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Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contract
Portes, Richard; Fouquau, Julien; Delatte, Anne-Laure - Université Paris-Dauphine (Paris IX) - 2014
Is the pricing of sovereign risk linear during bearish episodes? Or can initial shocks on economic fundamentals be exacerbated by endogenous factors that create nonlinearities? We test for nonlinearities in the sovereign bond market of European peripheral countries during the debt crisis and...
Persistent link: https://www.econbiz.de/10010764083
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Finance internationale et gestion des risques : questions et exercices corrigés
Simon, Yves; Roy, Sébastien - Université Paris-Dauphine (Paris IX) - 2013
La finalité de cet ouvrage est pédagogique. Il est destiné à faciliter l’acquisition des connaissances dans le domaine de la finance internationale et celui de la gestion des risques. Cette nouvelle édition, actualisée et rénovée, regroupe tous les thèmes importants de ces deux...
Persistent link: https://www.econbiz.de/10011072929
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An empirical study to identify shift contagion during the Asian crisis
Marais, Elise; Bates, Samuel - Université Paris-Dauphine (Paris IX) - 2006
The paper is an empirical study on contagion during the 1997–1998 Asian crisis. In line with Sander and Kleimeier … [Sander, H., Kleimeier, S., 2003. Contagion and causality: an empirical investigation of four Asian crisis episodes … market is tested. Using a new measure of causality, we attempt to show the existence of shift contagion defined as …
Persistent link: https://www.econbiz.de/10010905171
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Finance internationale
Lautier, Delphine; Simon, Yves; Morel, Christophe - Université Paris-Dauphine (Paris IX) - 2009
L'ouvrage présente une vision globale de la finance internationale. Avec les techniques financières, le marché des changes, la gestion des risques internationaux ou les places financières internationales.
Persistent link: https://www.econbiz.de/10010707979
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Les déséquilibres financiers internationaux
Pisani, Florence; Brender, Anton - Université Paris-Dauphine (Paris IX) - 2007
Depuis les années 2000, les déséquilibres financiers internationaux sont à nouveau au coeur des préoccupations. Face au déficit croissant de la balance courante américaine, le reste du monde accumule les excédents. Le paradoxe est évident : le pays le plus riche est celui qui vit le...
Persistent link: https://www.econbiz.de/10011072394
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No contagion, only globalization and flight to quality
Szafarz, Ariane; Chapelle, Ariane; Brière, Marie - Université Paris-Dauphine (Paris IX) - 2012
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 … globalization and flight to quality, while emphasizing that contagion on the equity markets appears as an artifact due to …
Persistent link: https://www.econbiz.de/10010707605
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The manufacturing of markets: legal, political and economic dynamics
Brousseau, Eric; Glachant, Jean-Michel - Université Paris-Dauphine (Paris IX) - 2014
Different types of markets exist throughout the world but how are they created? In this book, an interdisciplinary team of authors provide an evolutionary vision of how markets are designed and shaped. Drawing on a series of case studies, they show that markets are far from perfect and natural...
Persistent link: https://www.econbiz.de/10010790037
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Foreign-exchange intervention strategies and market expectations: insights from Japan
Gnabo, Jean-Yves; Teiletche, Jérôme - Université Paris-Dauphine (Paris IX) - 2009
This study extends the traditional set of central bank's interventions to include official announcements in order to provide empirical evidence on two pivotal questions: (i) are FX authorities able to influence market expectations with different instruments? (ii) how should interventions be...
Persistent link: https://www.econbiz.de/10010708344
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Liquidity and the cost of Funds and Integration of the Eurozone Treasury Bills Market
Biais, Bruno; Renucci, Antoine; Saint-Paul, Gilles - Université Paris-Dauphine (Paris IX) - 2007
We analyze empirically the determinants of Eurozone Treasury bills yields. Market microstructure as well as macroeconomic variables are found to significantly impact yields. Secondary trading in a centralized transparent electronic limit order book enhances liquidity and thus reduce yields....
Persistent link: https://www.econbiz.de/10010708481
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Conclusion : tâtonnement in the manufacturing of markets
Brousseau, Eric; Glachant, Jean-Michel - Université Paris-Dauphine (Paris IX) - 2014
Persistent link: https://www.econbiz.de/10011072517