Details about Julien Idier

Access statistics for papers by Julien Idier.

Last updated 2024-09-06. Update your information in the RePEc Author Service.

Short-id: pid4

Working Papers

2022

1. Macroprudential policy: New challenges
   Post-Print, HAL
   See also Journal Article Macroprudential policy: New challenges, International Economics, CEPII research center (2022) (2022)

2017

2. An analytical framework to calibrate macroprudential policy
   Working papers, Banque de France View citations (9)
3. Pandemic crises in financial systems: a simulation-model to complement stress-testing frameworks
   Working papers, Banque de France View citations (2)

2016

4. An Early Warning System for Macro-prudential Policy in France
   Working papers, Banque de France View citations (4)

2014

5. A high frequency assessment of the ECB securities markets programme
   Working Paper Series, European Central Bank View citations (64)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (9)
   See also Journal Article A High-Frequency assessment of the ECB Securities Markets Programme, Journal of the European Economic Association, European Economic Association (2017) View citations (56) (2017)

2013

6. How useful is the marginal expected shortfall for the measurement of systemic exposure? A practical assessment
   Working Paper Series, European Central Bank View citations (2)
   Also in Working papers, Banque de France (2011) View citations (11)
   See also Journal Article How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment, Journal of Banking & Finance, Elsevier (2014) View citations (35) (2014)
7. The financial content of inflation risks in the euro area
   Working papers, Banque de France
   See also Journal Article The financial content of inflation risks in the euro area, International Journal of Forecasting, Elsevier (2014) View citations (7) (2014)

2012

8. Tails of Inflation Forecasts and Tales of Monetary Policy
   Working papers, Banque de France View citations (29)
9. The impact of unconventional monetary policy on the market for collateral: The case of the French bond market
   Post-Print, HAL View citations (2)
   Also in Working papers, Banque de France (2011) View citations (2)
   See also Journal Article The impact of unconventional monetary policy on the market for collateral: The case of the French bond market, Journal of Banking & Finance, Elsevier (2012) View citations (2) (2012)

2011

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

2010

11. Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market
    Working papers, Banque de France View citations (5)
12. Liquidity Problems in the FX Liquid Market
    Working Papers, HAL View citations (2)
13. Liquidity Problems in the FX Liquid Market: Ask for the BIL" "
    Working Papers, Center for Research in Economics and Statistics View citations (2)
    Also in Working papers, Banque de France (2010) View citations (2)

2009

14. How Liquid are Markets?
    Post-Print, HAL View citations (2)

2008

15. Long term vs. short term comovements in stock markets: the use of Markov-switching multifractal models
    Working papers, Banque de France View citations (6)
    See also Journal Article Long-term vs. short-term comovements in stock markets: the use of Markov-switching multifractal models, The European Journal of Finance, Taylor & Francis Journals (2011) View citations (6) (2011)
16. Probability of informed trading on the euro overnight market rate: an update
    Working Paper Series, European Central Bank View citations (7)
17. Taking into account extreme events in European option pricing
    Post-Print, HAL
    See also Journal Article Taking into account extreme events in European option pricing, Financial Stability Review, Banque de France (2008) View citations (1) (2008)

2007

18. Determinants of long-term interest rates in the United States and the euro area: A multivariate approach
    Working papers, Banque de France View citations (6)
19. Probability of informed trading: an empirical application to the euro overnight market rate
    Working papers, Banque de France

2006

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

Journal Articles

2022

1. Macroprudential policy: New challenges
   International Economics, 2022, (172), 53-55
   See also Working Paper Macroprudential policy: New challenges, Post-Print (2022) (2022)

2019

2. Activation of countercyclical capital buffers in Europe: initial experiences
   (Activation des coussins contracycliques en Europe: premiers retours d’expérience)
   Bulletin de la Banque de France, 2019, (222) View citations (1)

2018

3. 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
4. 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
5. Reducing model risk in early warning systems for banking crises in the euro area
   International Economics, 2018, 156, (C), 98-116 View citations (2)
   Also in International Economics, 2018, (156), 98-116 (2018) View citations (4)

2017

6. A High-Frequency assessment of the ECB Securities Markets Programme
   Journal of the European Economic Association, 2017, 15, (1), 218-243 View citations (56)
   See also Working Paper A high frequency assessment of the ECB securities markets programme, Working Paper Series (2014) View citations (64) (2014)
7. 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 View citations (1)
8. Mesurer l’excès de crédit avec le « gap bâlois »: pertinence et limites pour la fixation du coussin de fonds propres bancaires contracyclique
   Bulletin de la Banque de France, 2017, (211), 61-74 View citations (1)

2014

9. 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 View citations (35)
   See also Working Paper How useful is the marginal expected shortfall for the measurement of systemic exposure? A practical assessment, Working Paper Series (2013) View citations (2) (2013)
10. The financial content of inflation risks in the euro area
    International Journal of Forecasting, 2014, 30, (3), 648-659 View citations (7)
    See also Working Paper The financial content of inflation risks in the euro area, Working papers (2013) (2013)

2012

11. 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 View citations (2)
    See also Working Paper The impact of unconventional monetary policy on the market for collateral: The case of the French bond market, Post-Print (2012) View citations (2) (2012)

2011

12. 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 View citations (1)
    Also in Revue d'Économie Financière, 2011, 101, (1), 53-71 (2011)
13. Les modèles fractals en finance
    Bulletin de la Banque de France, 2011, (183), 80-86
14. 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 View citations (6)
    See also Working Paper Long term vs. short term comovements in stock markets: the use of Markov-switching multifractal models, Working papers (2008) View citations (6) (2008)
15. Probability of informed trading on the euro overnight market rate
    International Journal of Finance & Economics, 2011, 16, (2), 131-145 View citations (12)

2008

16. 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
    Also in Économie et Prévision, 2008, 185, (4), 13-32 (2008) View citations (1)
17. Taking into account extreme events in European option pricing
    Financial Stability Review, 2008, (12), 39-51 View citations (1)
    See also Working Paper Taking into account extreme events in European option pricing, Post-Print (2008) (2008)