.42 KB)

June

Publication Working Paper Series no. 170:

Determinants of long-term interest rates in the United States and the euro area: A multivariate approach

By Idier Julien, Jardet Caroline, de Loubens Aymeric

Published on 06/01/2007
EN
PDF (1.63 MB)

Publication Working Paper Series no. 166:

Microeconometric evaluation methods (in French)

By Fougère Denis

Published on 06/01/2007
EN
PDF (521.67 KB)

Publication Working Paper Series no. 169:

The impact of financial constraints on innovation: What can be learned from a direct measure?

By Savignac Frédérique

Published on 06/01/2007
EN
PDF (445.41 KB)

Publication Working Paper Series no. 171:

The Monthly Index of Business Activity (MIBA): A revision (in French)

By Darné Olivier, Brunhes-Lesage Véronique

Published on 06/01/2007
EN
PDF (919.42 KB)

May

Publication Working Paper Series no. 168:

Understanding Asset Prices: Determinants and Policy Implications

By Clerc Laurent

Published on 05/01/2007
EN
PDF (461.17 KB)

April

Publication Working Paper Series no. 167:

Euro money market interest rates dynamics and volatility: How they respond to recent changes in the operational framework.

By Jardet Caroline, Le Fol Gaëlle

Published on 04/01/2007
EN
PDF (255.22 KB)

February

Publication Working Paper Series no. 165:

Is there a structural break in equilibrium velocity in the euro area?

By Bordes Christian, Clerc Laurent, Vêlayoudom Marimoutou

Published on 02/01/2007
EN
PDF (392.49 KB)

January

Publication Working Paper Series no. 162:

DSGE Models in a Data-Rich Environment

By Boivin Jean, Giannoni Marc

Published on 01/01/2007
EN
PDF (798.75 KB)

Publication Working Paper Series no. 164:

Price setting in the euro area: Some stylised facts from Individual Producer Price

By Vermeulen Philip, Dias Daniel, Dossche Maarten, Gautier Erwan, Hernando Ignacio, Sabbatini Roberto, Stahl Harald

Published on 01/01/2007
EN
PDF (541.02 KB)

Publication Working Paper Series no. 163:

Structural Assessment of the Sacrifice Ratio and the Euro Area (in French)

By Coffinet Jérôme, Matheron Julien, Poilly Céline

Published on 01/01/2007
EN
PDF (571.08 KB)

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