Research
An analytical framework to price long-dated climate-exposed assets
term structure
climate risks
published
Inflation and growth risk: balancing the scales with surveys
term structure
macroeconomic dynamics
working paper
An analytical framework for public debt management
term structure
working paper
public debt
Fiscal fatigue and sovereign credit spreads
term structure
credit risk
public debt
working paper
Debt-stabilizing properties of GDP-linked securities: A macro-finance perspective
term structure
public debt
published
Understanding Swiss real interest rates in a financially globalized world
macroeconomic dynamics
published
Required capital for long run risk
macroprudential policy
published
Affine modeling of credit risk, pricing of credit events, and contagion
term structure
credit risk
published
Identification and estimation in non-fundamental structural VARMA models
macroeconomic dynamics
econometrics
published
Measuring inflation anchoring and uncertainty: A U.S. and euro area comparison
term structure
monetary policy
macroeconomic dynamics
published
National natural rates of interest and the single monetary policy in the euro area
macroeconomic dynamics
monetary policy
published
Staying at zero with affine processes: An application to term structure modelling
term structure
published
Frequency-domain analysis of debt service in a macro-finance model for the euro area
public debt
term structure
permanent working paper
Statistical inference for independent component analysis: Application to structural VAR models
macroeconomic dynamics
econometrics
published
Compound auto-regressive processes and defaultable bond pricing
term structure
credit risk
econometrics
book chapter
Credit and liquidity in interbank rates: a quadratic approach
term structure
credit risk
published
A tractable interest rate model with explicit monetary policy rates
term structure
monetary policy
published
A model of the euro-area yield curve with discrete policy rates
term structure
monetary policy
published
Options embedded in ECB Targeted refinancing operations
monetary policy
permanent working paper
Pricing default events: Surprise, exogeneity and contagion
term structure
credit risk
published
Measuring aggregate risk: Can we robustly identify asset-price boom–bust cycles?
macroprudential policy
published
Fiscal policy, default risk and euro-area sovereign bond spreads
term structure
credit risk
published
Regime switching and bond pricing
term structure
econometrics
published
The effectiveness of monetary policy since the onset of the financial crisis
monetary policy
permanent working paper
Default, liquidity and crises: an econometric framework
term structure
credit risk
published
Fiscal policy, default risk and euro-area sovereign bond spreads
term structure
macroeconomic dynamics
permanent working paper
House price boom/bust cycles: identification issues and macro-prudential implications
macroprudential policy
book chapter
Réformes fiscales dans un modèle DSGE France en économie ouverte
fiscal policy
published
What are the consequences of active management of average debt maturity in terms of cost and risk?
public debt
permanent working paper
A time-varying “natural” rate of interest for the euro area
monetary policy
macroeconomic dynamics
published
Does uncertainty make a time-varying natural rate of interest irrelevant for the conduct of monetary policy?
monetary policy
permanent working paper
Quelles sont les parts cyclique et structurelle du chômage en France?
fiscal policy
macroeconomic dynamics
short paper
Caractéristiques des marchés du travail dans les pays de l’OCDE
fiscal policy
macroeconomic dynamics
short paper
Regle de Taylor et politique monetaire dans la zone euro
monetary policy
permanent working paper
Is economic activity in the G7 synchronized? Common shocks versus spillover effects
macroeconomic dynamics
permanent working paper
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