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Caroline Jardet

Personal Details

First Name:Caroline
Middle Name:
Last Name:Jardet
Suffix:
RePEc Short-ID:pja215

Affiliation

Banque de France

Paris, France
http://www.banque-france.fr/
RePEc:edi:bdfgvfr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Caroline Jardet & Cristina Jude & Menzie D. Chinn, 2022. "Foreign Direct Investment under Uncertainty: Evidence from a Large Panel of Countries," NBER Working Papers 29687, National Bureau of Economic Research, Inc.
  2. C.Jardet & A. Monks, 2014. "Euro Area monetary policy shocks: impact on financial asset prices during the crisis?," Working papers 512, Banque de France.
  3. Caroline JARDET & Alain MONFORT & Fulvio PEGORARO, 2011. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working Papers 2011-03, Center for Research in Economics and Statistics.
  4. Caroline Jardet & Gaëlle Le Fol, 2010. "Euro money market interest rates dynamics and volatility," Post-Print halshs-00876971, HAL.
  5. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "New Information Response Functions," Working papers 235, Banque de France.
  6. Gaëlle Le Fol & Julien Idier & Caroline Jardet, 2009. "How Liquid are Markets?," Post-Print halshs-00638443, HAL.
  7. Avouyi-Dovi, S. & Bardos, M. & Jardet, C. & Kendaoui, L. & Moquet , J., 2009. "Macro stress testing with a macroeconomic credit risk model: Application to the French manufacturing sector," Working papers 238, Banque de France.
  8. Julien Idier & Caroline Jardet & Gaëlle Le Fol & Alain Monfort & Fulvio Pegoraro, 2008. "Taking into account extreme events in European option pricing," Post-Print halshs-00638450, HAL.
  9. De Loubens, A. & Idier, J. & Jardet, C., 2007. "Determinants of long-term interest rates in the United States and the euro area: A multivariate approach," Working papers 170, Banque de France.
  10. Jardet, C. & Le Fol, G., 2007. "Euro money market interest rates dynamics and volatility: How they respond to recent changes in the operational framework," Working papers 167, Banque de France.
  11. Jardet, C., 2006. "Term Structure Anomalies: Term Premium or Peso problem?," Working papers 143, Banque de France.
  12. Caroline Jardet, 2002. "Why did the Term Structure of Interest Rates Lose its Predictive Power ?," Working Papers 2002-05, Center for Research in Economics and Statistics.

Articles

  1. Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio, 2013. "No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 389-402.
  2. Caroline Jardet & Gaelle Le Fol, 2010. "Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 316-330.
  3. Jardet, Caroline, 2008. "Term structure anomalies: Term premium or peso-problem?," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 592-608, June.
  4. Aymeric de Loubens & Caroline Jardet & Julien Idier, 2008. "Les déterminants des taux d’intérêt à long terme aux États-Unis et dans la zone euro : une approche multivariée," Économie et Prévision, Programme National Persée, vol. 185(4), pages 13-32.
  5. Idier, J. & Jardet, C. & Le Fol, G. & Monfort, A. & Pegoraro, J., 2008. "Taking into account extreme events in European option pricing," Financial Stability Review, Banque de France, issue 12, pages 39-51, October.
  6. Avouyi-Dovi, S. & Jardet, C., 2006. "Microstructure of financial and money markets: lessons learned from the conference held in Paris on 6 and 7 June 2006," Financial Stability Review, Banque de France, issue 9, pages 105-116, December.
  7. Jardet, Caroline, 2004. "Why did the term structure of interest rates lose its predictive power?," Economic Modelling, Elsevier, vol. 21(3), pages 509-524, May.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Caroline Jardet & Cristina Jude & Menzie D. Chinn, 2022. "Foreign Direct Investment under Uncertainty: Evidence from a Large Panel of Countries," NBER Working Papers 29687, National Bureau of Economic Research, Inc.

