Julien Idier : Citation Profile


Are you Julien Idier?

Banque de France

6

H index

3

i10 index

167

Citations

RESEARCH PRODUCTION:

18

Articles

24

Papers

RESEARCH ACTIVITY:

   12 years (2006 - 2018). See details.
   Cites by year: 13
   Journals where Julien Idier has often published
   Relations with other researchers
   Recent citing documents: 35.    Total self citations: 11 (6.18 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pid4
   Updated: 2020-04-04    RAS profile: 2019-05-09    
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Relations with other researchers


Works with:

Couaillier, Cyril (5)

Coudert, Virginie (3)

Manganelli, Simone (2)

Mésonnier, Jean-Stéphane (2)

Jimborean, Ramona (2)

Vergote, Olivier (2)

LAME, GILDAS (2)

Andrade, Philippe (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Julien Idier.

Is cited by:

Zagaglia, Paolo (10)

Afonso, Antonio (6)

Fratzscher, Marcel (5)

Rossi, Barbara (5)

Marzo, Massimiliano (5)

Gadea, María (4)

Gibson, Heather (4)

Hubert, Paul (4)

Kontonikas, Alexandros (4)

Arghyrou, Michael (4)

Tavlas, George (4)

Cites to:

Engle, Robert (12)

Frankel, Jeffrey (11)

Pedersen, Lasse (8)

Monfort, Alain (7)

Portes, Richard (7)

Rose, Andrew (6)

Calvet, Laurent (6)

Drehmann, Mathias (6)

Dunne, Peter (6)

Moore, Michael (6)

Acharya, Viral (5)

Main data


Where Julien Idier has published?


Journals with more than one article published# docs
Bulletin de la Banque de France3
Quarterly selection of articles - Bulletin de la Banque de France2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Post-Print / HAL4
Working Paper Series / European Central Bank3

Recent works citing Julien Idier (2019 and 2018)


YearTitle of citing document
2018Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market-Based Stress Tests. (2018). van Oordt, Maarten. In: Staff Working Papers. RePEc:bca:bocawp:18-54.

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2020Asymmetry in the conditional distribution of euro-area inflation. (2020). Tagliabracci, Alex. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1270_20.

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2019Risk endogeneity at the lender/investor-of-last-resort. (2019). Lucas, Andre ; Zhang, Xin ; Schwaab, Bernd ; Caballero, Diego. In: BIS Working Papers. RePEc:bis:biswps:766.

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2018Testing the systemic risk differences in banks. (2018). Jokivuolle, Esa ; Vioto, Davide ; Tunaru, Radu. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_013.

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2018The Effect of ECB Policy Announcements on Sovereign Yields: A Return to Normal Transmission?. (2018). Goodhead, Robert. In: Economic Letters. RePEc:cbi:ecolet:4/el/18.

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2017Investment Fund Risk: The Tale in the Tails. (2017). Dunne, Peter ; Shaw, Frances . In: Research Technical Papers. RePEc:cbi:wpaper:01/rt/17.

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2019Liquidity and tail-risk interdependencies in the euro area sovereign bond market. (2019). Clancy, Daragh ; Filiani, Pasquale ; Dunne, Peter G. In: Research Technical Papers. RePEc:cbi:wpaper:11/rt/19.

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2019Identifying and Estimating the Effects of Unconventional Monetary Policy: How to Do It And What Have We Learned?. (2019). Rossi, Barbara. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14064.

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2018The first twenty years of the European Central Bank: monetary policy. (2018). Hartmann, Philipp ; Smets, Frank. In: Working Paper Series. RePEc:ecb:ecbwps:20182219.

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2019Risk endogeneity at the lender/investor-of-last-resort. (2019). Lucas, Andre ; Zhang, Xin ; Schwaab, Bernd ; Caballero, Diego. In: Working Paper Series. RePEc:ecb:ecbwps:20192225.

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2018Usefulness of economic and energy data at different frequencies for carbon price forecasting in the EU ETS. (2018). Zhao, Xin ; Kang, Wanglin ; Ding, Lili ; Han, Meng. In: Applied Energy. RePEc:eee:appene:v:216:y:2018:i:c:p:132-141.

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2017Generalized Method of Moment estimation of multivariate multifractal models. (2017). Liu, Ruipeng ; Lux, Thomas. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:136-148.

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2017Sovereign debt and systemic risk in the eurozone. (2017). Popescu, Alexandra ; Turcu, Camelia. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:275-284.

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2020The value of understanding central bank communication. (2020). Girard, Alexandre ; Beaupain, Renaud. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:154-165.

