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

21

DOWNLOADS
Rank 28,926

SSRN RANKINGS

Top 28,926

in Total Papers Downloads

2,473

SSRN CITATIONS
Rank 4,413

SSRN RANKINGS

Top 4,413

in Total Papers Citations

60

CROSSREF CITATIONS

245

Scholarly Papers (21)

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 188 (223,842)
Citation 9

Abstract:

Loading...

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 80 (420,565)
Citation 9

Abstract:

Loading...

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 219 (194,966)
Citation 1

Abstract:

Loading...

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 114 (334,343)
Citation 15

Abstract:

Loading...

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 71 (450,112)

Abstract:

Loading...

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 172 (241,651)
Citation 11

Abstract:

Loading...

Tail risk, Survey of Professional Forecasters

5.

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 163 (252,792)
Citation 5

Abstract:

Loading...

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

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, Thibaut Piquard and Thibaut Piquard
Banque de France - Centre de Recherche and Banque de FranceParis School of Economics (PSE)
Downloads 156 (262,190)
Citation 4

Abstract:

Loading...

bank network, systemic risk, contagion, stress-testing

7.

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 156 (262,190)
Citation 25

Abstract:

Loading...

long term interest rates, Conundrum, multivariate model

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, Valère Fourel and Valère Fourel
Banque de France - Centre de Recherche and Banque de FranceMassachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 147 (275,020)

Abstract:

Loading...

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 136 (293,342)
Citation 1

Abstract:

Loading...

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 (917,298)
Citation 16
  • Add to Cart

Abstract:

Loading...

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:

Loading...

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 (345,092)
Citation 9

Abstract:

Loading...

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

11.

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 106 (349,462)
Citation 18

Abstract:

Loading...

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

12.

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 FranceParis School of Economics (PSE) and Banque de France
Downloads 88 (393,398)
Citation 4

Abstract:

Loading...

Macroprudential policy; Countercyclical capital buffer; Systemic risk buffer

13.

The Role of Financial Stability Considerations in Monetary Policy and the Interaction with Macroprudential Policy in the Euro Area

ECB Occasional Paper No. 2021272
Number of pages: 142 Posted: 23 Sep 2021 Last Revised: 18 Nov 2021
ECB -DG Monetary Policy, Banque de France, European Central Bank (ECB), De Nederlandsche Bank, European Central Bank (ECB), Deutsche Bundesbank - Economics Department, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), Banque de France, European Central Bank (ECB), European Central Bank, Bank of Slovenia, European Central Bank (ECB), University of Navarra - Department of Microbiology and Infectious Diseases, Banque de France - Centre de Recherche, Bank of Italy, Banco de España, Deutsche Bundesbank, Central Bank of Malta, Bank of Greece, Bank of Greece, European Central Bank (ECB), Banco de Portugal, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), Deutsche Bundesbank, Bank of Finland, European Central Bank (ECB)CEPR, Bank of Slovenia, National Bank of Belgium, Central Bank of Cyprus, Latvijas Banka, De Nederlandsche Bank, Oesterreichische Nationalbank (OeNB), Deutsche Bundesbank, Bank of Italy, De Nederlandsche Bank - Monetary and Economic Policy Department, European Central Bank (ECB), European Central Bank (ECB), Deutsche Bundesbank, University of Giessen - Department of Economics and Bank of Slovenia
Downloads 87 (396,101)

Abstract:

Loading...

financial frictions, Monetary policy, systemic risk

14.

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 82 (410,259)
Citation 1

Abstract:

Loading...

Macroprudential policy, Banking Crises, Early Warning Indicators

15.

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 82 (410,259)
Citation 12

Abstract:

Loading...

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

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 72 (446,628)
Citation 6

Abstract:

Loading...

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:

Loading...

FX market, Liquidity, Financial crisis

17.

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 60 (484,232)
Citation 38

Abstract:

Loading...

Equity Market Integration, Cointegration, Multivariate GARCH Models

18.

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 55 (504,013)

Abstract:

Loading...

Microstructure, PIN model, Money Markets

19.

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 (548,624)
Citation 14

Abstract:

Loading...

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

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 43 (558,440)
Citation 33

Abstract:

Loading...

Euro overnight market, PIN models, Microstructure, Monetary policy

21.

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, Banque de FranceMassachusetts 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 (568,580)
Citation 13

Abstract:

Loading...

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