    Cited by:

    1. Fabrizio Leone, 2022. "Foreign ownership and robot adoption," CEP Discussion Papers dp1854, Centre for Economic Performance, LSE.
    2. Jaewon Jung, 2023. "Multinational Firms and Economic Integration: The Role of Global Uncertainty," Sustainability, MDPI, vol. 15(3), pages 1-18, February.
    3. Ketan REDDY & Subash SASIDHARAN & Shandre Mugan THANGAVELU, 2024. "Does Economic Policy Uncertainty Impact Firm GVC Participation? Microdata Evidence from India," Working Papers DP-2024-23, Economic Research Institute for ASEAN and East Asia (ERIA).
    4. Hornstein, Abigail S. & Naknoi, Kanda, 2023. "FDI commitments increase when uncertainty is resolved: Evidence from Asia," Journal of Asian Economics, Elsevier, vol. 87(C).
    5. Bermpei, Theodora & Ferrara, Laurent & Karadimitropoulou, Aikaterini & Triantafyllou, Athanasios, 2024. "Commodity currencies revisited: The role of global commodity price uncertainty," Journal of International Money and Finance, Elsevier, vol. 145(C).
    6. Konstantinos Lagos & Yuan Wang, . "The threshold effects of global economic uncertainty on foreign direct investment," UNCTAD Transnational Corporations Journal, United Nations Conference on Trade and Development.
    7. Fabrizio Leone, 2023. "Multinationals, robots and the labor share," CEP Discussion Papers dp1900, Centre for Economic Performance, LSE.

  2. C.Jardet & A. Monks, 2014. "Euro Area monetary policy shocks: impact on financial asset prices during the crisis?," Working papers 512, Banque de France.

    Cited by:

    1. Cristiano Cantore & Filippo Ferroni & Miguel A. Leon-Ledesma, 2018. "The Missing Link: Monetary policy and the labor share," Discussion Papers 1829, Centre for Macroeconomics (CFM).
    2. Nihar Shah, 2022. "Doubly heterogeneous monetary spillovers," International Finance, Wiley Blackwell, vol. 25(2), pages 126-150, August.
    3. Ugo Albertazzi & Andrea Nobili & Federico M. Signoretti, 2021. "The Bank Lending Channel of Conventional and Unconventional Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(2-3), pages 261-299, March.
    4. Philippe Andrade & Filippo Ferroni, 2016. "Delphic and Odyssean monetary policy shocks: Evidence from the euro-area," School of Economics Discussion Papers 1216, School of Economics, University of Surrey.
    5. Goodhead, Robert, 2018. "The Effect of ECB Policy Announcements on Sovereign Yields: A Return to Normal Transmission?," Economic Letters 4/EL/18, Central Bank of Ireland.
    6. Boeckx, Jef & De Sola Perea, Maite & Peersman, Gert, 2017. "The Transmission Mechanism of Credit Support Policies in the Euro Area," ECMI Papers 12624, Centre for European Policy Studies.
    7. Altavilla, Carlo & Brugnolini, Luca & Gürkaynak, Refet S. & Motto, Roberto & Ragusa, Giuseppe, 2019. "Measuring euro area monetary policy," Working Paper Series 2281, European Central Bank.

  3. Caroline JARDET & Alain MONFORT & Fulvio PEGORARO, 2011. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working Papers 2011-03, Center for Research in Economics and Statistics.

    Cited by:

