Research
Fiscal fatigue and sovereign credit spreads
Working Paper
Debt-stabilizing properties of GDP-linked securities: A macro-finance perspective
Journal of Banking & Finance
An analytical framework to price long-dated climate-exposed assets
Working Paper
Understanding Swiss real interest rates in a financially globalized world
Swiss Journal of Economics and Statistics
Required capital for long run risk
Journal of Economic Dynamics & Control
Affine modeling of credit risk, pricing of credit events, and contagion
Management Science
Identification and estimation in non-fundamental structural VARMA models
Review of Economic Studies
Measuring inflation anchoring and uncertainty: A U.S. and euro area comparison
Journal of Money, Credit & Banking
National natural rates of interest and the single monetary policy in the euro area
Journal of Applied Econometrics
Staying at zero with affine processes: An application to term structure modelling
Journal of Econometrics
Frequency-domain analysis of debt service in a macro-finance model for the euro area
Banque de France Working Paper
Statistical inference for independent component analysis: Application to structural VAR models
Journal of Econometrics
Compound auto-regressive processes and defaultable bond pricing
Book chapter in Developments in Macro-Finance Yield Curve Modelling
Credit and liquidity in interbank rates: a quadratic approach
Journal of Banking & Finance
A tractable interest rate model with explicit monetary policy rates
European Journal of Operational Research
A model of the euro-area yield curve with discrete policy rates
Studies in Nonlinear Dynamics & Econometrics
Options embedded in ECB Targeted refinancing operations
Banque de France Working Paper
Pricing default events: Surprise, exogeneity and contagion
Journal of Econometrics
Measuring aggregate risk: Can we robustly identify asset-price boom–bust cycles?
Journal of Banking & Finance
Fiscal policy, default risk and euro-area sovereign bond spreads
Review of Finance
Regime switching and bond pricing
Journal of Financial Econometrics
The effectiveness of monetary policy since the onset of the financial crisis
OECD Economics Department Working Papers
Default, liquidity and crises: an econometric framework
Journal of Financial Econometrics
Fiscal policy, default risk and euro-area sovereign bond spreads
Banque de France Working Paper
House price boom/bust cycles: identification issues and macro-prudential implications
Housing Markets in Europe: Book chapter
Réformes fiscales dans un modèle DSGE France en économie ouverte
Economie & prevision
What are the consequences of active management of average debt maturity in terms of cost and risk?
Direction du Tresor Working Paper
A time-varying “natural” rate of interest for the euro area
European Economic Review
Does uncertainty make a time-varying natural rate of interest irrelevant for the conduct of monetary policy?
Banque de France Working Paper
Quelles sont les parts cyclique et structurelle du chômage en France?
Economie & Prevision
Caractéristiques des marchés du travail dans les pays de l’OCDE
Economie & Prevision
Regle de Taylor et politique monetaire dans la zone euro
Banque de France Working Paper
Is economic activity in the G7 synchronized? Common shocks versus spillover effects
CEPR Discussion Paper