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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

Even though the FX market is one of the most liquid financial market, it would be an error to consider that it is 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)...

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

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 … propagation from 2008 to 2012. We study the distribution of contagion outcomes after a common shock and an exogenous bank default … propagation of losses. An econometric analysis of the determinants of contagion shows that the position of a bank in the network …

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

Une mesure de la persistance dans les indices boursiers.

Avouyi-Dovi, S.; Guégan, D.; Ladoucette, S. - Banque de France - 2002

We identify and examine the presence of the long memory in equity returns and more generally in specific transformations of these returns, on both the US and European stock markets. Taking into account the persistence phenomenon, we analyze the effect of the splitting of the sample period on the...

Persistent link: https://www.econbiz.de/10005056504

Is there Evidence of Shift-Contagion in International Housing Markets?

de Bandt, O.; Malik, S. - Banque de France - 2010

The paper attempts to provide, for housing markets, evidence of "shift-contagion" at the international level, i. e …

Persistent link: https://www.econbiz.de/10008682873

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

Firms and the global crisis: French exports in the turmoil.

Bricongne, J-C.; Fontagné, L.; Gaulier, G.; Taglioni, D.; … - Banque de France - 2009

The unprecedented drop in international trade during the last quarter of 2008 and the first quarter of 2009 has mostly been analysed at the macroeconomic or sectoral level. However, heterogeneous exporters in terms of productivity, size or external finance dependence should be hit differently by...

Persistent link: https://www.econbiz.de/10008503207

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

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

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

For a Few Dollars More: Reserves and Growth in Times of Crises

Bussière, M.; Cheng, G.; Chinn, M.; Lisack, N. - Banque de France - 2015

Based on a dataset of 112 emerging economies and developing countries, this paper addresses the question whether the accumulation of international reserves has effectively protected countries during the 2008-09 financial crisis. More specifically, the paper investigates the relation between...

Persistent link: https://www.econbiz.de/10011272194