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Is there Evidence of Shift-Contagion in International Housing Markets?

de Bandt, O.; Malik, S. - Banque de France - 2010

The paper attempts to provide, for housing markets, evidence of "shift-contagion" at the international level, i. e …

Persistent link: https://www.econbiz.de/10008682873

Liquidity problems in the FX liquid market: Ask for the "BIL".

Borgy, V.; Idier, J.; Le Fol, G. - Banque de France - 2010

Even though the FX market is one of the most liquid financial market, it would be an error to consider that it is immune against any liquidity problem. This paper analyzes on a long sample (2000-2009), the all set of quotes and transactions in three main currency pairs (EURJPY, EURUSD, USDJPY)...

Persistent link: https://www.econbiz.de/10008516104

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

Financial fragility in small open economies: firm balance sheets and the sectoral structure

Kalantzis, Y. - Banque de France - 2014

Episodes of large capital inflows in small open economies are often associated with a shift of resources from the tradable to the non-tradable sector and sometimes lead to balance-of-payments crises. This paper builds a two-sector dynamic model to study the evolution of the sectoral structure...

Persistent link: https://www.econbiz.de/10010891764

Honoring Sovereign Debt or Bailing Out Domestic Residents: A Theory of Internal Costs of Default.

Mengus, E. - Banque de France - 2014

The internal cost of default, an important driver of sovereign debt repayment, increases with domestic portfolios' home bias. And so, when using capital controls or other instruments to steer these portfolios, a country faces a trade-off between commitment to repay and diversification. But why...

Persistent link: https://www.econbiz.de/10010753776

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

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

Contagion Effects in the Aftermath of Lehman’s Collapse: Evidence from the US Financial Services Industry.

Dumontaux, N.; Pop, A. - Banque de France - 2013

The spectacular failure of the 150-year old investment bank Lehman Brothers on September 15th, 2008 was a major turning point in the global financial crisis that broke out in the summer 2007. Through the use of stock market data and Credit Default Swap (CDS) spreads, this paper examines the...

Persistent link: https://www.econbiz.de/10010631356

Les marchés financiers anticipent-ils les retournements conjoncturels?

Bellone, B.; Gautier, E.; Le Coent, S. - Banque de France - 2005

This article aims at estimating leading indicators of the American economy with financial variables. We use two types of hidden Markov chains models, a quantitative one (Krolzig (1997)) and a qualitative one (Gregoir and Lenglart (2000)). These models provide a robust and reliable framework to...

Persistent link: https://www.econbiz.de/10005056509