This paper presents a revised version of the model OPTIM, proposed by Irac and Sédillot (2002), used at the Banque de France in order to predict French GDP quarterly growth rate, for the current and next quarters. The model is designed to be used on a monthly basis by integrating monthly...

The quantitative and dynamic consequence of a social VAT reform, i.e. a fiscal reform consisting in substituting VAT for social contributions, is assessed using two general equilibrium models. The first one is a Walrasian model with no other frictions than distortionary taxation of labor and...

In this paper we focus on cycles and trends of some macroeconomic and housing market variables representative of the French economy. In a first part, we empirically show that cycles in the housing sector, measured by housing prices, housing starts, building permits, sales or residential...

Governments and central banks need to have an accurate and timely assessment of Gross Domestic Product's (GDP) growth rate for the current quarter, as this is essential for providing a reliable and early analysis of the current economic situation. This paper presents a series of models conceived...

The purpose of this paper is to cast a new light on the present state of global current account imbalances. As a first step, we compute the world distribution of current account balances, in order to highlight its historically-unprecedented pattern, both in terms of the size of imbalances, its...

This study presents a GDP per capita level and growth comparison across 17 main advanced countries and over the 1890-2013 long period. It proposes also a comparison of the level and growth of the main components of GDP per capita through an accounting breakdown and runs Philips-Sul (2007)...

En nous inspirant des travaux portant sur les marches boursiers des pays industrialises, nous analysons la volatilite des rendements boursiers d'Asie du Sud-Est a partir de la methodologie ARCH. Notre objectif consiste a mettre en evidence les specificites des marches boursiers du Sud-Est...

Swaps are one of the major innovations of the 80s but there are little empirical studies on interest rates swaps (IRS), especially on European markets. To understand how swap pricing works, we estimate IRS valuation models for the French swap market. On one hand, from the market value of the...

In this paper we give a precise definition of long-run causality in a multivariate non-stationary, possibly cointegrated, framework. A variable is said to be causal for another in the long-run if knwoledge of the past of the former improves long-run predictions of the latter. In a VAR framework,...

We propose a new methodology for the analysis of impulse response functions in VAR or VARMA models. More precisely, we build our results on the non ambiguous notion of innovation of a stochastic process and we consider the impact of any kind of new information at a given date $t$ on the future...