Julien Idier

Banque de France - Centre de Recherche

31 rue Croix des Petits Champs

75049 Paris Cedex 01

France

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

20

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57

CROSSREF CITATIONS

246

Scholarly Papers (20)

Long Term vs. Short Term Comovements in Stock Markets: The Use of Markov-Switching Multifractal Models

Number of pages: 39 Posted: 10 Jul 2008
Julien Idier
Banque de France - Centre de Recherche
Downloads 182 (203,101)
Citation 9

Abstract:

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Multivariate volatility models, Markov switching multifractal model, transmission, comovements

Long Term vs. Short Term Comovements in Stock Markets: The Use of Markov-Switching Multifractal Models

Banque de France Working Paper No. 218
Number of pages: 43 Posted: 11 Oct 2010
Julien Idier
Banque de France - Centre de Recherche
Downloads 73 (394,245)
Citation 9

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Multivariate Volatility Models, Markov Switching Multifractal Model, Transmission, Comovements.

2.

(Re)correlation: A Markov Switching Multifractal Model with Time Varying Correlations

Number of pages: 28 Posted: 30 Mar 2010
Julien Idier
Banque de France - Centre de Recherche
Downloads 210 (178,391)
Citation 1

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Markov Switching Multifractal Models, Dynamic Correlations, Comovements

How Useful is the Marginal Expected Shortfall for the Measurement of Systemic Exposure? A Practical Assessment

Banque de France Working Paper No. 348
Number of pages: 37 Posted: 07 Nov 2011
Banque de France - Centre de Recherche, French Ministry of Finance and Banque de France
Downloads 113 (298,068)
Citation 15

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MES, systemic risk, tail correlation, balance sheet ratios, panel

How Useful is the Marginal Expected Shortfall for the Measurement of Systemic Exposure? A Practical Assessment

ECB Working Paper No. 1546
Number of pages: 40 Posted: 19 Jun 2013
Banque de France - Centre de Recherche, French Ministry of Finance and Banque de France
Downloads 70 (403,607)

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MES, systemic risk, tail correlation, balance sheet ratios, panel

4.

Tails of Inflation Forecasts and Tales of Monetary Policy

UNC Kenan-Flagler Research Paper No. 2013-17
Number of pages: 51 Posted: 03 Nov 2012
Philippe Andrade, Eric Ghysels and Julien Idier
Federal Reserve Banks - Federal Reserve Bank of Boston, University of North Carolina Kenan-Flagler Business School and Banque de France - Centre de Recherche
Downloads 165 (220,917)
Citation 11

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Tail risk, Survey of Professional Forecasters

5.

Determinants of Long-Term Interest Rates in the United States and the Euro Area: A Multivariate Approach

Banque de France Working Paper No. 170
Number of pages: 41 Posted: 21 Oct 2010
Banque de France - Centre de Recherche, Banque de France and affiliation not provided to SSRN
Downloads 148 (241,899)
Citation 25

Abstract:

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long term interest rates, Conundrum, multivariate model

6.

Pandemic Crises in Financial Systems: A Simulation-Model to Complement Stress-Testing Frameworks

Banque de France Working Paper No. 621
Number of pages: 41 Posted: 14 Feb 2017
Julien Idier and Thibaut Piquard
Banque de France - Centre de Recherche and Banque de France
Downloads 147 (243,298)
Citation 2

Abstract:

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bank network, systemic risk, contagion, stress-testing

7.

Inflation Risk Measures and Their Informational Content

Number of pages: 54 Posted: 22 May 2014
Philippe Andrade, Eric Ghysels and Julien Idier
Federal Reserve Banks - Federal Reserve Bank of Boston, University of North Carolina Kenan-Flagler Business School and Banque de France - Centre de Recherche
Downloads 143 (250,182)
Citation 5

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inflation expectations, inflation risks, balance of risks, survey forecasts, monetary policy

8.

Risk Aversion and Uncertainty in European Sovereign Bond Markets

Banque de France Working Paper No. 349
Number of pages: 43 Posted: 07 Nov 2011
Julien Idier and Valère Fourel
Banque de France - Centre de Recherche and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 143 (248,750)

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MES, systemic risk, tail correlation, balance sheet ratios, panel

A High Frequency Assessment of the ECB Securities Markets Programme

ECB Working Paper No. 1642
Number of pages: 27 Posted: 15 Mar 2014
University of North Carolina Kenan-Flagler Business School, Banque de France - Centre de Recherche, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 124 (278,735)
Citation 1

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unconventional monetary policy; euro area crisis; SMP; component models; high frequency data

A High Frequency Assessment of the ECB Securities Markets Programme

CEPR Discussion Paper No. DP9778
Number of pages: 29 Posted: 10 Dec 2013
University of North Carolina Kenan-Flagler Business School, Banque de France - Centre de Recherche, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 2 (800,938)
Citation 15
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A High-Frequency Assessment of the ECB Securities Markets Programme

Journal of the European Economic Association, January 2017, 15(1), 218-243
Posted: 25 May 2018
European Central Bank (ECB), University of North Carolina Kenan-Flagler Business School, Banque de France - Centre de Recherche and European Central Bank (ECB)

Abstract:

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10.

