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International Bailouts: Why Did Banks' Collective Bet Lead Europe to Rescue Greece?

Mengus, E. - Banque de France - 2014

In this paper, I use a two-country model to investigate the incentives which lead one country to take charge of another country's debt. I show that, when direct transfers to residents cannot be perfectly targeted, the first country can be better o_ honoring the second country's liabilities, even...

Persistent link: https://www.econbiz.de/10010884832

Net interoffice accounts of global banks: the role of domestic funding.

D’Avino, C. - Banque de France - 2013

Using US banks' balance sheet data, this paper examines the responsiveness of net interoffice accounts, that is, the net liabilities of parent offices due to their foreign-related offices, to variations in different types of domestic funding. Furthermore, it investigates whether the relationship...

Persistent link: https://www.econbiz.de/10010816000

Measuring Long-Run Exchange Rate Pass-Through.

.De Bandt, O.; Banerjee, A.; Kozluk, T. - Banque de France - 2007

The paper discusses the issue of estimating short- and long-run exchange rate pass-through to import prices in euro area countries and reviews some problems with the measures recently proposed in the literature. Theoretical considerations suggest a long-run Engle and Granger cointegrating...

Persistent link: https://www.econbiz.de/10005092592

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

Capital controls and spillover effects: evidence from Latin-American countries

Lambert, F.; Ramos-Tallada, J.; Rebillard, C. - Banque de France - 2011

The surge in capital inflows towards emerging countries after 2009 has revived the debate about capital controls. This paper analyzes some of the international implications of restrictions on capital inflows. Focusing on a sample of Latin-American countries, we use detailed balance of payments...

Persistent link: https://www.econbiz.de/10009399335

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

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