Euro Area Market Reactions to the Monetary Developments Press Release.

Using intra-day data, we assess the impact of the press release on euro area monetary data on the different segments of the euro area yield curve. For this purpose, we estimate a relation between the "news" or "surprise" in the released data for annual M3 growth and the move in the interest rates for a time-window surrounding the press release. We find that the publication of monetary data has a statistically significant impact on interest rates with maturities ranging from 1 to 10 years, with the largest effect on the 1-2 year segment. Turning to the short end of the yield curve, since mid-2001 rates with maturities up to 6 months do not react much to the monetary developments press release. Our results suggest that market participants may look through short-term movements of annual M3 growth and focus instead on the trend rate of monetary expansion over the medium term when gauging the policy relevant signals.High-frequency data ; Macroeconomic announcements ; Money growth.

Euro area market reactions to the monetary developments press release

Using intra-day data, we assess the impact of the press release on euro area monetary data on the different segments of the euro area yield curve. For this purpose, we estimate a relation between the “news” or “surprise” in the released data for annual M3 growth and the move in the interest rates for a time-window surrounding the press release. We find that the publication of monetary data has a statistically significant impact on interest rates with maturities ranging from 1 to 10 years, with the largest effect on the 1-2 year segment. Turning to the short end of the yield curve, since mid-2001 rates with maturities up to 6 months do not react much to the monetary developments press release. Our results suggest that market participants may look through short-term movements of annual M3 growth and focus instead on the trend rate of monetary expansion over the medium term when gauging the policy relevant signals. JEL Classification: E43, E44, E52, E58high-frequency data, macroeconomic announcements, money growth

Stress testing banks' profitability: the case of French banks

We build a stress testing framework to evaluate the sensitivity of banks’ profitability to plausible but severe adverse macroeconomic shocks. Specifically, we test the resilience of French banks using supervisory data over the period 1993-2009. First, we identify the macroeconomic and financial variables (GDP growth, interest rate maturity spread, stock market’s volatility) and bank-specific variables (size, capital ratio, ratio of non interest income to assets) that significantly affect French banks’ profitability. Second, our macroeconomic stress testing exercises based on a simulation of macroeconomic variables show that French banks’ profitability is resilient to major adverse macroeconomic scenarios. Specifically, our findings highlight that even severe recessions would leave the French banking system profitable.bank profitability, dynamic panel estimation, stress test.

Predicting Financial Distress in a High-Stress Financial World: The Role of Option Prices as Bank Risk Metrics

The current financial crisis offers a unique opportunity to investigate the leading properties of market indicators in a stressed environment and their usefulness from a banking supervision perspective. One pool of relevant information that has been little explored in the empirical literature is the market for bank’s exchange-traded option contracts. In this paper, we first extract implied volatility indicators from the prices of the most actively traded option contracts on financial firms’ equity. We then examine empirically their ability to predict financial distress by applying survival analysis techniques to a sample of large US financial firms. We find that market indicators extracted from option prices significantly explain the survival time of troubled financial firms and do a better job in predicting financial distress than other time-varying covariates typically included in bank failure models. Overall, both accounting information and option prices contain useful information of subsequent financial problems and, more importantly, the combination produces good forecasts in a high-stress financial world, full of doubts and uncertainties.Financial distress; Financial system oversight; Market discipline; Options; Implied volatility; Survival analysis.

Predicting Financial Distress in a High-Stress Financial World: The Role of Option Prices as Bank Risk Metrics

The current financial crisis offers a unique opportunity to investigate the leading properties of market indicators in a stressed environment and their usefulness from a banking supervision perspective. One pool of relevant information that has been little explored in the empirical literature is the market for bank's exchange-traded option contracts. In this paper, we first extract implied volatility indicators from the prices of the most actively traded option contracts on financial firms' equity. We then examine empirically their ability to predict financial distress by applying survival analysis techniques to a sample of large US financial firms. We find that market indicators extracted from option prices significantly explain the survival time of troubled financial firms and do a better job in predicting financial distress than other time-varying covariates typically included in bank failure models. Overall, both accounting information and option prices contain useful information of subsequent financial problems and, more importantly, the combination produces good forecasts in a high-stress financial world, full of doubts and uncertainties.Financial distress ; Financial system oversight ; Market discipline ; Options ; Implied volatility ; Survival analysis

Stress testing French banks' income subcomponents

Using a broad dataset of individual consolidated data of French banks over the period 1993-2007, we seek to evaluate the sensitivity to adverse macroeconomic scenarios of the three main sources of banking income, namely interest margins, fees and commissions, and trading income. First, we show that the determinants of banking income subcomponents are highly specific: whereas interest rates spread plays a significant role in determining net interest income, stock market measures are significant determinants of trading income. GDP growth impacts significantly on fees and commissions. Second, our macroeconomic stress testing exercises tend to show that fees and commission and to a lesser extent trading incomes are much more sensitive to some adverse macroeconomic shocks than interest income. This could support the view that income diversification is associated with higher banking revenue resilience.Banking income , Interest margins , Fees and commissions , Trading income , Dynamic panel estimation.