How Useful is The Marginal Expected Shortfall for the Measurement of Systemic Exposure: A Practical Assessment

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 33 Posted: 14 Oct 2011 Last Revised: 03 Nov 2011
Banque de France - Centre de Recherche, French Ministry of Finance and Banque de France
Downloads 108 (305,973)
Citation 9

Abstract:

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MES, systemic risk, tail correlation, balance sheet ratios, panel

11.

Central Bank Liquidity and Market Liquidity: The Role of Collateral Provision on the French Government Debt Securities Market

Banque de France Working Paper No. 278
Number of pages: 53 Posted: 03 Jun 2010
Sanvi Avouyi-Dovi and Julien Idier
Banque de France and Banque de France - Centre de Recherche
Downloads 80 (370,042)
Citation 12

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Monetary policy, collateral, liquidity, volatility, French bond market

12.

Tails of Inflation Forecasts and Tales of Monetary Policy

Number of pages: 54 Posted: 08 Dec 2012
Philippe Andrade, Eric Ghysels and Julien Idier
University of Cergy-Pontoise - THEMA, University of North Carolina Kenan-Flagler Business School and Banque de France - Centre de Recherche
Downloads 72 (395,757)
Citation 18

Abstract:

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inflation expectations, risk, uncertainty, survey data, inflation dynamics, monetary policy

13.

An Early Warning System for Macro-Prudential Policy in France

Banque de France Working Paper No. 609
Number of pages: 51 Posted: 02 Dec 2016
Virginie Coudert and Julien Idier
Banque de France and Banque de France - Centre de Recherche
Downloads 68 (405,044)
Citation 1

Abstract:

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Macroprudential policy, Banking Crises, Early Warning Indicators

Liquidity Problems in the FX Liquid Market: Ask for the 'BIL'

Banque de France Working Paper No. 279
Number of pages: 44 Posted: 03 Jun 2010
Vladimir Borgy, Julien Idier and Gaëlle Le Fol
Banque de France, Banque de France - Centre de Recherche and Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France
Downloads 63 (427,212)
Citation 6

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FX market, Liquidity, financial crisis

Liquidity Problems in the FX Liquid Market: Ask for the 'Bil'

Posted: 04 Apr 2010
Vladimir Borgy, Julien Idier and Gaëlle Le Fol
Banque de France, Banque de France - Centre de Recherche and Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France

Abstract:

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FX market, Liquidity, Financial crisis

15.

Stock Exchanges Industry Consolidation and Shock Transmission

Banque de France Working Paper No. NER-R 159
Number of pages: 52 Posted: 26 Oct 2010
Julien Idier
Banque de France - Centre de Recherche
Downloads 58 (438,902)
Citation 38

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Equity Market Integration, Cointegration, Multivariate GARCH Models

16.

An Analytical Framework to Calibrate Macroprudential Policy.

Banque de France Working Paper No. 648
Number of pages: 86 Posted: 01 Nov 2017
Banque de France, Banque de France, Banque de France, Banque de France, Banque de France - Centre de Recherche, Federal Reserve Banks - Federal Reserve Bank of Cleveland, Banque de France and Banque de France
Downloads 53 (457,375)
Citation 3

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Macroprudential policy; Countercyclical capital buffer; Systemic risk buffer

17.

Probability of Informed Trading on the Euro Overnight Market Rate: An Update

ECB Working Paper No. 987
Number of pages: 41 Posted: 23 Dec 2008
Julien Idier and Stefano Nardelli
Banque de France - Centre de Recherche and European Central Bank (ECB)
Downloads 52 (461,121)

Abstract:

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Microstructure, PIN model, Money Markets

18.

The Impact of Unconventional Monetary Policy on the Market for Collateral: The Case of the French Bond Market

Banque de France Working Paper No. 339
Number of pages: 43 Posted: 19 Aug 2011
Sanvi Avouyi-Dovi and Julien Idier
Banque de France and Banque de France - Centre de Recherche
Downloads 45 (489,898)
Citation 14

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Monetary Policy, Collateral, Liquidity, Volatility, French Bond Market

19.

The Financial Content of Inflation Risks in the Euro Area

Banque de France Working Paper No. 437
Number of pages: 35 Posted: 29 Jul 2013
Banque de France, Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of North Carolina Kenan-Flagler Business School and Banque de France - Centre de Recherche
Downloads 41 (512,543)
Citation 13

Abstract:

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inflation forecasts, inflation risk, survey data, financial data, MIDAS regression

20.

Probability of Informed Trading: An Empirical Application to the Euro Overnight Market Rate

Banque de France Working Paper No. 176
Number of pages: 47 Posted: 10 Oct 2010
Julien Idier and Stefano Nardelli
Banque de France - Centre de Recherche and European Central Bank (ECB)
Downloads 39 (517,235)
Citation 33

Abstract:

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Euro overnight market, PIN models, Microstructure, Monetary policy