|
|
 |
Julien Idier
 Banque de France, 41-1391 DGEI-DEMFI-RECFIN, 75049 Paris Cedex 01, France
 julien.idier@banque-france.fr
 +33 (0)1 42 92 37 19
 +33 (0)1 42 92 62 92
Diploma: PhD in Economics 2009, Paris 1 Panthéon Sorbonne University. Magistère in Economics and Master in Finance & Banking, Paris 1 Sorbonne University, Licence in Economics/Econometrics, Warwick University (university exchange). DEUG in Economics and Management, François Rabelais University, Tours, France
Current Position: Financial economist
Previous Positions: 2007, European Central Bank, National central bank expert.
2005, Natexis Banques Populaires. Direction des Etudes Economiques.
2004, United Nations Economic Commission for Europe, Statistician.
|
 |
Research Interests:
Finance, Econometrics, Microstructure, Comovements, Liquididity, Monetary policy
WORKING PAPERS:
"Liquidity problems in the FX liquid market: “Ask for the BIL”” ,(2010), with Vladimir Borgy and Gaëlle Le Fol, Banque de France, Working paper N°279 .
"Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market”, (2010), with Sanvi Avouyi-Dovi, Banque de France, Working paper N°278
"(Re)Correlation: a Markov switching multifractal model with time varying correlations”, mimeo 2010.
"Long term vs.short term comovements in stock markets: the use of Mrkov switching multifractal models” (2008), Banque de France, Working paper N° 218
"Probability of informed trading: an application to the euro overnight money market” (2007), with S. Nardelli (European Central Bank), Banque de France, Working paper N° 176
"Determinants of long term interest rates in the United States and the euro area: a multivariate approach”, (2007) with C. Jardet C. and A. de Loubens, Working Paper n° 170, Banque de france, edited in Économie et Prévision n°185 2008-4
"Stock exchanges industry consolidation and shock transmission”, (2006), Banque de France, Working Paper 159.
ARTICLES:
"Probability of informed trading on the euro overnight market rate” (2010), forthcoming in International Journal of Finance and Economics
"Long term vs. short term comovements in stock markets: the use of Markov switching multifractal models” (2010), forthcoming in The European Journal of Finance
"Realized volatility and high frequency data: what contributions to financial market analysis”, (2010) with Sanvi Avouyi-Dovi, Bankers Market and Investors N° 105 mars-avril
"How liquid are markets: an application to stock market”, (2009) with Caroline Jardet and Gaëlle Le Fol, Bankers Markets and Investors n°103, novembre – decembre
|
|
|
