Details about Jerome Henry

Access statistics for papers by Jerome Henry.

Last updated 2023-03-10. Update your information in the RePEc Author Service.

Short-id: phe16

Working Papers

2019

1. Macroprudential policy at the ECB: Institutional framework, strategy, analytical tools and policies
   Occasional Paper Series, European Central Bank View citations (22)

2017

2. Destabilizing effects of bank overleveraging on real activity - an analysis based on a threshold MCS-GVAR
   Working Paper Series, European Central Bank View citations (2)
   See also Journal Article DESTABILIZING EFFECTS OF BANK OVERLEVERAGING ON REAL ACTIVITY—AN ANALYSIS BASED ON A THRESHOLD MCS-GVAR, Macroeconomic Dynamics, Cambridge University Press (2018) View citations (8) (2018)

2013

3. A macro stress testing framework for assessing systemic risks in the banking sector
   Occasional Paper Series, European Central Bank View citations (41)

2010

4. An Area Wide Real Time Data Base for the Euro Area
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (2)
   Also in Working Paper Series, European Central Bank (2010) View citations (36)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (35)
   See also Journal Article An Area-Wide Real-Time Database for the Euro Area, The Review of Economics and Statistics, MIT Press (2012) View citations (58) (2012)

2007

5. Factor Analysis in a Model with Rational Expectations
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
   See also Journal Article Factor analysis in a model with rational expectations, Econometrics Journal, Royal Economic Society (2008) View citations (12) (2008)

2005

6. Complex Remanence vs. Simple Persistence: Are Hysteresis and Unit-Root Processes observationally equivalent?
   Computational Economics, University Library of Munich, Germany View citations (2)
   Also in Post-Print, HAL (2004) View citations (8)
   See also Chapter Complex Remanence vs. Simple Persistence: Are Hysteresis and Unit-Root Processes Observationally Equivalent?, International Symposia in Economic Theory and Econometrics, Emerald Group Publishing Limited (2004) View citations (1) (2004)
7. Factor Analysis in a New-Keynesian Model
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
   Also in Working Paper Series, European Central Bank (2005) View citations (14)
8. Money Demand in EU Countries: A Survey
   Macroeconomics, University Library of Munich, Germany View citations (9)
   Also in Working Papers, European Monetary Institute (1997) View citations (48)
9. THE FRENCH-GERMAN INTEREST RATE DIFFERENTIAL SINCE GERMAN
   International Finance, University Library of Munich, Germany
10. The short-term impact of government budgets on prices Evidence from macroeconometric models
    Macroeconomics, University Library of Munich, Germany View citations (12)
    Also in Working Papers, Banco de España (2004) View citations (13)
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2004) View citations (15)

2004

11. Interpolation and Backdating with A Large Information Set
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
    Also in Working Paper Series, European Central Bank (2003) View citations (5)
    See also Journal Article Interpolation and backdating with a large information set, Journal of Economic Dynamics and Control, Elsevier (2006) View citations (42) (2006)
12. The short-term impact of government budgets on prices: evidence from macroeconomic models
    Working Paper Series, European Central Bank View citations (11)

2002

13. Model uncertainty and the equilibrium value of the real effective euro exchange rate
    Working Paper Series, European Central Bank View citations (49)
14. interpolation with a large information set
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (4)

2001

15. A multi-country trend indicator for euro area inflation: computation and properties
    Working Paper Series, European Central Bank View citations (14)
    See also Chapter A multi-country trend indicator for euro area inflation: computation and properties, BIS Papers chapters, Bank for International Settlements (2001) View citations (10) (2001)
16. An area-wide model (AWM) for the euro area
    Working Paper Series, European Central Bank View citations (669)
17. Diffusion index-based inflation forecasts for the euro area
    Working Paper Series, European Central Bank View citations (49)
    See also Chapter Diffusion index-based inflation forecasts for the euro area, BIS Papers chapters, Bank for International Settlements (2001) View citations (43) (2001)

1992

18. Hysteresis: what it is and what it is not ?
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (10)

1990

19. MIMOSA, une modélisation de l'économie mondiale
    Post-Print, HAL
    Also in SciencePo Working papers Main, HAL (1990)
    See also Journal Article MIMOSA, une modélisation de l'économie mondiale, Revue de l'OFCE, Programme National Persée (1990) View citations (1) (1990)

1989

20. Les interdépendances macroéconomiques en Europe
    SciencePo Working papers Main, HAL
    Also in Post-Print, HAL (1989)

Undated

21. Labour market dynamics in the euro area: A model-based sensitivity analysis
    Modeling, Computing, and Mastering Complexity 2003, Society for Computational Economics

Journal Articles

2020

1. Banking system stress testing and COVID-19: A first summary appraisal
   Journal of Risk Management in Financial Institutions, 2020, 14, (1), 7-24

2018

2. DESTABILIZING EFFECTS OF BANK OVERLEVERAGING ON REAL ACTIVITY—AN ANALYSIS BASED ON A THRESHOLD MCS-GVAR
   Macroeconomic Dynamics, 2018, 22, (7), 1750-1768 View citations (8)
   See also Working Paper Destabilizing effects of bank overleveraging on real activity - an analysis based on a threshold MCS-GVAR, Working Paper Series (2017) View citations (2) (2017)

2017

3. Sketching a roadmap for systemic liquidity stress tests
   Journal of Risk Management in Financial Institutions, 2017, 10, (4), 319-340

