Based on a unique data set referencing exposures on single name credit default swaps (CDS) on European reference entities, we study the structure and the topology of the European CDS market and its evolution from 2008 to 2012, resorting to network analysis. The structural features revealed show...

Over the recent months, several initiatives have taken place to develop macro-prudential regulation in order to prevent systemic risk and the built-up of financial imbalances. Crucial to the success of such policy is the ability of the macro-prudential authority to identify in due time such...

This paper provides an analysis of co-movements between real and financial variables in three new EU member countries (the Czech Republic, Hungary and Poland) and the euro area. It focuses on the co-movement between real credit granted to firms and real industrial output on the one hand, and...

This article puts forward a framework based primarily on probabilistic tools to analyse the nature of housing loan cycles in France. The continued high growth rate of housing loans may indeed raise concerns as to the duration and determinants of the cycle which currently prevails. The results...

This study attempts to distinguish, in the impact on credit in France, between the effects of stock market shocks occurred since the mid-1990s and more traditional effects, stemming from the business cycle. To do so, it uses a model focused on two financial assets: loans and equities. According...

This paper analyzes the wealth effect on consumption in France by relying on two original household surveys. First, it provides the first estimate of the marginal propensity to consume out of wealth based on micro data for France (Enquête Patrimoine 2009, Insee): a low but significant wealth...

The existence of an equity premium puzzle has been largely emphasized in the empirical literature: one observes low risky assets holding that the standard portfolio choice model (with expected and discounting utility and homothetic preferences) is not able to explain. Besides modifications of...

The aim of this paper is to build and estimate a macroeconomic model of credit risk for the French manufacturing sector. This model is based on Wilson's CreditPortfolioView model (1997a, 1997b); it enables us to simulate loss distributions for a credit portfolio for several macroeconomic...

We measure the impact of bank capital requirements on corporate borrowing and business activity. We use loan-level data and take advantage of the transition from Basel 1 to Basel 2. While under Basel 1 the capital charge was the same for all firms, under Basel 2, it depends in a predictable way...

The rate-of-return-dominance puzzle asks why low-return assets, like fiat money, are used in actual economies given that risk-free higher-return assets are available. As long as this question remains unresolved, most conclusions from monetary models which arbitrarily restrict the marketability...