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

22

DOWNLOADS
Rank 28,264

SSRN RANKINGS

Top 28,264

in Total Papers Downloads

3,564

SSRN CITATIONS
Rank 5,213

SSRN RANKINGS

Top 5,213

in Total Papers Citations

108

CROSSREF CITATIONS

252

Scholarly Papers (22)

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 205 (287,594)
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 107 (494,405)
Citation 9

Abstract:

Loading...

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

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, Leibniz Institute for Financial Research SAFE, Banco de España, 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 170 (341,059)

Abstract:

Loading...

financial frictions, Monetary policy, systemic risk

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

ECB Occasional Paper No. 2023/272
Number of pages: 142 Posted: 16 May 2023
ECB -DG Monetary Policy, Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI), 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), Research Centre, European Central Bank (ECB), Bank of Portugal, European Central Bank (ECB), European Central Bank (ECB), Banque de France, European Central Bank (ECB), European Central Bank, Bank of Slovenia, Banque de FranceMassachusetts Institute of Technology (MIT) - Sloan School of Management, Deutsche Bundesbank - Economic Research Centre, Leibniz Institute for Financial Research SAFE, Banco de España, Banque de France - Centre de Recherche, Bank of Italy, Banco de España, Deutsche Bundesbank - Economic Research Centre, Suomen Pankki – Finlands Bank, Central Bank of Malta, Bank of Greece, Bank of Greece, European Central Bank (ECB), Banca d’Italia, Bank of Portugal, Oesterreichische Nationalbank (OeNB), European Central Bank (ECB), European Central Bank (ECB), Banco de España, European Central Bank (ECB), Central Bank of Ireland, European Central Bank (ECB), Deutsche Bundesbank - Economic Research Centre, Suomen Pankki – Finlands Bank, European Central Bank (ECB), European Central Bank (ECB)CEPR, Deutsche Bundesbank - Economic Research Centre, Banka Slovenije, Banque Nationale de Belgique, Central Bank of Cyprus, European Central Bank (ECB), Latvijas Banka, De Nederlandsche Bank, Oesterreichische Nationalbank (OeNB), Deutsche Bundesbank - Economic Research Centre, Banca d’Italia, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), Oesterreichische Nationalbank (OeNB), Deutsche Bundesbank - Economic Research Centre, Deutsche Bundesbank - Economic Research Centre and Národná banka Slovenska
Downloads 137 (408,402)

Abstract:

Loading...

financial frictions, Monetary policy, systemic risk

3.

(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 252 (236,897)
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 139 (403,788)
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 90 (557,182)

Abstract:

Loading...

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

5.

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 Bank of Boston, University of North Carolina Kenan-Flagler Business School and Banque de France - Centre de Recherche
Downloads 213 (278,369)
Citation 11

Abstract:

Loading...

Tail risk, Survey of Professional Forecasters

6.

Inflation Risk Measures and Their Informational Content

Number of pages: 54 Posted: 22 May 2014
Philippe Andrade, Eric Ghysels and Julien Idier
Federal Reserve Bank of Boston, University of North Carolina Kenan-Flagler Business School and Banque de France - Centre de Recherche
Downloads 212 (279,685)
Citation 5

Abstract:

Loading...

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

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 191 (307,726)
Citation 25

Abstract:

Loading...

long term interest rates, Conundrum, multivariate model

8.

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 182 (321,327)
Citation 4

Abstract:

Loading...

bank network, systemic risk, contagion, stress-testing

9.

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 179 (326,307)

Abstract:

Loading...

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

10.

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 167 (346,664)
Citation 18

Abstract:

Loading...

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

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 160 (359,513)
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 (1,248,736)
Citation 14
  • 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...

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 Bank of Cleveland, Banque de France and European Central Bank (ECB)
Downloads 147 (385,537)
Citation 8

Abstract:

Loading...

Macroprudential policy; Countercyclical capital buffer; Systemic risk buffer

13.

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 142 (396,256)
Citation 8

Abstract:

Loading...

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

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 124 (440,130)
Citation 3

Abstract:

Loading...

Macroprudential policy, Banking Crises, Early Warning Indicators

15.

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 124 (442,864)

Abstract:

Loading...

Microstructure, PIN model, Money Markets

16.

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 114 (468,944)
Citation 12

Abstract:

Loading...

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

17.

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 104 (501,351)
Citation 33

Abstract:

Loading...

Euro overnight market, PIN models, Microstructure, Monetary policy

18.

Habitat Sweet Habitat: the Heterogeneous Effects of Eurosystem Asset Purchase Programs

Number of pages: 48 Posted: 26 May 2023
Banque de France, Banque de France, Banque de France - Centre de Recherche and Banque de France
Downloads 98 (522,288)
Citation 1

Abstract:

Loading...

quantitative easing, portfolio rebalancing, preferred habitat

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 - Department of Finance
Downloads 98 (526,880)
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 - Department of Finance

Abstract:

Loading...

FX market, Liquidity, Financial crisis

20.

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 76 (609,079)
Citation 38

Abstract:

Loading...

Equity Market Integration, Cointegration, Multivariate GARCH Models

21.

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 71 (631,803)
Citation 15

Abstract:

Loading...

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

22.

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 60 (687,221)
Citation 13

Abstract:

Loading...

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