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Details about Julien Idier

Workplace:Banque de France (Bank of France), (more information at EDIRC)

Access statistics for papers by Julien Idier.

Last updated 2019-05-09. Update your information in the RePEc Author Service.

Short-id: pid4


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Working Papers

2017

  1. An analytical framework to calibrate macroprudential policy
    Working papers, Banque de France Downloads View citations (1)
  2. Pandemic crises in financial systems: a simulation-model to complement stress-testing frameworks
    Working papers, Banque de France Downloads View citations (1)

2016

  1. An Early Warning System for Macro-prudential Policy in France
    Working papers, Banque de France Downloads View citations (2)

2014

  1. A high frequency assessment of the ECB securities markets programme
    Working Paper Series, European Central Bank Downloads View citations (56)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) Downloads View citations (4)

    See also Journal Article in Journal of the European Economic Association (2017)

2013

  1. How useful is the marginal expected shortfall for the measurement of systemic exposure? A practical assessment
    Working Paper Series, European Central Bank Downloads View citations (2)
    Also in Working papers, Banque de France (2011) Downloads View citations (11)

    See also Journal Article in Journal of Banking & Finance (2014)
  2. The financial content of inflation risks in the euro area
    Working papers, Banque de France Downloads
    See also Journal Article in International Journal of Forecasting (2014)

2012

  1. Tails of Inflation Forecasts and Tales of Monetary Policy
    Working papers, Banque de France Downloads View citations (21)
  2. The impact of unconventional monetary policy on the market for collateral: The case of the French bond market
    Post-Print, HAL Downloads
    Also in Working papers, Banque de France (2011) Downloads View citations (2)

    See also Journal Article in Journal of Banking & Finance (2012)

2011

  1. Risk aversion and Uncertainty in European Sovereign Bond Markets
    Working papers, Banque de France Downloads View citations (2)

2010

  1. Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market
    Working papers, Banque de France Downloads View citations (3)
  2. Liquidity Problems in the FX Liquid Market
    Working Papers, HAL Downloads View citations (1)
  3. Liquidity Problems in the FX Liquid Market: Ask for the BIL" "
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (1)
    Also in Working papers, Banque de France (2010) Downloads View citations (1)

2009

  1. How Liquid are Markets?
    Post-Print, HAL View citations (1)

2008

  1. Long term vs. short term comovements in stock markets: the use of Markov-switching multifractal models
    Working papers, Banque de France Downloads View citations (5)
    See also Journal Article in The European Journal of Finance (2011)
  2. Probability of informed trading on the euro overnight market rate: an update
    Working Paper Series, European Central Bank Downloads View citations (6)
  3. Taking into account extreme events in European option pricing
    Post-Print, HAL View citations (1)
    Also in Post-Print, HAL (2008)

    See also Journal Article in Financial Stability Review (2008)

2007

  1. Determinants of long-term interest rates in the United States and the euro area: A multivariate approach
    Working papers, Banque de France Downloads View citations (5)
  2. Probability of informed trading: an empirical application to the euro overnight market rate
    Working papers, Banque de France Downloads

2006

  1. Stock exchanges industry consolidation and shock transmission
    Working papers, Banque de France Downloads View citations (2)

Journal Articles

2019

  1. Activation des coussins contracycliques en Europe: premiers retours d’expérience
    Bulletin de la Banque de France, 2019, (222) Downloads

2018

  1. L’apport personnel obligatoire: un outil macroprudentiel de plus en plus utilisé pour prévenir le risque immobilier
    Bulletin de la Banque de France, 2018, (215), 15-26 Downloads
  2. Minimum down payment requirement: a macroprudential tool that is increasingly being used to mitigate real estate risk
    Quarterly selection of articles - Bulletin de la Banque de France, 2018, (49), 15-24 Downloads
  3. Reducing model risk in early warning systems for banking crises in the euro area
    International Economics, 2018, (156), 98-116 Downloads View citations (2)
    Also in International Economics, 2018, 156, (C), 98-116 (2018) Downloads View citations (2)

2017

  1. A High-Frequency assessment of the ECB Securities Markets Programme
    Journal of the European Economic Association, 2017, 15, (1), 218-243 Downloads View citations (16)
    See also Working Paper (2014)
  2. Measuring excess credit using the “Basel gap”: relevance for setting the countercyclical capital buffer and limitations
    Quarterly selection of articles - Bulletin de la Banque de France, 2017, (46), 5-18 Downloads

2014

  1. How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment
    Journal of Banking & Finance, 2014, 47, (C), 134-146 Downloads View citations (13)
    See also Working Paper (2013)
  2. The financial content of inflation risks in the euro area
    International Journal of Forecasting, 2014, 30, (3), 648-659 Downloads View citations (4)
    See also Working Paper (2013)

2012

  1. The impact of unconventional monetary policy on the market for collateral: The case of the French bond market
    Journal of Banking & Finance, 2012, 36, (2), 428-438 Downloads
    See also Working Paper (2012)

2011

  1. Des effets théoriques de l'introduction d'une contrepartie centrale pour l'organisation des marchés otc
    Revue d'économie financière, 2011, N° 101, (1), 53-72 Downloads View citations (1)
    Also in Revue d'Économie Financière, 2011, 101, (1), 53-71 (2011) Downloads
  2. Les modèles fractals en finance
    Bulletin de la Banque de France, 2011, (183), 80-86 Downloads
  3. Long-term vs. short-term comovements in stock markets: the use of Markov-switching multifractal models
    The European Journal of Finance, 2011, 17, (1), 27-48 Downloads View citations (4)
    See also Working Paper (2008)
  4. Probability of informed trading on the euro overnight market rate
    International Journal of Finance & Economics, 2011, 16, (2), 131-145 View citations (12)

2008

  1. Les déterminants des taux d'intérêt à long terme aux États-Unis et dans la zone euro: une approche multivariée
    Economie & Prévision, 2008, n° 185, (4), 13-32 Downloads
    Also in Économie et Prévision, 2008, 185, (4), 13-32 (2008) Downloads View citations (1)
  2. Taking into account extreme events in European option pricing
    Financial Stability Review, 2008, (12), 39-51 Downloads View citations (1)
    See also Working Paper (2008)
 
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