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False News, Informational Efficiency, and Price Reversals.

Dugast, J.; Foucault, T. - Banque de France - 2014

Speculators can discover whether a signal is true or false by processing it but this takes time. Hence they face a trade-off between trading fast on a signal (i.e., before processing it), at the risk of trading on a false news, or trading after processing the signal, at the risk that prices...

Persistent link: https://www.econbiz.de/10010938543

Le marché de la titrisation en Europe : caractéristiques et perspectives.

Kern E. - Banque de France - 2014

- Contrairement au marché américain, le marché de la titrisation européenne ne s’est pas totalement effondré avec la crise financière de 2008, même s’il a connu depuis une certaine atonie. La plus grande attention désormais apportée à la qualité des actifs sous-jacents a permis un...

Persistent link: https://www.econbiz.de/10010928891

Credit and Liquidity in Interbank Rates: a Quadratic Approach.

Dubecq, S.; Monfort, A.; Renne, J-P.; Roussellet, G. - Banque de France - 2013

We propose a quadratic term-structure model of the EURIBOR-OIS spreads. Contrary to OIS, EURIBOR rates incorporate credit and liquidity risks resulting in compensations for (a) facing default risk of debtors, and (b) possible unexpected funding needs on the lender’s side. Our approach allows...

Persistent link: https://www.econbiz.de/10010815975

Securitization, Competition and Monitoring.

Ahn, J-H.; Breton, R. - Banque de France - 2013

We analyze the impact of loan securitization on competition in the loan market. Using a dynamic loan market competition … effect of securitization that allows banks to extract rents in the primary loan market. By reducing monitoring incentives …, securitization mitigates winner’s curse effects in future stages of competition thereby decreasing ex ante competition for initial …

Persistent link: https://www.econbiz.de/10010815965

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

We consider the channel consisting in transferring the credit risk associated with refinancing operations between financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French government debt securities market, since these assets are used...

Persistent link: https://www.econbiz.de/10009275673

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

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

We present a simple theory of business-cycle movements of option prices and volumes. This theory relies on time-varying heterogeneity between agents in their demand for insurance against aggregate risk. Formally, we build an infinite-horizon model where agents face an aggregate risk, but also...

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

Commodity and Equity Markets: Some Stylized Facts from a Copula.

Delatte, A-L.; Lopez, C. - Banque de France - 2013

In this paper, we propose to identify the dependence structure existing between the returns of equity and commodity futures and its evolution through the past 20 years. The key point is that we do not do not impose the dependence structure but let the data select it. To do so, we model the...

Persistent link: https://www.econbiz.de/10010607535

The Effects of Information Asymmetries on the Ex-Post Success of Stock Option Listings.

Bernales, A. - Banque de France - 2014

We examine a number of unexplored factors that affect the ex-post adoption rates of newly listed stock options. We show that a variety of measures of information asymmetries concerning underlying stocks predict option adoption rates. These predictive relationships are robust to control factors...

Persistent link: https://www.econbiz.de/10010816019

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

Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis.

Rockinger, M.; Jondeau, E. - Banque de France - 2001

The entropy principle yields, for a given set moments, a density that involves the smallest amount of prior information. We first show how entropy densities may be constructed in a numerically efficient way as the minimization of a potential. Next, for the case where the first four moments are...

Persistent link: https://www.econbiz.de/10005034723

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