Similar Search Results

Economic Policy Uncertainty and Inflation Expectations.

Istrefi, K.; Piloiu, A. - Banque de France - 2014

Theory and evidence suggest that in an environment of well-anchored expectations, temporary economic news or shocks should not affect agents' expectations of inflation in the long term. Our estimated structural VARs show that both long- and short-term inflation expectations are sensitive to...

Persistent link: https://www.econbiz.de/10010937890

Estimation of a Time Varying NAIRU for France.

Irac, D. - Banque de France - 2000

Among several concepts encompassed by the idea of an equilibrium rate of unemployment (labour mismatch, unemployment trend, non inflationary unemployment, structural unemployment), the NAIRU appears as the most intereting one for a central bank since it focuses directly on inflation. Thus, the...

Persistent link: https://www.econbiz.de/10005646665

Evaluating Monetary Policy Rules in Estimated Forward-Looking Models: A Comparison of US and German Monetary Policies.

Jondeau, E.; Le Bihan, H. - Banque de France - 2000

In this paper, we estimate two small, forward-looking, macroeconomic models for the US and Germany and we compare the implied optimal monetary policy rules.

Persistent link: https://www.econbiz.de/10005781184

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

Macroprudential framework:key questions applied to the French case.

Bennani, T.; Després, M.; Dujardin, M.; Duprey, T.; … - Banque de France - 2014

This paper presents the main features of macroprudential policy with a focus on the French case. We first recall the ultimate objective of this policy, which is to prevent and to mitigate systemic risk, i.e. the risk of “widespread disruptions to the provision of financial services that have...

Persistent link: https://www.econbiz.de/10010815921

What is the information content of the SRISK measure as a supervisory tool?

Tavolaro, S.; Visnovsky, F. - Banque de France - 2014

The SRISK measure is advertised as measuring the recapitalization needed by a financial institution in the event of a financial crisis. It is computed from the estimated reaction of the institution’s share price in the event of a sharp drop in market prices. This indicator relies both on an...

Persistent link: https://www.econbiz.de/10010929760

Cross-border interbank contagion in the European banking sector.

Gabrieli, S.; Salakhova, D.; Vuillemey, G. - Banque de France - 2015

data. Using a model of sequential solvency and liquidity cascades in networks, we analyze geographical patterns of loss …

Persistent link: https://www.econbiz.de/10011212945

Bank Capital Adjustment Process and Aggregate Lending.

Duprey, T.; Lé, M. - Banque de France - 2014

This paper proposes a new micro-founded measure to quantify the aggregate capitalisation of banking sectors taking into account both market discipline and regulatory constraints. It allows studying the connection between micro capital shortfalls from an implicit bank specific capital target and...

Persistent link: https://www.econbiz.de/10010797657

Too-connected versus too-big-to-fail: banks’ network centrality and overnight interest rates.

Gabrieli, S. - Banque de France - 2012

What influences banks’ borrowing costs in the unsecured money market? The objective of this paper is to test whether measures of centrality, quantifying network effects due to interactions among banks in the market, can help explain heterogeneous patterns in the interest rates paid to borrow...

Persistent link: https://www.econbiz.de/10010575494

Capital Regulation in a Macroeconomic Model with Three Layers of Default.

Clerc, L.; Derviz, A.; Mendicino, C.; Moyen, S.; Nikolov, K. - Banque de France - 2014

We develop a dynamic general equilibrium model for the positive and normative analysis of macroprudential policies. Optimizing financial intermediaries allocate their scarce net worth together with funds raised from saving households across two lending activities, mortgage and corporate lending....

Persistent link: https://www.econbiz.de/10011105999

1
2
3
4
5
6
7
8
9
10
Next
Last