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Global Imbalances and Imported Disinflation in the Euro Area

Barthélemy, J.; Cléaud, G. - Banque de France - 2011

We estimate a medium-scale DSGE model for the euro area in an open economy framework. The model includes structural trends on all variables, which allow us to estimate on gross data. We first provide a theoretical balanced growth path consistent with permanent productivity shocks, inflation...

Persistent link: https://www.econbiz.de/10009145707

Stress Testing and Corporate Finance.

De Bandt, O.; Bruneau, C.; El Amri, W. - Banque de France - 2008

The article contributes to the literature on financial fragility, studying how macro-economic shocks affect supply and demand in the corporate debt market. We take into account the effect of the competitive environment, as well as the risk level, measured by companies' default rate. The model is...

Persistent link: https://www.econbiz.de/10008528509

Macroeconomic Fluctuations and Corporate Financial Fragility

Bruneau, C.; de Bandt, O.; El Amri, W. - Banque de France - 2011

forecasting equations for firms' bankruptcy using Shumway's (2001) approach and study the joint dynamics of bankruptcies and … between the bankruptcy rate and the output gap and highlight significant "second round effects" of shocks to the output gap on …

Persistent link: https://www.econbiz.de/10005036172

Cross-border interbank contagion in the European banking sector.

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

This paper studies the scope for cross-border contagion in the European banking sector using true bilateral exposure … data. Using a model of sequential solvency and liquidity cascades in networks, we analyze geographical patterns of loss … propagation from 2008 to 2012. We study the distribution of contagion outcomes after a common shock and an exogenous bank default …

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

Pricing Default Events: Surprise, Exogeneity and Contagion.

Gouriéroux, C.; Monfort, A.; Renne, J-P. - Banque de France - 2013

In order to derive closed-form expressions of the prices of credit derivatives, standard credit-risk models typically price the default intensities, but not the default events themselves. The default indicator is replaced by an appropriate prediction and the prediction error, that is the...

Persistent link: https://www.econbiz.de/10010815976

Bilateral Exposures and Systemic Solvency Risk.

Gourieroux, C.; Heam, J.C.; Monfort, A. - Banque de France - 2012

consequences of exogenous shocks on the banking system and we measure contagion phenomena. This approach is illustrated by an …

Persistent link: https://www.econbiz.de/10010815986

Regime Switching and Bond Pricing.

Gouriéroux, C.; Monfort, A.; Pegoraro, F.; Renne, J-P. - Banque de France - 2013

incorporate business cycles or crises, to introduce contagion, to reproduce zero lower bound spells, or to evaluate the impact of …

Persistent link: https://www.econbiz.de/10010816014

Monitoring the European CDS Market through Networks: Implications for Contagion Risks.

Clerc, L.; Gabrieli, S.; Kern, S.; El Omari, Y. - Banque de France - 2014

network analysis. The structural features revealed show bilateral CDS exposures describing growing scale-free networks whose … spreaders” of financial contagion, identified as the most interconnected participants, consist mostly of banks. For some of them …

Persistent link: https://www.econbiz.de/10010753778

Bank incentives and optimal CDOs

Pagès, H. - Banque de France - 2009

displaying “contagion.” Moral hazard prevents the bank from monitoring continuously unless it is compensated with the right …

Persistent link: https://www.econbiz.de/10008531418

Contagion Effects in the Aftermath of Lehman’s Collapse: Evidence from the US Financial Services Industry.

Dumontaux, N.; Pop, A. - Banque de France - 2013

The spectacular failure of the 150-year old investment bank Lehman Brothers on September 15th, 2008 was a major turning point in the global financial crisis that broke out in the summer 2007. Through the use of stock market data and Credit Default Swap (CDS) spreads, this paper examines the...

Persistent link: https://www.econbiz.de/10010631356