We consider the channel consisting in transferring the credit risk associated with refinancing operations between financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French government debt securities market, since these assets are used...

We examine the effects of collateral provision as a potential channel between funding liquidity tensions and the scarcity of market liquidity. This channel consists in transferring the credit risk associated with refinancing operations between financial institutions to market participants that...

In order to analyse the interest rate transmission mechanism, we study daily Euro-rates term structure for the US, Germany, and the UK between 1983 and 1997. We estimate multivariate VECM-GARCH models, which takes into account most of the usual feaures of financial data (non-stationarity,...

En nous inspirant des travaux portant sur les marches boursiers des pays industrialisés, nous analysons la volatilite des rendements boursiers d'Asie du Sud-Est à partir de la méthodologie ARCH. Notre objectif consiste à mettre en évidence les spécificités des marchés boursiers du...

In order to analyse the interest rate transmission mechanism, we study daily Euro-rates term structure for the US, Germany, and the UK between 1983 and 1997. We estimate multivariate VECM-GARCH models, which take into account moste of the usual features of financial data (non-stationarity,...

En nous inspirant des travaux portant sur les marches boursiers des pays industrialises, nous analysons la volatilite des rendements boursiers d'Asie du Sud-Est a partir de la methodologie ARCH. Notre objectif consiste a mettre en evidence les specificites des marches boursiers du Sud-Est...