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La politique monétaire à l'heure du marché mondial des capitaux

Cailleteau, Pierre (ed.); Grunspan, Thierry (contributor) - 1998

Persistent link: https://www.econbiz.de/10000992488

Options Embedded in ECB Targeted Refinancing Operations.

Renne, J-P. - Banque de France - 2014

In June 2014, the European Central Bank (ECB) announced the implementation of new refinancing operations aimed at supporting bank lending to the non-financial private sector. This paper exhibits and prices options embedded in these Targeted Longer-Term Refinancing Operations. In particular, it...

Persistent link: https://www.econbiz.de/10010940877

Fixed-Income Pricing in a Non-Linear Interest-Rate Model.

Renne, J-P. - Banque de France - 2014

This paper introduces a novel kind of interest-rate model offering simple analytical pricing formulas for swaps, futures, swaptions, caps and floors. The model is based on an original use of regime-switching features that makes it consistent with the non-linear behavior of interest rates. In...

Persistent link: https://www.econbiz.de/10010940878

Prices and volumes of options: A simple theory of risk sharing when markets are incomplete

Le Grand, F.; Ragot, X. - Banque de France - 2010

informational content of derivative volumes over the business cycle. We also carry out welfare analysis with respect to the …

Persistent link: https://www.econbiz.de/10008692970

Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral

Jondeau, E.; Rockinger, M. - Banque de France - 1998

assumes a jump-diffusion for the underlying process, and eventually Heston's approach assuming a stochastic volatility model …

Persistent link: https://www.econbiz.de/10005036193

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

Forecasting growth during the Great Recession: is financial volatility the missing ingredient?

Ferrara, L.; Marsilli, C.; Ortega, J-P. - Banque de France - 2013

evaluate the leading role of the daily volatility of two major financial variables, namely commodity and stock prices, in their …

Persistent link: https://www.econbiz.de/10010815989

The Growth-Volatility Relationship: New Evidence Based on Stochastic Volatility in Mean Models

Lemoine, M.; Mougin, C. - Banque de France - 2010

This paper models the relationship between growth and volatility for G7 economies in the time period 1960-2009. It … delivers for the first time estimates of this relationship based on a logarithm variant of stochastic volatility in mean (SV … show that output volatility has increased in all countries since the beginning of the financial crisis, which illustrates …

Persistent link: https://www.econbiz.de/10008511689

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...

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

Credit Constraints and the Cyclicality of R&D Investment: Evidence from France.

Aghion, P.; Askenazy, P.; Berman, N.; Cette, G.; Eymard, L. - Banque de France - 2008

volatility in more credit constrained firms. …

Persistent link: https://www.econbiz.de/10008528504