It is well known that the class of strong (Generalized) AutoRegressive Conditional Heteroskedasticity (or GARCH) processes is not closed under contemporaneous aggregation. This paper provides the dynamics followed by the aggregate process when the individual persistence parameters are drawn from...

Since it burst onto the scene of mainstream monetary economics, the New Neo-Classical Phillips Curve has been the focus of two important empirical debates. First, to what extent properly measured marginal costs affect inflation dynamics. Second, to what extent purely forward looking inflation...

The "New Keynesian" Phillips Curve (NKPC) states that inflation has a purely forward-looking dynamics. In this paper, we test whether European and US inflation dynamics can be described by this model. For this purpose, we estimate hybrid Phillips curves, which include both backward and...

Sector-level Phillips curves are estimated in French data. There is considerable heterogeneity across sectors, with vastly different estimates of the backward looking component of inflation and the duration of nominal rigidities. A multi-sector model of inflation dynamics is calibrated on the...

It is well known that strategies that allow investors to allocate their wealth using return and volatility forecasts, the use of which are termed market and volatility timing, are of significant value. In this paper, we show that distribution timing, defined here as the ability to use forecasts...

[spa] Gestión óptima de las finanzas públicas en presencia de costes de ajuste, . por Jean-François Loué y Eric Jondeau.. . Las modifîcaciones de las reglas fiscales y las modalidades de la acción y de los gastos públicos presentan incertidumbres para el sector privado y, por ende,...

We investigate the implications of cross-country heterogeneity within the euro area for the design of optimal monetary policy. We build an optimizing-based multi-country model (MCM) describing the euro area in which differences between structural parameters across countries are allowed. Using...

type="main" xml:lang="en" <p>Correlations betwen international equity markets are often claimed to increase during periods of high volatility. Therefore the benefits of international diversification are reduced when they are most needed, i.e. during turbulent periods. This paper investigates the...</p>

The aggregation of individual random AR(1) models generally leads to an AR(∞) process. We provide two consistent estimators of aggregate dynamics based on either a parametric regression or a minimum distance approach for use when only macro data are available. Notably, both estimators allow us...