This article proposes to insert a bank capital channel (BCC) in the theoretical framework proposed by Bernanke et al. (1999) (BGG), in order 1) to evaluate the mean features of the BCC and 2) to assess the benefits of a countercyclical prudential measure. In a costly state verification...

Cette étude revient sur la distinction établie entre deux règles de fixation irrévocable des cours de change : une règle temporelle suivant laquelle le gel de la parité est programmé à une date arbitraire; une règle d'état sous laquelle cette décision résulte de l'atteinte d'un seuil...

The paper introduces a two-factor model of the common leading and coincident economic indicators. Both factors are unobserved and each of them captures the dynamics of a corresponding group of the observed time series. The common leading factor is assumed to Granger-cause the common coincident...

Composite economic indicator is a very useful tool designed to trace and predict the business cycle conditions. In this paper we study possible extensions of this approach intended to cope with the potential data problems caused by various structural breaks affecting both level and volatility of...

The analysis and prediction of the short-run economic dynamics, or the evolution of the business cycle, often require a construction of the composite economic indicator (CEI). This indicator may be endowed with nonlinear dynamics to take care of the possible asymmetries between different phases...

In this paper, we consider a coincident economic indicator model with regime-switching dynamics and with the time series observed at different frequencies, for instance, at monthly and quarterly frequencies. Until now the only solution was to drop the lower frequency series and to estimate the...

One of the important tools of the business cycle research are the signal-extraction techniques (SETs). They allow to study both the stylized facts and the turning points of the business cycles. However, these are highly sensitive to the SETs. In this paper we try to see how some of the SETs...

Although previous work shows strong relationships between oil prices and economic activity, the empirical evidence on the impact of oil prices on stock market returns has been mixed. This article investigates the existence of long-term relationships between oil prices and stock market indices in...

On admet généralement que la mobilité internationale serait devenue très forte à la suite de la libéralisation et de l'intégration financière des vingt dernières années. De façon surprenante, la plupart des travaux empiriques « à la Feldstein-Horioka » ne valident cette hypothèse....

This paper studies banking liquidity crises under the assumption that the government may have private benefits in bailing-out a collapsing banking sector for reputation concerns. This political distortion feeds political uncertainty, as citizens may not agree with a bailout decision and...