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Capital Regulation in a Macroeconomic Model with Three Layers of Default.

Clerc, L.; Derviz, A.; Mendicino, C.; Moyen, S.; Nikolov, K. - Banque de France - 2014

We develop a dynamic general equilibrium model for the positive and normative analysis of macroprudential policies. Optimizing financial intermediaries allocate their scarce net worth together with funds raised from saving households across two lending activities, mortgage and corporate lending....

Persistent link: https://www.econbiz.de/10011105999

The Term Structure of the Welfare Cost of Uncertainty

Lopez, P. - Banque de France - 2014

. Over time, the term structure of welfare costs varies substantially, predictably and with a volatility that decreases with …

Persistent link: https://www.econbiz.de/10010961063

Cross-border interbank contagion in the European banking sector.

Gabrieli, S.; Salakhova, D.; Vuillemey, G. - Banque de France - 2015

This paper studies the scope for cross-border contagion in the European banking sector using true bilateral exposure … propagation from 2008 to 2012. We study the distribution of contagion outcomes after a common shock and an exogenous bank default … propagation of losses. An econometric analysis of the determinants of contagion shows that the position of a bank in the network …

Persistent link: https://www.econbiz.de/10011212945

Monitoring the European CDS Market through Networks: Implications for Contagion Risks.

Clerc, L.; Gabrieli, S.; Kern, S.; El Omari, Y. - Banque de France - 2014

spreaders” of financial contagion, identified as the most interconnected participants, consist mostly of banks. For some of them …

Persistent link: https://www.econbiz.de/10010753778

The confidence channel for the transmission of shocks

Fei, S. - Banque de France - 2011

of a contagion of confidence from “large countries” to “small countries”. I apply instrumental-variable regressions to …

Persistent link: https://www.econbiz.de/10008800897

Pricing Default Events: Surprise, Exogeneity and Contagion.

Gouriéroux, C.; Monfort, A.; Renne, J-P. - Banque de France - 2013

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...

Persistent link: https://www.econbiz.de/10010815976

Regime Switching and Bond Pricing.

Gouriéroux, C.; Monfort, A.; Pegoraro, F.; Renne, J-P. - Banque de France - 2013

incorporate business cycles or crises, to introduce contagion, to reproduce zero lower bound spells, or to evaluate the impact of …

Persistent link: https://www.econbiz.de/10010816014

Equilibrium Risk Shifting and Interest Rate in an Opaque Financial System.

Challe, E.; Mojon, B.; Ragot, X. - Banque de France - 2012

We analyze the risk-taking behavior of heterogenous intermediaries that are protected by limited liability and choose both their amount of leverage and the risk exposure of their portfolio. Due to the opacity of the financial sector, outside providers of funds cannot distinguish “prudent”...

Persistent link: https://www.econbiz.de/10010565832

Land Collateral and Labor Market Dynamics in France.

Kaas, L.; Pintus, P. A.; Ray, S. - Banque de France - 2014

The value of land in the balance sheet of French firms correlates positively with their hiring and investment flows. To explore the relationship between these variables, we develop a macroeconomic model with firms that are subject to both credit and labor market frictions. The value of...

Persistent link: https://www.econbiz.de/10011106000

Learning Leverage Shocks and the Great Recession.

Pintus, P. A.; Suda, J. - Banque de France - 2013

This paper develops a simple business-cycle model in which financial shocks have large macroeconomic effects when private agents are gradually learning their economic environment. When agents update their beliefs about the unobserved process driving financial shocks to the leverage ratio, the...

Persistent link: https://www.econbiz.de/10010815952