Philippe Jeanfils

Long-term Comovements in International Markets for Paintings

We study steady-state relationships between prices for paintings obtained by three groups of painters (Impressionist, Modern and Contemporary European Masters, Other minor European painters, Contemporary US painters) at public auctions in New York, London and Paris between 1962 and 1991. The analysis is carried out by estimating Vector autoregressive models, using the recent techniques developed by Johansen. The results show that the various markets move closely together, and are, even in New York, led by what happens to the group of European Great Masters, whose prices are not influenced by other prices. We also examine the relation between art and stock markets; we find that there is no long-run relation between these two assets, though in the short-run, financial markets do influence art markets.

A Model with Explicit Expectations for Belgium

This paper presents a new quarterly macroeconometric model of the Belgian economy. It is intended to contribute to existing analytical work covering the specific transmission mechanisms of the euro area monetary policy in the Belgian economy. It also contributes to the forecast exercises and to their risk analysis. Finally it is also used to analyse the consequences of specific Belgian shocks. The model is small-scale and based on recent macroeconomic theory. The models dynamics not only allow for the lagged adjustments from economic agents due to transaction costs to be taken into consideration, but also for agents to anticipate future developments and policy reactions. In simulations, expectation formation can be assumed either to be model consistent or to be generated by VAR-based extrapolations. On the basis of a few diagnostic simulations it is shown that in the long run the model converges to its steady state, defined by the underlying economic theory.

A Guided Tour of the World of Rational Expectations Models and Optimal Policies

This working paper after quickly reviewing the different types of existing macro models presents some basic tools that have proved useful for analysing monetary policy in recent years. Through the use of a simple quantitative forward-looking model of output, inflation and interest rate determination, the paper tries to familiarise the reader with some of the techniques used in research on optimal policy, including rational expectations theory, timeconsistency analysis, the Lucas critique and computer simulation techniques. The explanation proceeds gradually. First, a single linear difference equation is used to explain how solutions to models with forward-looking expectations can be obtained. Then it deals with methods used to solve more general models for optimal policies. Finally, the potential usefulness of these techniques is explained through a series of applications to monetary policy.

Noname - A New Quarterly Model for Belgium

This paper gives an overview of the present version of the quarterly model for the Belgian economy built at the National Bank of Belgium (NBB). This model can provide quantitative input into the policy analysis and projection processes within a framework that has explicit micro-foundations and expectations. This new version is also compatible with the ESA95 national accounts. This model called Noname is relatively compact. The intertemporal optimisation problem of households and firms is subject to polynomial adjustment costs, which yields richer dynamic specifications than the more usual quadratic cost function. Other characteristics are: pricing-to-market and hence flexible mark-ups and incomplete pass-through, a CES production function with an elasticity of substitution between capital and labour below one, time-dependent wage contracting a la Dotsey, King and Wollman. Most of the equations taken individually have acceptable statistical properties and diagnostic simulations suggest that the impulse responses of the model to exogenous shocks are reasonable. Its structure allows simulations to be conducted under the assumption of rational expectations as well as under alternative expectations formations.