Vincent Brousseau

European Central Bank, Directorate General Economics

Principal Economist

Kaiserstrasse 29

Frankfurt am Main, 60311

Germany

SCHOLARLY PAPERS

11

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Top 23,866

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2,173

SSRN CITATIONS
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Top 40,008

in Total Papers Citations

2

CROSSREF CITATIONS

14

Scholarly Papers (11)

1.

A Global Hazard Index for the World Foreign Exchange Markets

ECB Working Paper No. 1
Number of pages: 32 Posted: 02 Aug 2000
Vincent Brousseau and Fabio Scacciavillani
European Central Bank, Directorate General Economics and Goldman Sachs - Economics Research Department
Downloads 496 (61,225)
Citation 1

Abstract:

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currency markets, exchange rates, wild risk, currency options, implied volatility, foreign exchange crises

2.

The Functional Form of Yield Curves

European Central Bank Working Paper No. 148
Number of pages: 53 Posted: 02 Aug 2002
Vincent Brousseau
European Central Bank, Directorate General Economics
Downloads 355 (91,175)

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Yield curves, affine models, bootstrapping, functional form

3.

Can Short-Term Foreign Exchange Volatility Be Predicted by the Global Hazard Index?

ECB Working Paper No. 66
Number of pages: 50 Posted: 29 Dec 2000
Vincent Brousseau and Fabio Scacciavillani
European Central Bank, Directorate General Economics and Goldman Sachs - Economics Research Department
Downloads 288 (114,779)

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Exchange rates, currency options, market turbulence, implied volatility, risk, forecasting

4.

What Does Yield Curve Smoothness Mean?

Number of pages: 45 Posted: 14 Nov 2004
Vincent Brousseau and Benjamin Sahel
European Central Bank, Directorate General Economics and European Central Bank
Downloads 224 (148,200)
Citation 3

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Term structure of interest rates, yield curve, market liquidity, market microstructure, and public debt management

5.

The Implied Subsidy of Exchange Rate Mechanisms

Number of pages: 22 Posted: 12 Jun 2000
Vincent Brousseau and Fabio Scacciavillani
European Central Bank, Directorate General Economics and Goldman Sachs - Economics Research Department
Downloads 196 (167,974)

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6.

Monetary Policy and Fears of Financial Instability

ECB Working Paper No. 89
Number of pages: 46 Posted: 11 Dec 2001
Vincent Brousseau and Carsten Detken
European Central Bank, Directorate General Economics and European Central Bank (ECB)
Downloads 192 (171,111)

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financial stability, price stability, optimal monetary policy, sunspot equilibria, Bellman principle, time inconsistency

7.

Interbank Offered Rate: Effects of the Financial Crisis on the Information Content of the Fixing

IÉSEG School of Management Working Paper No. 2009-ECO-10
Number of pages: 37 Posted: 14 Jul 2010
Alexandre Chailloux, Vincent Brousseau and Alain Durré
International Monetary Fund (IMF), European Central Bank, Directorate General Economics and European Central Bank (ECB) - Directorate General Economics
Downloads 147 (215,401)
Citation 5

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LIBOR, EURIBOR, Secured Segment; Fixings, Market Distortions, Financial Crisis

8.

Fixing the Fixings: What Road to a More Representative Money Market Benchmark?

IMF Working Paper No. 13/131
Number of pages: 23 Posted: 18 Jun 2013
Vincent Brousseau, Alexandre Chailloux and Alain Durré
European Central Bank, Directorate General Economics, International Monetary Fund (IMF) and European Central Bank (ECB) - Directorate General Economics
Downloads 88 (311,106)

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International capital markets, Money, Interest rates, Libor, Euribor, fixings, Unsecured Money Market, and Benchmarking System., money market, derivative, hedging, interest rate derivatives, financial institutions, discounting, hedge, financial markets, bond, deposit interest, derivatives markets, financial contracts, financial system, money markets, deposit rate, money market funds, derivative contracts, derivative instrument, financial market, term derivatives markets, bond indices, international financial markets, cash flow, government bond, derivatives trading, derivatives transactions, financial futures, interest rate risk, options on futures, financial stability, derivatives market, bo

9.

A Look at Intraday Frictions in the Euro Area Overnight Deposit Market

ECB Working Paper No. 439
Number of pages: 41 Posted: 05 May 2005
Vincent Brousseau and Andres Manzanares
European Central Bank, Directorate General Economics and European Central Bank (ECB)
Downloads 74 (344,889)

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Financial market microstructure, Money Market, Market friction, Network optimization problems

Modeling Money Market Spreads: What Do We Learn About Refinancing Risk?

FEDS Working Paper No. 2014-112
Number of pages: 48 Posted: 04 Jan 2015 Last Revised: 25 Aug 2015
Vincent Brousseau, Kleopatra Nikolaou and Huw Pill
European Central Bank, Directorate General Economics, Federal Reserve Board of Governors and Goldman Sachs, Australia
Downloads 35 (491,082)

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financial crisis, liquidity risk, money market spread, money markets, refinancing risk

Modeling Money Market Spreads: What Do We Learn About Refinancing Risk?

Number of pages: 47 Posted: 06 Nov 2014
Vincent Brousseau, Kleopatra Nikolaou and Huw Pill
European Central Bank, Directorate General Economics, Federal Reserve Board of Governors and Goldman Sachs, Australia
Downloads 31 (511,912)

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money markets, money market spread, refinancing risk, liquidity risk, financial crisis

11.

Interest Rate Volatility: A Consol Rate-Based Measure

ECB Working Paper No. 1505
Number of pages: 40 Posted: 12 Feb 2013
Vincent Brousseau and Alain Durré
European Central Bank, Directorate General Economics and European Central Bank (ECB) - Directorate General Economics
Downloads 47 (429,914)

Abstract:

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consol rate, historical volatility, overnight money market, interbank offered interest rates