    1. Guimarães, Rodrigo, 2014. "Expectations, risk premia and information spanning in dynamic term structure model estimation," Bank of England working papers 489, Bank of England.
    2. Ireland, Peter N., 2015. "Monetary policy, bond risk premia, and the economy," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 124-140.
    3. Abbritti, Mirko & Carcel, Hector & Gil-Alana, Luis & Moreno, Antonio, 2023. "Term premium in a fractionally cointegrated yield curve," Journal of Banking & Finance, Elsevier, vol. 149(C).
    4. Etienne Vaccaro-Grange, 2019. "Quantitative Easing and the Term Premium as a Monetary Policy Instrument," Working Papers halshs-02359503, HAL.
    5. Renne, J-P., 2009. "Frequency-domain analysis of debt service in a macro-finance model for the euro area," Working papers 261, Banque de France.
    6. Camelia Minoiu & Andrés Schneider & Min Wei, 2023. "Why Does the Yield Curve Predict GDP Growth? The Role of Banks," FRB Atlanta Working Paper 2023-14, Federal Reserve Bank of Atlanta.
    7. Lange, Ronald Henry, 2018. "The term structure of liquidity premia and the macroeconomy in Canada: A dynamic latent-factor approach," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 164-182.
    8. Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2017. "Staying at zero with affine processes : an application to term structure modelling," Rue de la Banque, Banque de France, issue 52, november.
    9. Engle, Robert & Roussellet, Guillaume & Siriwardane, Emil, 2017. "Scenario generation for long run interest rate risk assessment," Journal of Econometrics, Elsevier, vol. 201(2), pages 333-347.
    10. Gil-Alana, Luis A. & Moreno, Antonio, 2012. "Uncovering the US term premium: An alternative route," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1181-1193.
    11. Joslin, Scott & Le, Anh & Singleton, Kenneth J., 2013. "Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs," Journal of Financial Economics, Elsevier, vol. 109(3), pages 604-622.
    12. Pavol Povala & Anna Cieslak, 2012. "Understanding bond risk premia," 2012 Meeting Papers 771, Society for Economic Dynamics.
    13. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "New Information Response Functions," Working papers 235, Banque de France.
    14. Mirkov, Nikola & Sutter, Barbara, 2012. "Central Bank Reserves and the Yield Curve at the ZLB," Working Papers on Finance 1208, University of St. Gallen, School of Finance.
    15. Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2016. "Demographics and the Behavior of Interest Rates," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 64(4), pages 732-776, November.
    16. Gildas Lamé, 2013. "Was there a "Greenspan conundrum" in the Euro Area ?," Working Papers 2013-07, Center for Research in Economics and Statistics.
    17. Caroline JARDET & Alain MONFORT & Fulvio PEGORARO, 2011. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working Papers 2011-03, Center for Research in Economics and Statistics.
    18. Lieb, Lenard & Smeekes, Stephan, 2017. "Inference for Impulse Responses under Model Uncertainty," Research Memorandum 022, Maastricht University, Graduate School of Business and Economics (GSBE).
    19. Malik, Sheheryar & Meldrum, Andrew, 2014. "Evaluating the robustness of UK term structure decompositions using linear regression methods," Bank of England working papers 518, Bank of England.
    20. Halberstadt, Arne, 2021. "Decomposing the yield curve with linear regressions and survey information," Discussion Papers 27/2021, Deutsche Bundesbank.
    21. Halberstadt, Arne, 2023. "Decomposing the yield curve with linear regressions and survey information," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 25-39.
    22. Monfort, A. & Renne, J-P., 2011. "Credit and liquidity risks in euro area sovereign yield curves," Working papers 352, Banque de France.
    23. Daniela Osterrieder, 2013. "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers 2013-17, Department of Economics and Business Economics, Aarhus University.
    24. Mirko Abbritti & Luis A. Gil-Alana & Yuliya Lovcha & Antonio Moreno, 2016. "Term Structure Persistence," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 331-352.
    25. Juneja, Januj A., 2016. "Financial crises and estimation bias in international bond markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 593-607.
    26. Goliński, Adam & Zaffaroni, Paolo, 2016. "Long memory affine term structure models," Journal of Econometrics, Elsevier, vol. 191(1), pages 33-56.
    27. Filipova, Kameliya & Audrino, Francesco & De Giorgi, Enrico, 2014. "Monetary policy regimes: Implications for the yield curve and bond pricing," Journal of Financial Economics, Elsevier, vol. 113(3), pages 427-454.
    28. Anne Lundgaard Hansen, 2018. "Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling," Discussion Papers 18-12, University of Copenhagen. Department of Economics.
    29. Hansen, Anne Lundgaard, 2021. "Modeling persistent interest rates with double-autoregressive processes," Journal of Banking & Finance, Elsevier, vol. 133(C).
    30. Jiyoung Lee, 2015. "Disentangling the Predictive Power of Term Spreads under Inflation Targeting," International Economic Journal, Taylor & Francis Journals, vol. 29(3), pages 419-450, September.
    31. Daniela Osterrieder & Peter C. Schotman, 2012. "The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums," CREATES Research Papers 2012-35, Department of Economics and Business Economics, Aarhus University.
    32. Bruno Feunou & Jean-Sébastien Fontaine, 2014. "Bond Risk Premia and Gaussian Term Structure Models," Staff Working Papers 14-13, Bank of Canada.
    33. Juneja, Januj, 2017. "How Germany benefits the most from its Eurozone membership," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1074-1088.
    34. Michael D. Bauer & Glenn D. Rudebusch & Jing Cynthia Wu, 2011. "Unbiased estimate of dynamic term structure models," Working Paper Series 2011-12, Federal Reserve Bank of San Francisco.
    35. Bluwstein, Kristina & Yung, Julieta, 2019. "Back to the real economy: the effects of risk perception shocks on the term premium and bank lending," Bank of England working papers 806, Bank of England.

