Time is Money: An Heterogenous Agent Model for the FX

This paper deals with a Bayesian extension of a behavioral finance framework ‘à la’ De Grauwe and Grimaldi (The Exchange Rate in a Behavioural Finance Framework, Princeton University Press, Princeton, 2006) in which agents operating in the FX market differ in their forecasting time horizon for the exchange rate. In the short run, if we believe in the world described by Meese and Rogoff (J. Int. Econ., 14(1–2):3–24, 1983), this leads to a chartist rule, whereas in the long run, the PPP condition appears as a natural anchor. In between, i.e. in the medium run, we implement an APEER model using Bayesian tools, as an alternative to the FEER-BEER nexus. Our results show that the stabilizing impact of the intermediate rule depends on agents’ good perception of the fundamentals

A multilevel analysis to systemic exposure: insights from local and system-wide information

In the aftermath of the financial crisis, the growing literature on financial networks has widely documented the predictive power of topological characteristics (e.g. degree centrality measures) to explain the systemic impact or systemic vulnerability of financial institutions. In this work, we show that considering alternative topological measures based on local sub-network environment improves our ability to identify systemic institutions. To provide empirical evidence, we apply a two-step procedure. First, we recover network communities (i.e. close-peer environment) on a spillover network of financial institutions. Second, we regress alternative measures of vulnerability on three levels of topological measures: the global level (i.e. firm topological characteristics computed over the whole system), local level (i.e. firm topological characteristics computed over the community) and aggregated level by averaging individual characteristics over the community. The sample includes $46$ financial institutions (banks, broker-dealers, insurance and real-estate companies) listed in the Standard \& Poor's 500 index. Our results confirm the informational content of topological metrics based on close-peer environment. Such information is different from the one embeds in traditional system wide topological metrics and is proved to be predictor of distress for financial institutions in time of crisis.Comment: 12 pages, 3 figures and 3 table

Rebalancing IMF Quotas

In this paper, we address the issue of IMF quota calculation in several directions. We first discuss the relevance of various specifications regarding the choice of variables, the way to measure them and the potential functional forms. Then, relying on long-run projections for GDP, trade and foreign direct investment, we compare the ‘old’ system of formulas to the new one adopted in 2008 at different time horizons until 2030. Two major results emerge from our analysis. First, a single chair for the Eurozone can free 2–3 percentage points of quota shares, but this amount fades over time because intra-Eurozone trade is relatively less dynamic than world trade. Second, introducing population in quota formulas would be the most transparent and efficient way of significantly raising the quota shares for less developed countries

The Dollar in the Turmoil

International audienc

On the complementarity of equilibrium exchange rate approaches

International audienc

Taux de change d'équilibre : une question d'horizon

National audienc