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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

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 bear new liquidity risk on the market associated with collateral …

Persistent link: https://www.econbiz.de/10008516105

How have global shocks impacted the real effective exchange rates of individual euro area countries since the euro's creation?

Bussière, M.; Chudik, A.; Mehl, A. - Banque de France - 2011

This paper uncovers the response pattern to global shocks of euro area countries' real effective exchange rates before and after the start of Economic and Monetary Union (EMU), a largely open ended question when the euro was created. We apply to that end a newly developed methodology based on...

Persistent link: https://www.econbiz.de/10009209806

Did the EBA Capital Exercise Cause a Credit Crunch in the Euro Area?

Mésonnier, J-S.; Monks, A. - Banque de France - 2014

We exploit a unique monthly dataset of bank balance sheets to document the lending behaviour of euro area banks that were subject to the EBA's 2011/12 Capital Exercise. This exercise was announced in October 2011 and required large European banking groups to meet a higher Tier 1 capital ratio by...

Persistent link: https://www.econbiz.de/10010815982

Can the Provision of Long-Term Liquidity Help to Avoid a Credit Crunch? Evidence from the Eurosystem's LTROs.

Andrade, P.; Cahn, C.; Fraisse, H.; Mésonnier, J-S. - Banque de France - 2015

provision of central bank liquidity to banks has on the credit supply to firms. We control for credit demand by examining firms …

Persistent link: https://www.econbiz.de/10011196012

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

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

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

The Effects of Information Asymmetries on the Ex-Post Success of Stock Option Listings.

Bernales, A. - Banque de France - 2014

We examine a number of unexplored factors that affect the ex-post adoption rates of newly listed stock options. We show that a variety of measures of information asymmetries concerning underlying stocks predict option adoption rates. These predictive relationships are robust to control factors...

Persistent link: https://www.econbiz.de/10010816019

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