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2019Forecasting carbon prices in the Shenzhen market, China: The role of mixed-frequency factors. (2019). Kang, Wanglin ; Zhao, Xin ; Ding, Lili ; Han, Meng. In: Energy. RePEc:eee:energy:v:171:y:2019:i:c:p:69-76.

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2019Modeling intraday volatility of European bond markets: A data filtering application. (2019). Dufour, Alfonso ; Zhang, Hanyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:131-146.

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2017An analysis of the literature on systemic financial risk: A survey. (2017). Silva, Walmir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert. In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:91-114.

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2017Is there a competition-stability trade-off in European banking?. (2017). Lucotte, Yannick ; Leroy, Aurélien. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:46:y:2017:i:c:p:199-215.

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2018“Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects. (2018). Kontonikas, Alexandros ; Arghyrou, Michael ; Afonso, Antonio ; Gadea, Maria Dolores. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:1-30.

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2019Comovement and disintegration of EU sovereign bond markets during the crisis. (2019). Vacha, Lukas ; Baxa, Jaromir ; Molik, Filip. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:541-556.

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2018Euro Area Sovereign Yields and the Power of Unconventional Monetary Policy. (2018). Kazemi, Mina ; Afonso, Antonio. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:68:y:2018:i:2:p:100-119.

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2018A Microfounded Model of Money Demand Under Uncertainty, and some Empirical Evidence. (2018). Tarassow, Artur ; Grol, Ingrid . In: Macroeconomics and Finance Series. RePEc:hep:macppr:201504.

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2019Risk endogeneity at the lender/investor-of-last-resort. (2019). Schwaab, Bernd ; Lucas, Andr E ; Caballero, Diego ; Zhang, Xin. In: Working Paper Series. RePEc:hhs:rbnkwp:0382.

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2018Systemic risk in Europe: deciphering leading measures, common patterns and real effects. (2018). Stolbov, Mikhail ; Shchepeleva, Maria. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:1:d:10.1007_s10436-017-0310-3.

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2017Assessing systemic risk and its determinants for advanced and major emerging economies: the case of ΔCoVaR. (2017). Stolbov, Mikhail. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:14:y:2017:i:1:d:10.1007_s10368-015-0330-2.

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2019The single supervision mechanism and contagion between bank and sovereign risk. (2019). Olmo, Begoa Torre ; Torreolmo, Begoa ; Azofra, Sergio Sanfilippo ; Sanfilippoazofra, Sergio ; Saiz, Maria Cantero. In: Journal of Regulatory Economics. RePEc:kap:regeco:v:55:y:2019:i:1:d:10.1007_s11149-018-09373-6.

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2018Effects of asset purchases and financial stability measures on term premia in the euro area. (2018). Moessner, Richhild. In: National Institute of Economic and Social Research (NIESR) Discussion Papers. RePEc:nsr:niesrd:489.

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2018The Financial Crisis and Policy Responses in Europe (2007–2018). (2018). Mongelli, Francesco Paolo ; Camba-Mendez, Gonzalo. In: Comparative Economic Studies. RePEc:pal:compes:v:60:y:2018:i:4:d:10.1057_s41294-018-0074-4.

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2018ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds. (2018). Trebesch, Christoph ; Zettelmeyer, Jeromin. In: IMF Economic Review. RePEc:pal:imfecr:v:66:y:2018:i:2:d:10.1057_s41308-018-0051-y.

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2019The causal relationship between short- and long-term interest rates: an empirical assessment of the United States. (2019). Deleidi, Matteo ; Levrero, Enrico Sergio. In: MPRA Paper. RePEc:pra:mprapa:93608.

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2019Effectiveness of policy and regulation in European sovereign credit risk markets: a network analysis. (2019). Schienle, Melanie ; Urban, Jorg ; Buse, Rebekka. In: ESRB Working Paper Series. RePEc:srk:srkwps:201990.

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2020Nowcasting Turkish GDP with MIDAS: Role of Functional Form of the Lag Polynomial. (2020). Gunay, Mahmut. In: Working Papers. RePEc:tcb:wpaper:2002.

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2018Central bank-driven mispricing. (2018). Pelizzon, Loriana ; Uno, Jun ; Tomio, Davide ; Subrahmanyam, Marti G. In: SAFE Working Paper Series. RePEc:zbw:safewp:226.

