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The impact of unconventional monetary policy on the market for collateral: The case of the French bond market
Avouyi-Dovi, S.; Idier, J. - Banque de France - 2011
financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French …; in the other, which we dub the unconventional regime, monetary policy operations lead to volatility and liquidity premia …
Persistent link: https://www.econbiz.de/10009275673
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Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market.
Avouyi-Dovi, S.; Idier, J. - Banque de France - 2010
We examine the effects of collateral provision as a potential channel between funding liquidity tensions and the scarcity of market liquidity. This channel consists in transferring the credit risk associated with refinancing operations between financial institutions to market participants that...
Persistent link: https://www.econbiz.de/10008516105
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Modelling Stochastic Volatility with Leverage and Jumps: A Simulated Maximum Likelihood Approach via Particle Filtering
Malik, S.; Pitt, M. K. - Banque de France - 2011
general class of discrete-time stochastic volatility (SV) models, characterized by both a leverage effect and jumps in returns … provides a feasible basis for undertaking the nontrivial task of model comparison. Furthermore, we introduce new volatility … model, namely SV-GARCH which attempts to bridge the gap between GARCH and stochastic volatility specifications. In nesting …
Persistent link: https://www.econbiz.de/10008854101
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Estimating Gram-Charlier Expansions with Positivity Constraints.
Jondeau, E.; Rockinger, M. - Banque de France - 1998
The Gram-Charlier expansion, where skewness and kurtosi directly appear as parameters, has become popular in Finance as a generalization of the normal density. We show how positivity constraints can be numerically implemented, thereby guaranteeing that the expansion defines a density. The...
Persistent link: https://www.econbiz.de/10005036204
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False News, Informational Efficiency, and Price Reversals.
Dugast, J.; Foucault, T. - Banque de France - 2014
Speculators can discover whether a signal is true or false by processing it but this takes time. Hence they face a trade-off between trading fast on a signal (i.e., before processing it), at the risk of trading on a false news, or trading after processing the signal, at the risk that prices...
Persistent link: https://www.econbiz.de/10010938543
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Prices and volumes of options: A simple theory of risk sharing when markets are incomplete
Le Grand, F.; Ragot, X. - Banque de France - 2010
We present a simple theory of business-cycle movements of option prices and volumes. This theory relies on time-varying heterogeneity between agents in their demand for insurance against aggregate risk. Formally, we build an infinite-horizon model where agents face an aggregate risk, but also...
Persistent link: https://www.econbiz.de/10008692970
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Commodity and Equity Markets: Some Stylized Facts from a Copula.
Delatte, A-L.; Lopez, C. - Banque de France - 2013
In this paper, we propose to identify the dependence structure existing between the returns of equity and commodity futures and its evolution through the past 20 years. The key point is that we do not do not impose the dependence structure but let the data select it. To do so, we model the...
Persistent link: https://www.econbiz.de/10010607535
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The Effects of Information Asymmetries on the Ex-Post Success of Stock Option Listings.
Bernales, A. - Banque de France - 2014
stock volatility and volume. Nevertheless, option listings induce a reduction in the strength of the information asymmetries …
Persistent link: https://www.econbiz.de/10010816019
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Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis.
Rockinger, M.; Jondeau, E. - Banque de France - 2001
The entropy principle yields, for a given set moments, a density that involves the smallest amount of prior information. We first show how entropy densities may be constructed in a numerically efficient way as the minimization of a potential. Next, for the case where the first four moments are...
Persistent link: https://www.econbiz.de/10005034723
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Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis.
Rockinger, M.; Jondeau, E. - Banque de France - 2001
The entropy principle yields, for a given set moments, a density that involves the smallest amount of prior information. We first show how entropy densities may be constructed in a numerically efficient way as the minimization of a potential. Next, for the case where the first four moments are...
Persistent link: https://www.econbiz.de/10005487053