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Liquidity problems in the FX liquid market: Ask for the "BIL".

Borgy, V.; Idier, J.; Le Fol, G. - Banque de France - 2010

immune against any liquidity problem. This paper analyzes on a long sample (2000-2009), the all set of quotes and … transactions in three main currency pairs (EURJPY, EURUSD, USDJPY) on the EBS platform. To characterize the FX market liquidity, we … propose the computation of a new liquidity indicator, BIL, that solely relies on price series availability. The main benefit …

Persistent link: https://www.econbiz.de/10008516104

Financial Market Liquidity and the Lender of Last Resort.

Ewerhart, C.; Valla, N. - Banque de France - 2007

It has been argued in the literature that emergency liquidity injections should be conducted preferably in the form of … open market operations. As we show in the present paper, this is not necessarily the case when liquidity may be …, targeted liquidity assistance may become strictly superior. The analysis might have a bearing on recent developments in the …

Persistent link: https://www.econbiz.de/10004998822

Le marché de la titrisation en Europe : caractéristiques et perspectives.

Kern E. - Banque de France - 2014

- Contrairement au marché américain, le marché de la titrisation européenne ne s’est pas totalement effondré avec la crise financière de 2008, même s’il a connu depuis une certaine atonie. La plus grande attention désormais apportée à la qualité des actifs sous-jacents a permis un...

Persistent link: https://www.econbiz.de/10010928891

Stock exchanges industry consolidation and shock transmission.

Idier, J. - Banque de France - 2006

Stock exchange industry consolidation is at work since many years and has recently accelerated through competition for order flows, agreements and mergers. However, consolidation may not mean that all shocks are transmitted to every place. Therefore, following Forbes and Rigobon (2002) we...

Persistent link: https://www.econbiz.de/10005082520

Breakeven inflation rates and their puzzling correlation relationships

Cette, G.; De Jong, M. - Banque de France - 2012

It is generally assumed that the two Fisher components of the interest rate -the real interest and the inflation- evolve independently over time, considering that they are driven by unrelated economical events. However, the market pricing of those components deduced from newly-available bond...

Persistent link: https://www.econbiz.de/10009651280

Market-implied inflation and growth rates adversely affected by the Brent.

Cette, G.; de Jong, M. - Banque de France - 2013

The inflation and the real yield component deduced from inflation-linked and nominal bond prices are adversely affected by two market effects: price distortions due to certain market-related events and oil price movements. Their underlying time-correlation without those effects is stable and...

Persistent link: https://www.econbiz.de/10010815953

Determinants of OECD countries’ sovereign yields: safe havens, purgatory, and the damned.

Bortoli, C.; Harreau, L.; Pouvelle, C. - Banque de France - 2014

main, fixed-effect, model highlights the crucial role of GDP growth, public deficit and debt liquidity in explaining the …

Persistent link: https://www.econbiz.de/10010815955

Honoring Sovereign Debt or Bailing Out Domestic Residents: A Theory of Internal Costs of Default.

Mengus, E. - Banque de France - 2014

The internal cost of default, an important driver of sovereign debt repayment, increases with domestic portfolios' home bias. And so, when using capital controls or other instruments to steer these portfolios, a country faces a trade-off between commitment to repay and diversification. But why...

Persistent link: https://www.econbiz.de/10010753776

Domestic Savings and Foreign Capital: the Complementarity Channel.

Kharroubi, E. - Banque de France - 2008

Recent empirical work has shown that current account deficits have been associated with lower growth in developing countries while they have been associated with higher growth in developed countries. This paper shows that this can be rationalized in an environment where firms face (i)...

Persistent link: https://www.econbiz.de/10008528503

Long term vs. short term comovements in stock markets: the use of Markov-switching multifractal models.

Idier, J. - Banque de France - 2008

Empirical techniques to assess market comovements are numerous from cointegration to dynamic conditional correlations. This paper uses the fractal properties of asset returns and presents estimations of Markov switching multifractal models [as MSM] to give new insights about short and long run...

Persistent link: https://www.econbiz.de/10004979468