Année : 2011

How much should inflation targeters care about the exchange rate?

Mardi | 2011-09-27 B103 Jorge E. RESTREPO – Scott ROGER – Carlos J. GARCIA A DSGE model is used to examine whether including the exchange rate in the central bank’s policy rule can improve economic performance. Smoothing the exchange rate helps both financially robust economies and financially-vulnerable emerging economies in handling risk premium shocks and, given a small weight placed on the exchange rate, the effects on inflation and output volatility are minimal with demand and cost-push shocks. Financially vulnerable […]

Welfare gains from illiquid annuities

Mardi | 2011-06-07 B103 – 16h20 Hippolyte D’ALBIS In this article, we challenge the common thought that the annuity contract proposed by Yaari in his seminal 1965’s paper is optimal. We indeed show, in a standard neo-classical framework, that another contract, which actually resembles much more to the contracts that are proposed in the  » real world » , may be preferred by rational individuals. According to this contract, the annuities are an illiquid asset and the premium is age independent. […]

Spatial frictions (Article non disponible)

Mardi | 2011-05-24 B211 Kristian BEHRENS – Giordano MION – Yasusada MURATA – Jens SÜDEKUM The spatial structure of an economy is determined by the trade-off between agglomerationand dispersion forces. This trade-off crucially depends on spatial frictions – trade frictions for shipping goods across cities and urban frictions for concentrating people and firms in cities. Little is known to date about the quantitative importance of those frictions. To fill this gap, we develop a model that allows for the joint […]

Adaptive Estimation of Vector Autoregressive Models with Time-Varying Variance: Application to Testing Linear Causality in Mean

Mardi | 2011-05-17 B103 Valentin PATILEA – Hamdi RAÏSSI – libre Linear Vector AutoRegressive (VAR) models where the innovations could beunconditionally heteroscedastic and serially dependent are considered. Thevolatility structure is deterministic and quite general, including breaks ortrending variances as special cases. In this framework we propose OrdinaryLeast Squares (OLS), Generalized Least Squares (GLS) and Adaptive LeastSquares (ALS) procedures. The GLS estimator requires the knowledge ofthe time-varying variance structure while in the ALS approach the unknownvariance is estimated by kernel smoothing […]

The Macroeconomic Performance of the Inflation Targeting Policy: An approach based on the Evolutionary Co-Spectral Analysis

Mardi | 2011-05-03 B103 Zied FTITI This paper proposes a new methodology to check the economic performance of a monetary policy and in particular the inflation targeting policy (ITP). The main idea of this work is to consider the ITP as economically efficient when it generates a stable monetary environment. The latter is considered as stable when a long-run equilibrium exists to which the paths of economic variables (inflation rate, interest rate and GDP growth) converge. The convergence of the […]

Identification of Macroeconomic Factors in Large Panels

Mardi | 2011-04-19 B103 Lasse BORK – Hans DEWACHTER – Romain HOUSSA This paper presents a dynamic factor model where the extracted factorsand shocks are given a clear economic interpretation. The economic inter-pretation of the factors is obtained by means of a set of over-identifyingloading restrictions, while the structural shocks are estimated followingstandard practices in the SVAR literature. Estimators based on the EMalgorithm are developed. We apply this framework to a large panel of USmonthly macroeconomic series. In particular, we […]

Concurrence bancaire et coût du crédit : une analyse empirique sur un échantillon d’entreprises françaises

Mercredi | 2011-04-14 B103 Abdellah BOUCHELLAL Cet article étudie à partir d’un échantillon de 277 entreprises françaises entre 2006 et 2010, l’incidence de la concurrence bancaire sur le coût du crédit. Nous montrons l’existence d’une relation négative entre les marges appliquées aux crédits accordés aux entreprises, et le niveau de la concurrence entre les établissements de crédit mesurée par le nombre de banques en relation avec l’entreprise. Les résultats obtenus semblent indiquer que la multibancarité représente une solution efficace permettant […]