In the paper, we deal with the unexpected effects of new regulations and supervision and provide recommendations to ensure their effectiveness. New regulations essentially aim at strengthening the solvency and the liquidity of financial institutions. However, some technical aspects of these...

- 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...

Recent empirical work has shown that current account deficits have been associated with lower growth in developing countries while they have been associated with higher growth in developed countries. This paper shows that this can be rationalized in an environment where firms face (i)...

This paper addresses the macroeconomic impact of international financial integration. I first provide empirical evidence that foreign banking penetration can be associated with a contraction of banking credit, especially in countries with poor credit markets. Second I present a model in which...

This paper uses daily exchange rates from the mark/franc, dollar/mark and dollar/yen markets in the period between November 2, 1994 and September 21, 1995, to examine the predictive content of two option-implied indicators on future spot rates.

We measure the commonality in hedge fund returns, identify its main driving factor and analyze its implications for financial stability. We find that hedge funds’ commonality increased significantly from 2003 until 2006. We attribute this rise mainly to the increase in hedge funds’ exposure...

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...