  4. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "New Information Response Functions," Working papers 235, Banque de France.

    Cited by:

    1. Bańbura, Marta & Giannone, Domenico & Lenza, Michele, 2015. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," International Journal of Forecasting, Elsevier, vol. 31(3), pages 739-756.
    2. Antonio M. Conti & Andrea Nobili & Federico M. Signoretti, 2018. "Bank capital constraints, lending supply and economic activity," Temi di discussione (Economic working papers) 1199, Bank of Italy, Economic Research and International Relations Area.
    3. Renne Jean-Paul, 2017. "A model of the euro-area yield curve with discrete policy rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 99-116, February.
    4. Caroline JARDET & Alain MONFORT & Fulvio PEGORARO, 2011. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working Papers 2011-03, Center for Research in Economics and Statistics.

  5. Gaëlle Le Fol & Julien Idier & Caroline Jardet, 2009. "How Liquid are Markets?," Post-Print halshs-00638443, HAL.

    Cited by:

    1. Serge Darolles & Gaëlle Le Fol, 2014. "Trading volume and Arbitrage," Post-Print hal-01632841, HAL.
    2. Borgy, V. & Idier, J. & Le Fol, G., 2010. "Liquidity problems in the FX liquid market: Ask for the "BIL"," Working papers 279, Banque de France.

  6. Avouyi-Dovi, S. & Bardos, M. & Jardet, C. & Kendaoui, L. & Moquet , J., 2009. "Macro stress testing with a macroeconomic credit risk model: Application to the French manufacturing sector," Working papers 238, Banque de France.

    Cited by:

    1. Patrick Fève & Julien Matheron & Jean‐Guillaume Sahuc, 2009. "Minimum Distance Estimation and Testing of DSGE Models from Structural VARs," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 883-894, December.
    2. Peter Grundke & Kamil Pliszka, 2018. "A macroeconomic reverse stress test," Review of Quantitative Finance and Accounting, Springer, vol. 50(4), pages 1093-1130, May.
    3. Morone, Marco & Cornaglia, Anna, 2010. "An econometric model to quantify benchmark downturn LGD on residential mortgages," MPRA Paper 25588, University Library of Munich, Germany.
    4. Alain Monfort, 2008. "Optimal portfolio allocation under asset and surplus VaR constraints," Journal of Asset Management, Palgrave Macmillan, vol. 9(3), pages 178-192, September.
    5. Christophe Cahn & Mattia Girotti & Federica Salvadè, 2018. "External Credit Ratings and Bank Lending," Working papers 691, Banque de France.
    6. Walid Mansour & Hechem Ajmi & Karima Saci, 2022. "Regulatory policies in the global Islamic banking sector in the outbreak of COVID-19 pandemic," Journal of Banking Regulation, Palgrave Macmillan, vol. 23(3), pages 265-287, September.

  7. Julien Idier & Caroline Jardet & Gaëlle Le Fol & Alain Monfort & Fulvio Pegoraro, 2008. "Taking into account extreme events in European option pricing," Post-Print halshs-00638450, HAL.

    Cited by:

    1. Avouyi-Dovi, S. & Idier, J., 2010. "Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market," Working papers 278, Banque de France.

  8. De Loubens, A. & Idier, J. & Jardet, C., 2007. "Determinants of long-term interest rates in the United States and the euro area: A multivariate approach," Working papers 170, Banque de France.

    Cited by:

    1. Thomas Goda & Photis Lysandrou, 2011. "The contribution of wealth concentration to the subprime crisis: a quantitative estimation," Documentos de Trabajo de Valor Público 10718, Universidad EAFIT.
    2. Matteo Deleidi & Enrico Sergio Levrero, 2021. "Monetary policy and long‐term interest rates: Evidence from the U.S. economy," Metroeconomica, Wiley Blackwell, vol. 72(1), pages 121-147, February.
    3. Thomas Goda & Photis Lysandrou & Chris Stewart, 2011. "The contribution of us bond demand to the us bond yield conundrum of 2004 to 2007: an empirical investigation," Documentos de Trabajo de Valor Público 10719, Universidad EAFIT.
    4. Hasan Cömert, 2012. "Decoupling between the Federal Funds Rate and Long-term Interest Rates: Decreasing Effectiveness of Monetary Policy in the U.S," Working Papers wp295, Political Economy Research Institute, University of Massachusetts at Amherst.
    5. Timothy P. Sharpe, 2013. "A Modern Money Perspective on Financial Crowding-out," Review of Political Economy, Taylor & Francis Journals, vol. 25(4), pages 586-606, October.