2012

4. An Area-Wide Real-Time Database for the Euro Area
   The Review of Economics and Statistics, 2012, 94, (4), 1000-1013 View citations (58)
   See also Working Paper An Area Wide Real Time Data Base for the Euro Area, Working Papers ECARES (2010) View citations (2) (2010)

2008

5. Factor analysis in a model with rational expectations
   Econometrics Journal, 2008, 11, (2), 271-286 View citations (12)
   See also Working Paper Factor Analysis in a Model with Rational Expectations, NBER Working Papers (2007) View citations (6) (2007)
6. The impact of government budgets on prices: Evidence from macroeconometric models
   Journal of Policy Modeling, 2008, 30, (1), 123-143 View citations (12)

2006

7. A real-time database for the euro area
   Research Bulletin, 2006, 5, 6-8 View citations (3)
8. Interpolation and backdating with a large information set
   Journal of Economic Dynamics and Control, 2006, 30, (12), 2693-2724 View citations (42)
   See also Working Paper Interpolation and Backdating with A Large Information Set, CEPR Discussion Papers (2004) View citations (2) (2004)

2005

9. An area-wide model for the euro area
   Economic Modelling, 2005, 22, (1), 39-59 View citations (346)

2004

10. The euro area viewed as a single economy: how does it respond to shocks?
    Economic Modelling, 2004, 21, (5), 833-875 View citations (28)

2003

11. MZE, un modèle macroéconométrique pour la zone euro; suivi d'un commentaire de Jérome Henry
    Économie et Statistique, 2003, 367, (1), 3-37

2002

12. Determinants of the Effective Real Exchange Rate of the Synthetic Euro: Alternative Methodological Approaches
    Australian Economic Papers, 2002, 41, (4), 404-436 View citations (30)

1998

13. Long run money demand in the EU: Evidence for area-wide aggregates
    Empirical Economics, 1998, 23, (3), 483-506 View citations (106)

1995

14. Asymmetry in the EMS revisited: Evidence from the Causality Analysis of Daily Eurorates
    Annals of Economics and Statistics, 1995, (40), 125-160 View citations (14)
15. German Unification and Asymmetry in the ERM: Comment on Gardner and Perraudin
    IMF Staff Papers, 1995, 42, (4), 894-902 View citations (2)

1994

16. Strong hysteresis versus zero-root dynamics
    Economics Letters, 1994, 44, (1-2), 43-47 View citations (41)

1993

17. Fluctuations du dollar, indicateurs macro-économiques et investissements directs américains dans les pays développés
    Économie et Prévision, 1993, 107, (1), 63-80
18. La localisation des investissements français dans trois zones de l'OCDE. Une analyse économétrique des balances des paiements depuis 1979
    Revue Économique, 1993, 44, (4), 737-754
19. Les investissements étrangers directs: développement et spécificité des échanges avec la communauté européenne
    Économie et Statistique, 1993, 268, (1), 45-58
20. Unit Root in the Wage‐Price Spiral Is Not Hysteresis in Unemployment
    Journal of Economic Studies, 1993, 20, (1/2), - View citations (2)

1992

21. The financial behaviour of French households
    Economic Modelling, 1992, 9, (3), 270-289 View citations (4)

1990

22. MIMOSA, une modélisation de l'économie mondiale
    Revue de l'OFCE, 1990, 30, (1), 137-197 View citations (1)
    See also Working Paper MIMOSA, une modélisation de l'économie mondiale, Post-Print (1990) (1990)
23. Répartition et formation du revenu disponible dans cinq grands pays
    Revue de l'OFCE, 1990, 30, (1), 35-61 View citations (1)

1989

24. Croissance et déséquilibres de l'économie mondiale. Une projection CEPII-OFCE à l'horizon 1993
    Revue de l'OFCE, 1989, 28, (1), 15-70
25. L'investissement direct des Etats-Unis dans les pays occidentaux depuis 1980: une évaluation économétrique
    Revue de l'OFCE, 1989, 26, (1), 165-188

1988

26. Coût relatif capital-travail et substitution: existe-t-il encore un lien ?
    Revue de l'OFCE, 1988, 24, (1), 163-182 View citations (7)
27. Deux partages du revenu national des grands pays de l'OCDE
    Revue de l'OFCE, 1988, 24, (1), 103-124 View citations (6)

Chapters

2004

1. Complex Remanence vs. Simple Persistence: Are Hysteresis and Unit-Root Processes Observationally Equivalent?
   A chapter in Economic Complexity, 2004, pp 67-89 View citations (1)
   See also Working Paper Complex Remanence vs. Simple Persistence: Are Hysteresis and Unit-Root Processes observationally equivalent?, University Library of Munich, Germany (2005) View citations (2) (2005)

2001

2. A multi-country trend indicator for euro area inflation: computation and properties
   A chapter in Empirical studies of structural changes and inflation, 2001, vol. 03, pp 81-108 View citations (10)
   See also Working Paper A multi-country trend indicator for euro area inflation: computation and properties, European Central Bank (2001) View citations (14) (2001)
3. Diffusion index-based inflation forecasts for the euro area
   A chapter in Empirical studies of structural changes and inflation, 2001, vol. 03, pp 109-138 View citations (43)
   See also Working Paper Diffusion index-based inflation forecasts for the euro area, European Central Bank (2001) View citations (49) (2001)