Implementation of a consumer-centric digital strategy for Bioderma Ireland

This Master’s thesis consists of an in-company project in cooperation with Bioderma and more specifically with Bioderma Ireland, where the author is currently working as a Digital Project Manager. Recommended by dermatologists, known by customers all over the world, Bioderma is one of the leaders in the dermo-cosmetics market and the creator of the first Micellar Water: Sensibio H2O. This year of 2020 is the 25th anniversary of Sensibio H2O, the best seller of Bioderma in many countries, including Ireland. This product has an opportunity to become the leader of its category but the emotional dimension is still missing to create links and attachment with customers. The 25th anniversary of Sensibio H2O is an occasion to develop a new digital campaign that will help the brand to create this emotional link and product attachment. This campaign will be developed and implemented in different countries were Bioderma is presented but this study will focus on the adaptation and implementation of the campaign in Ireland. A literature review was made to understand the key concepts such as storytelling, content marketing and social media marketing and justify their importance in the new strategy. The external analysis of Bioderma competitors in Ireland, of the Irish market and consumers behavior, allowed the identification of the brand’s main opportunities and threats in Ireland. The internal analysis of Bioderma Ireland permitted to better understand the brand, its current marketing strategy and highlight the brand’s strengths and weaknesses. Today, the proportion of people with sensitive skin is increasing in the world and in Ireland. Bioderma has a product that can help these people: the Sensibio H2O. In a very competitive market, the brand has to stand out from the competitors and work on developing the emotional dimension that is missing. The aim of this thesis is to propose a new emotional consumer-centric strategy that will help taking advantage of the increase of sensitive skin in Ireland.Esta tese de mestrado consiste num projeto real, em cooperação com a Bioderma e, mais especificamente, com a Bioderma Irlanda, onde a autora trabalha atualmente como Digital Project Manager. Recomendado por dermatologistas, conhecidos por clientes em todo o mundo, a Bioderma é uma das marcas líderes no mercado da dermocosmética e criou a primeira Água Micelar: Sensibio H2O. No presente ano de 2020 comemora-se o 25º aniversário do Sensibio H2O, o bestseller da Bioderma em muitos países, incluindo a Irlanda. Este produto tem a oportunidade de solidificar a liderança na categoria, mas ainda lhe falta a dimensão emocional para criar vínculos e ligação aos clientes. O 25º aniversário do Sensibio H2O é o momento escolhido para desenvolver uma campanha que ajudará a marca a criar esse vínculo emocional e ligação ao produto. Esta campanha será desenvolvida e implementada em diferentes países onde a Bioderma atua, mas este estudo irá concentrar-se na implementação da campanha na Irlanda. Foi feita uma revisão da literatura com o objetivo de entender os principais conceitos, como storytelling, marketing de conteúdos e marketing nas redes sociais e aferir a sua relevância na estratégia pretendida. A análise externa dos concorrentes da Bioderma na Irlanda, do mercado irlandês e do comportamento dos consumidores, permitiu identificar as principais oportunidades e ameaças da marca na Irlanda. A análise interna da Bioderma Irlanda permitiu conhecer melhor a marca, a sua estratégia de marketing atual e destacar os seus pontos fortes e fracos. Hoje, o número de pessoas com pele sensível está a aumentar no mundo e na Irlanda. A Bioderma, uma marca conhecida e recomendada por dermatologistas em todo o mundo, possui um produto que pode ajudar essas pessoas: o Sensibio H2O. Num mercado muito competitivo, a marca precisa de se destacar dos concorrentes, através do desenvolvimento de uma dimensão emocional que lhe falta. O objetivo desta tese é propor uma nova estratégia emocional, centrada no consumidor, que ajudará a marca a tirar proveito do aumento da pele sensível na Irlanda

La prévision des taux d’intérêt à partir de contrats futures : l’apport de variables économiques et financières

Monetary Policy ; Interest Rate Forecast ; Futures Contracts ; Forecast Error ; Risk Premia.

Two-way interplays between capital buffers, credit and output: evidence from French banks

We assess the extent to which capital buffers (the capital banks hold in excess of the regulatory minimum) exacerbate rather than reduce the cyclical behavior of credit. We empirically study the relationships between output gap, capital buffers and loan growth with firm-level data for French banks over the period 1993—2009. Our findings reveal that bank capital buffers intensify the cyclical credit fluctuations arising from the output gap developments, all the more as better quality capital is considered. Moreover, by performing Granger causality tests at the bank level, we find evidence of a two-way causality between capital buffers and loan growth, pointing to mutually reinforcing mechanisms. Overall, those empirical results lend support to a countercyclical financial regulation that focuses on highest-quality capital and aims at smoothing loan growth.Bank Capital Regulation, Procyclicality, Capital Buffers, Business Cycle Fluctuations, Basel III.