  9. Jardet, C. & Le Fol, G., 2007. "Euro money market interest rates dynamics and volatility: How they respond to recent changes in the operational framework," Working papers 167, Banque de France.

    Cited by:

    1. John Thalassinos & Konstantinos Liapis, 2011. "Measuring a Bank’s Financial Health: A Case Study for the Greek Banking Sector," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 135-172.
    2. Mr. Emre Alper & Rogelio Morales & Mr. Fan Yang, 2016. "Monetary Policy Implementation and Volatility Transmission along the Yield Curve: The Case of Kenya," IMF Working Papers 2016/120, International Monetary Fund.
    3. Beaupain, Renaud & Durré, Alain, 2016. "Excess liquidity and the money market in the euro area," Journal of Macroeconomics, Elsevier, vol. 47(PA), pages 33-44.
    4. Osborne, Matthew, 2016. "Monetary policy and volatility in the sterling money market," Bank of England working papers 588, Bank of England.
    5. Eleftherios Thalassinos & Konstantinos Liapis & John E. Thalassinos, 2011. "The Regulation Framework for the Banking Sector: The EMU, European Banks and Rating Agencies before and during the Recent Financial and Debt Crisis," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, vol. 1(39), pages 250-279.

  10. Jardet, C., 2006. "Term Structure Anomalies: Term Premium or Peso problem?," Working papers 143, Banque de France.

    Cited by:

    1. Cathy Yi-Hsuan Chen & Thomas C. Chiang, 2017. "Surprises, sentiments, and the expectations hypothesis of the term structure of interest rates," Review of Quantitative Finance and Accounting, Springer, vol. 49(1), pages 1-28, July.
    2. Koukouritakis, Minoas, 2013. "Expectations hypothesis in the context of debt crisis: Evidence from five major EU countries," Research in Economics, Elsevier, vol. 67(3), pages 243-258.
    3. Chen, Cathy Yi-Hsuan & Kuo, I-Doun & Chiang, Thomas C., 2014. "What explains deviations in the unbiased expectations hypothesis? Market irrationality vs. the peso problem," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 172-190.
    4. Minoas Koukouritakis, 2010. "Structural breaks and the expectations hypothesis of the term structure: evidence from Central European countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 145(4), pages 757-774, January.
    5. I Doun Kuo, 2017. "Irrationality and Term Structure Anomaly," Proceedings of Economics and Finance Conferences 4507033, International Institute of Social and Economic Sciences.
    6. Johannes Fedderke & Neryvia Pillay, 2010. "A Rational Expectations Consistent Measure of Risk: Using Financial Market Data from a Middle Income Context," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(6), pages 769-793, December.

  11. Caroline Jardet, 2002. "Why did the Term Structure of Interest Rates Lose its Predictive Power ?," Working Papers 2002-05, Center for Research in Economics and Statistics.

    Cited by:

    1. B. De Backer & M. Deroose & Ch. Van Nieuwenhuyze, 2019. "Is a recession imminent? The signal of the yield curve," Economic Review, National Bank of Belgium, issue i, pages 69-93, June.
    2. Joseph G. Haubrich, 2020. "Does the Yield Curve Predict Output?," Working Papers 20-34, Federal Reserve Bank of Cleveland.
    3. Kajal Lahiri & Cheng Yang, 2022. "ROC approach to forecasting recessions using daily yield spreads," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 57(4), pages 191-203, October.
    4. Kajal Lahiri & Cheng Yang, 2023. "ROC and PRC Approaches to Evaluate Recession Forecasts," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 19(2), pages 119-148, September.
    5. Leo Krippner, 2006. "A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 39-59.
    6. David C. Wheelock & Mark E. Wohar, 2009. "Can the term spread predict output growth and recessions? a survey of the literature," Review, Federal Reserve Bank of St. Louis, vol. 91(Sep), pages 419-440.
    7. Sun, Hang & Bos, Jaap.W.B. & Rodrigues, Paulo, 2023. "Destabilizing or passive? The impact of commodity index traders on equilibrium prices," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 271-285.
    8. Ming-Chih Lee & Chien-Liang Chiu & Wan-Hsiu Cheng, 2007. "Enhancing Forecast Accuracy By Using Long Estimation Periods," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 1(2), pages 1-9.
    9. Firdous Ahmad Shah & Lokenath Debnath, 2017. "Wavelet Neural Network Model for Yield Spread Forecasting," Mathematics, MDPI, vol. 5(4), pages 1-15, November.
    10. Leo Krippner, 2005. "A New Framework for Yield Curve, Output and Inflation Relationships," Working Papers in Economics 05/07, University of Waikato.
    11. Leo Krippner, 2008. "A Macroeconomic Foundation for the Nelson and Siegel Class of Yield Curve Models," Research Paper Series 226, Quantitative Finance Research Centre, University of Technology, Sydney.
    12. Evgenidis, Anastasios & Papadamou, Stephanos & Siriopoulos, Costas, 2020. "The yield spread's ability to forecast economic activity: What have we learned after 30 years of studies?," Journal of Business Research, Elsevier, vol. 106(C), pages 221-232.
    13. Morell, Joseph, 2018. "The decline in the predictive power of the US term spread: A structural interpretation," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 314-331.
    14. Omay, Tolga, 2008. "The Term Structure of Interest Rate as a Predictor of Inflation and Real Economic Activity: Nonlinear Evidence from Turkey," MPRA Paper 28572, University Library of Munich, Germany.
    15. Gebka, Bartosz & Wohar, Mark E., 2018. "The predictive power of the yield spread for future economic expansions: Evidence from a new approach," Economic Modelling, Elsevier, vol. 75(C), pages 181-195.
    16. Argyropoulos, Efthymios & Tzavalis, Elias, 2015. "Real term structure forecasts of consumption growth," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 208-222.
    17. Leo Krippner, 2006. "A Yield Curve Perspective on Uncovered Interest Parity," Working Papers in Economics 06/16, University of Waikato.

Articles

  1. Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio, 2013. "No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 389-402.
    See citations under working paper version above.
  2. Caroline Jardet & Gaelle Le Fol, 2010. "Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 316-330.
    See citations under working paper version above.
  3. Jardet, Caroline, 2008. "Term structure anomalies: Term premium or peso-problem?," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 592-608, June.
    See citations under working paper version above.
  4. Aymeric de Loubens & Caroline Jardet & Julien Idier, 2008. "Les déterminants des taux d’intérêt à long terme aux États-Unis et dans la zone euro : une approche multivariée," Économie et Prévision, Programme National Persée, vol. 185(4), pages 13-32.

    Cited by:

    1. Clerc, L., 2007. "Understanding Asset Prices: Determinants and Policy Implications," Working papers 168, Banque de France.

  5. Idier, J. & Jardet, C. & Le Fol, G. & Monfort, A. & Pegoraro, J., 2008. "Taking into account extreme events in European option pricing," Financial Stability Review, Banque de France, issue 12, pages 39-51, October.
    See citations under working paper version above.
  6. Jardet, Caroline, 2004. "Why did the term structure of interest rates lose its predictive power?," Economic Modelling, Elsevier, vol. 21(3), pages 509-524, May.
    See citations under working paper version above.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CBA: Central Banking (3) 2009-07-17 2009-07-17 2014-11-07
  2. NEP-MAC: Macroeconomics (3) 2009-07-17 2009-07-17 2014-11-07
  3. NEP-EEC: European Economics (2) 2009-07-17 2014-11-07
  4. NEP-FDG: Financial Development and Growth (2) 2011-03-19 2022-02-28
  5. NEP-CMP: Computational Economics (1) 2009-07-17
  6. NEP-CWA: Central and Western Asia (1) 2022-02-28
  7. NEP-ECM: Econometrics (1) 2009-07-17
  8. NEP-ETS: Econometric Time Series (1) 2009-07-17
  9. NEP-IFN: International Finance (1) 2022-02-28
  10. NEP-INT: International Trade (1) 2022-02-28
  11. NEP-MON: Monetary Economics (1) 2014-11-07
  12. NEP-OPM: Open Economy Macroeconomics (1) 2022-02-28
  13. NEP-RMG: Risk Management (1) 2009-07-17

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