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Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework
Jardet, Caroline; Le Fol, Gaëlle - Université Paris-Dauphine (Paris IX) - 2010
At the beginning of 2004, the Eurosystem implemented several modifications of its operational framework and liquidity management aiming at enhancing market efficiency. The purpose of this article is to study the effects of theses changes in the spread between the Eonia and the minimum bid rate....
Persistent link: https://www.econbiz.de/10011074302
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Long Term Risk
Scheinkman, José A. - Université Paris-Dauphine (Paris IX) - 2008
In financial economics risk-return tradeoffs show how expected rates of return and consequently asset prices are altered …: (i) Present some of the recent literature that is concerned with the effect of long run risk on returns and prices. (ii …) Develop an analytical structure that reveals the long-run risk-return relationship in nonlinear continuous time Markov …
Persistent link: https://www.econbiz.de/10011072770
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Benefits and Risks of Alternative Investment Strategies
Vaissié, Mathieu; Amenc, Noël; Martellini, Lionel - Université Paris-Dauphine (Paris IX) - 2003
Persistent link: https://www.econbiz.de/10011073624
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Does Monetary Policy Respond to Commodity Price Shocks?
Ano Sujithan, Kuhanathan; Koliai, Lyes; Avouyi-Dovi, Sanvi - Université Paris-Dauphine (Paris IX) - 2013
Commodity prices, especially oil prices, peaked in the aftermath of the financial crisis of 2007 and they have remained highly volatile. All things being equal, the increase in commodity prices may induce a similar tendency of inflation and hence become a monetary policy issue. However, the...
Persistent link: https://www.econbiz.de/10010861404
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Commodity derivative markets
Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2008
Persistent link: https://www.econbiz.de/10010861632
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The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises
Avouyi-Dovi, Sanvi; Horny, Guillaume; Sevestre, Patrick - Université Paris-Dauphine (Paris IX) - 2015
We analyse the dynamics of the pass - through of banks’ marginal cost to bank lending rates over the 2008 crisis and the euro area sovereign debt crisis in France, Germany, Greece, Italy, Portugal and Spain . We measure banks’ marginal cost by their rate on new deposits, contrary to the...
Persistent link: https://www.econbiz.de/10011273981
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Soybean Inventory and Forward Curve Dynamics
Nguyen, Vu-Nhat; Geman, Hélyette - Université Paris-Dauphine (Paris IX) - 2005
We present two results concerning soybean prices. First, we exhibit a simple relationship between stocks and price volatility. The observation of an increasing price volatility with decreasing inventory is often mentioned in the literature, but has so far been documented using a proxy for...
Persistent link: https://www.econbiz.de/10010706372
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Yield Curve Reaction to Macroeconomic News in Europe : Disentangling the US Influence
Ielpo, Florian; Brière, Marie - Université Paris-Dauphine (Paris IX) - 2009
This paper analyses the response of the euro yield curve to macroeconomic and monetary policy announcements. We present a new methodology for estimating the reaction of the euro swap curve to economic news in a data-rich environment. Given the sharp degree of interdependence between euro and US...
Persistent link: https://www.econbiz.de/10010706484
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La monnaie dans la pensée néo-classique pré-keynésienne
de Boyer des Roches, Jérôme - Université Paris-Dauphine (Paris IX) - 2000
Persistent link: https://www.econbiz.de/10010706548
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Existence d’une relation d’équilibre entre variables économiques et variables financières sur le marché français
Pras, Isabelle - Université Paris-Dauphine (Paris IX) - 1999
Assets managers use financial institutions market studies to allocate assets. These studies show the evolution of financial and economic variables. These variables contribute to the determination of assets price. The purpose of this paper is to test the existence and the form of a relation on...
Persistent link: https://www.econbiz.de/10010706671