This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the...

In this article, tests for globalization and contagion are separated using an ex ante definition of crises, and contagion tests are neutralized with respect to globalization effects. A large database is constructed to study the stability of correlation matrices for four asset classes : equities,...

The research shows that banking relationships are important to lending. However, few studies focus on the banking relationships in syndicated loans, although these loans have became a major source of financing. The last financial crisis clearly shows the impacts of credit rationing and...

The investment procedure prescribes the stages and tests through which all investment projects must pass before being accepted or not. It governs the conditions of acceptability and constitutes a powerful device of a priori control. In this paper, we intend to understand how investment...

The investment procedure prescribes the stages and tests through which all investment projects must pass before being accepted or not. It governs the conditions of acceptability and constitutes a powerful device of a priori control. In this paper, we intend to understand how investment...

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...

This article proposes a new empirical methodology for computing a cross-market volatility index - coined CMIX - based on the Factor-Dynamic Conditional Correlation (DCC) model, implemented on volatility surprises. This approach solves problems in treating high-dimensional data and estimating...

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...

The recent observed decline of business cycle variability suggests that broad macroeconomic risk may have fallen as well. This may in turn have some impact on equity risk premia. We investigate the latent structures in the volatilities of the business cycle and stock market valuations by...