Using a large sample of accounting data for non financial companies in France on the period 1990-2004, the paper studies the interactions between macroeconomic shocks and companies financial fragility. We consider links in both directions, namely whether .rms. bankruptcies are affected by...

In order to derive closed-form expressions of the prices of credit derivatives, standard credit-risk models typically price the default intensities, but not the default events themselves. The default indicator is replaced by an appropriate prediction and the prediction error, that is the...

We define a disastrous default as the default of a systemic entity. Such an event is expected to have a negative effect on the economy and to be contagious. Bringing macroeconomic structure to a noarbitrage asset-pricing framework, we exploit prices of disaster-exposed assets (credit and equity...

We provide the first detailed empirical analysis of the failure of a derivatives clearinghouse: the Caisse de Liquidation, which defaulted in Paris in 1974. Using archival data, we find three main causes of the failure: (i) a weak pool of investors, (ii) the inability to contain the growth of a...

The current financial crisis offers a unique opportunity to investigate the leading properties of market indicators in a stressed environment and their usefulness from a banking supervision perspective. One pool of relevant information that has been little explored in the empirical literature is...

A European directive requires Member States to give firms access to preventive restructuringprocedures. This paper assesses the interest of a procedure distinct from that for insolvent firms. Itis based on the French experience, where a preventive procedure has coexisted with the morecommon...

The Generalized Calvo and the Generalized Taylor model of price and wage-setting are, unlike the standard Calvo and Taylor counterparts, exactly consistent with the distribution of durations observed in the data. Using price and wage micro-data from a major euro-area economy (France), we develop...

We develop a simple model to study the interactions between a supplier's financial constraints and contract incompleteness in a vertical relationship. Production complexity increases the extent of contract incompleteness and the hold-up problem, which generates a cost when the supplier needs...

This paper describes a forecasting model of the French consumer price index. Its purpose is to allow for rapid and detailed analysis of recent inflation developments, as well as frequent forecasts. Its characteristics are therefore the following: a small number of equations, a monthly frequency,...

To explain the existence of stop-loss rules in financial institutions, we develop a principal/agent model, where an investment firm (the principal) has to rely on the expertise of a trader (the agent) to invest in a risky asset (a future contract, say). When the trader faces a limited liability...