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Works by Julien Idier:


YearTitleTypeCited
2006Stock exchanges industry consolidation and shock transmission. In: Working papers.
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paper1
2007Determinants of long-term interest rates in the United States and the euro area: A multivariate approach. In: Working papers.
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paper6
2007Probability of informed trading: an empirical application to the euro overnight market rate. In: Working papers.
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paper0
2008Long term vs. short term comovements in stock markets: the use of Markov-switching multifractal models. In: Working papers.
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paper9
2011Long-term vs. short-term comovements in stock markets: the use of Markov-switching multifractal models.(2011) In: The European Journal of Finance.
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This paper has another version. Agregated cites: 9
article
2010Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market. In: Working papers.
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paper3
2010Liquidity problems in the FX liquid market: Ask for the BIL. In: Working papers.
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paper1
2010Liquidity Problems in the FX Liquid Market : Ask for the BIL .(2010) In: Working Papers.
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This paper has another version. Agregated cites: 1
paper
2011The impact of unconventional monetary policy on the market for collateral: The case of the French bond market In: Working papers.
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paper2
2012The impact of unconventional monetary policy on the market for collateral: The case of the French bond market.(2012) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 2
article
2011How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment In: Working papers.
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paper24
2013How useful is the marginal expected shortfall for the measurement of systemic exposure? A practical assessment.(2013) In: Working Paper Series.
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This paper has another version. Agregated cites: 24
paper
2014How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment.(2014) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 24
article
2011Risk aversion and Uncertainty in European Sovereign Bond Markets In: Working papers.
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paper0
2012Tails of Inflation Forecasts and Tales of Monetary Policy In: Working papers.
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paper19
2013The financial content of inflation risks in the euro area. In: Working papers.
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paper4
2014The financial content of inflation risks in the euro area.(2014) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 4
article
2016An Early Warning System for Macro-prudential Policy in France. In: Working papers.
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paper1
2017Pandemic crises in financial systems: a simulation-model to complement stress-testing frameworks. In: Working papers.
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paper0
2017An analytical framework to calibrate macroprudential policy In: Working papers.
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paper1
2011Les modèles fractals en finance. In: Bulletin de la Banque de France.
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article0
2018L’apport personnel obligatoire : un outil macroprudentiel de plus en plus utilisé pour prévenir le risque immobilier In: Bulletin de la Banque de France.
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article0
2019Activation des coussins contracycliques en Europe : premiers retours d’expérience In: Bulletin de la Banque de France.
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article0
2008Taking into account extreme events in European option pricing. In: Financial Stability Review.
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article0
2017Measuring excess credit using the “Basel gap”: relevance for setting the countercyclical capital buffer and limitations In: Quarterly selection of articles - Bulletin de la Banque de France.
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article0
2018Minimum down payment requirement: a macroprudential tool that is increasingly being used to mitigate real estate risk In: Quarterly selection of articles - Bulletin de la Banque de France.
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article0
2008Les déterminants des taux dintérêt à long terme aux Ãtats-Unis et dans la zone euro : une approche multivariée In: Economie & Prévision.
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article1
2008Les déterminants des taux d’intérêt à long terme aux États-Unis et dans la zone euro : une approche multivariée.(2008) In: Économie et Prévision.
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This paper has another version. Agregated cites: 1
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2011Des effets théoriques de lintroduction dune contrepartie centrale pour lorganisation des marchés otc In: Revue d'économie financière.
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article1
2011Des effets théoriques de l’introduction d’une contrepartie centrale pour l’organisation des marchés OTC.(2011) In: Revue d'Économie Financière.
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This paper has another version. Agregated cites: 1
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2018Reducing model risk in early warning systems for banking crises in the euro area In: International Economics.
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article1
2018Reducing model risk in early warning systems for banking crises in the euro area.(2018) In: International Economics.
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This paper has another version. Agregated cites: 1
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2013A high frequency assessment of the ECB Securities Markets Programme In: CEPR Discussion Papers.
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paper78
2014A high frequency assessment of the ECB securities markets programme.(2014) In: Working Paper Series.
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This paper has another version. Agregated cites: 78
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2017A High-Frequency assessment of the ECB Securities Markets Programme.(2017) In: Journal of the European Economic Association.
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This paper has another version. Agregated cites: 78
article
2008Probability of informed trading on the euro overnight market rate: an update In: Working Paper Series.
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paper5
2012The impact of unconventional monetary policy on the market for collateral: The case of the French bond market In: Post-Print.
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paper0
2009How Liquid are Markets? In: Post-Print.
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paper1
2008Taking into account extreme events in European option pricing In: Post-Print.
[Citation analysis]
paper0
2008Taking into account extreme events in European option pricing In: Post-Print.
[Citation analysis]
paper0
2010Liquidity Problems in the FX Liquid Market In: Working Papers.
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paper1
2011Probability of informed trading on the euro overnight market rate In: International Journal of Finance & Economics.
[Citation analysis]
article8

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