Model for Analysing and Forecasting Short Term Developments

Stress Testing and Corporate Finance

“…As indicated in Figure 1 below, starting from an equilibrium (r 1 ,Q 1 ), a change in the exogenous variables triggers a shift in the supply and demand equations, so that the new equilibrium becomes (r 2 ,Q 2 ). The scenarios are calibrated with the Banque de France MASCOTTE macroeconometric model (see Baghli et al, 2004, as well as Fagan and Morgan, 2006) and the NIESR's Nigem model. Based on the responses of the macroeconomic variables (real GDP and its de ‡ator, companies investment/value added, growth of value added in nominal terms, gross operating surplus/capital stock) to the initial shocks, we use "bridge equations" to shock the exogenous variable of the reduced form of our structural model.…”

“…2 See above for the de…nition of the size classes.1 3 See Nahmias (2005) for data with a sector-size breakdown for France over the last part of the sample. The paper also deals with the delicate issue of computing default rates, ie due the di¢ culty of to …nd consistent data of number of bankruptcies and companies, due to the tendency of companies that are experiencing di¢ culties to stop reporting information.…”

The French Block of the Escb Multi-Country Model

“…This allows us to check the basic stability properties of the model. In the last Sub-section, we consider a series of shocks that had been-run by Baghli et al (2004) with the Banque de France's model, and we compare the results of our simulations with theirs.…”

“…Economic Activity -Domestic Demand broad macroeconomic projection exercise, as MCM and MASCOTTE are the two models currently used for forecasting by the ECB and the Banque de France respectively. We simulate the same shocks in the MCM as the Banque de France's (see Baghli et al (2004)), namely three permanent shocks on oil prices, exchange rates, and world demand, as well as a transitory monetary policy shock. In all the following tables and graphs, we will report the annual responses only.…”