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Excès de liquidité monétaire et prix des actifs.

Gouteron, S.; Szpiro, D. - Banque de France - 2005

The recent rise of excess liquidity in the United States and in the euro zone did not result in a resurgence of … inflation. Excess liquidity, rather than heading towards the market of consumer goods, could have moved towards the asset … Kingdom and Japan, there's no element pointing out an effect of excess liquidity on asset prices: there is no common trend in …

Persistent link: https://www.econbiz.de/10005056539

Financial Market Liquidity and the Lender of Last Resort.

Ewerhart, C.; Valla, N. - Banque de France - 2007

It has been argued in the literature that emergency liquidity injections should be conducted preferably in the form of … open market operations. As we show in the present paper, this is not necessarily the case when liquidity may be …, targeted liquidity assistance may become strictly superior. The analysis might have a bearing on recent developments in the …

Persistent link: https://www.econbiz.de/10004998822

Credit Risk in the Euro area.

Gilchrist, S.; Mojon, B. - Banque de France - 2014

We construct credit risk indicators for euro area banks and non-financial corporations. These are the average spreads on the yield of euro area private sector bonds relative to the yield on German federal government securities of matched maturities. The indicators are also constructed at the...

Persistent link: https://www.econbiz.de/10010764941

Measuring Systemic Risk in a Post-Crisis World

Bandt, O. de; Héam, J.-C.; Labonne, C.; Tavolaro, S. - Banque de France - 2013

In response to the very large number of quantitative indicators that have been put forward to measure the level of systemic risk since the start of the subprime crisis, the paper surveys the different indicators available in the economic and financial literature. It distinguishes between (i)...

Persistent link: https://www.econbiz.de/10010929758

Stress-testing banks’ corporate credit portfolio

Bandt, O. de; Dumontaux, N.; Martin, V.; Médée, D. - Banque de France - 2013

The paper describes the methods used by the French Banking Supervision Authority (ACP) to run stress tests for the corporate credit portfolio, through credit migration matrices (or transition matrices). This approach is currently used for “top-down” stress tests exercises. Developed for...

Persistent link: https://www.econbiz.de/10010929765

Stress-testing banks’ corporate credit portfolio

Bandt, O. de; Dumontaux, N.; Martin, V.; Médée, D. - Banque de France - 2013

Persistent link: https://www.econbiz.de/10010929766

Bank risks, monetary shocks and the credit channel in Brazil: identification and evidence from panel data.

Ramos-Tallada, J. - Banque de France - 2015

shocks in some estimations. Second, I check whether several types of uncertainty may drive the BLC, beyond liquidity risk …

Persistent link: https://www.econbiz.de/10011269008

How do anticipated changes to short-term market rates influence banks' retail interest rates? Evidence from the four major euro area economies

Banerjee, A.; Bystrov, V.; Mizen, P. - Banque de France - 2012

In this paper we argue that banks anticipate short-term market rates when setting interest rates on loans and deposits. In order to include anticipated rates in an empirical model, we use two methods to forecast market rates - a level, slope, curvature model and a principal components model -...

Persistent link: https://www.econbiz.de/10009651277

Wealth Effects on Consumption Plans: French Households in the Crisis

Arrondel, L.; Savignac, F.; Tracol, K. - Banque de France - 2011

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...

Persistent link: https://www.econbiz.de/10009352245

A term structure model with level factor cannot be realistic and arbitrage free

Dubecq, S.; Gourieroux, C. - Banque de France - 2012

A large part of the term structure literature interprets the first underlying factors as a level factor, a slope factor, and a curvature factor. In this paper we consider factor models interpretable as a level factor model, a level and a slope factor model, respectively. We prove that such...

Persistent link: https://www.econbiz.de/10009421798