Using Consensus Economics survey data on JPY/USD and GBP/USD exchange rate expectations for the 3- and 12-month horizons over the period November 1989 – December 2012 we first show that expectations fail to unbiasedness tests and do not exhibit a learning process towards rationality. Our...

This paper shows that, Rueff (1925, 1931) distinguished [a] a « permanent » unemployment due to excessive real wages relative to the labor productivity, [b] a “temporary” unemployment due to a decline in the economic activity resulting from a cyclic decrease of the price level, and [c] a...

We analyze the empirical relationship between announcement effects and return volatilities of four CAC40 companies using intraday financial and event data from SBF-Euronext and Bloomberg, respectively. We estimate the daily component of the intraday volatility using a FIGARCH model and the...

Le modèle Wage Setting – Price Setting (WS-PS, Layard - Nickel - Jackman (1991)) fondé sur les négociations salariés-employeurs fournit un cadre général théorique simple et opérationnel pour comprendre les évolutions macroéconomiques historiques du chômage et des salaires en France...

Using Consensus Forecast survey data on WTI oil price expectations for three and twelve month horizons over the period November 1989 – December 2008, we find that the rational expectation hypothesis is rejected and that none of the traditional extrapolative, regressive and adaptive processes...

Using Consensus Forecasts monthly surveys, we show that experts' interest rate expectations in the Eurofranc market do not verify the rational expectations hypothesis. Instead, these expectations are found to be generated by a mixed process combining the traditional adaptive, regressive and...

Using financial experts’ Yen/USD exchange rate expectations provided by Consensus Forecasts surveys (London), this paper aims to model the 3 and 12-month ahead ex-ante risk premia measured as the difference between the expected and forward exchange rates. According to a two-country portfolio...

This paper seeks to address the stock price adjustment toward fundamentals. Using the class of Switching Transition Error Correction Models (STECMs), we show that two regimes describe the dynamics of stock price deviations from fundamentals in the G7 countries over the period 1969-2005....

According to the quantitative theory of money, an expansion of the money supply leads both to a decrease of interest rates and an increase of the general level of good prices. This negative correlation expected between these two variables being contradicted by the positive correlation observed...

Semi-annual surveys carried out by J. Livingston on a panel of experts have enabled us to compute the expected returns over the time span 1-semester and 2-semesters ahead on a portfolio made up of US industrial stocks. We calculated about 3000 individual ex-ante equity risk premia over the...