Julien Idier

Current Position

Head of the Market Monitoring and Asset Purchase Programmes Division

Previous Position

• Deputy Head of the Macro-Finance Division, Banque de France (2013-2017); Economist in the Monetary Policy
• Directorate of the European Central Bank (2007, 2011-2013); Economist at Natexis Banques Populaires (2005);
• Analyst in demography at the United Nations Economic Commission for Europe (2004).

Diplomas

• 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
• Degree in Economics and Management, François Rabelais University, Tours, France

Research Interest

Finance, econometrics, macroprudential policies, monetary policy

Contact

• julien.idier@banque-france.fr
• +33 (0)1 42 92 34 22
• Banque de France, 35-2341 DGO-DSF-SMF, 75049 Paris Cedex 01, France

Academic Publications

Articles

• "Reducing model risk in early warning systems for banking crises in the euro area" (2018), Coudert V. et Idier J.,  International Economics (2018) 156
• "Politique Macroprudentielle" (2017), Bennani T., Clerc L., Coudert V., Dujardin M., et Idier J., Préface de Jean Tirole, Pearson Education, 320 pages.
• "A high-frequency assessment of the ECB Securities Markets Programme" (2017), Ghysel E. , Idier J., Manganelli S., Vergote O., Journal of the European Economic Association (2017) 15(1)
• "How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment" (2014), Idier J., Lamé G., Mésonnier J., Journal of Banking and Finance (2014) 47(1)
• "The financial content of inflation risks in the euro area" (2013), avec P. Andrade, V. Fourel et E. Ghysels, International Journal of forecasting, Volume 30, Issue 3, July–September 2014, Pages 648-659
• "The impact of unconventional monetary policy on the market for collateral: The case of the French bond market" with S. Avouyi-Dovi, in "Journal of Banking & Finance", Elsevier, Vol. 36(2), pp. 428-438.
• "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.
• "Probability of informed trading on the euro overnight market rate" (2011),International Journal of Finance and Economics, Vol. 16, pp. 131-145, April 2011.
• "Long term vs. short term comovements in stock markets: the use of Markov switching multifractal models" (2011), The European Journal of Finance, Taylor & Francis Journals, vol. 17(1), pp. 27-48.
• "How liquid are markets: an application to stock market", (2009) with Caroline Jardet and Gaëlle Le Fol, Bankers Markets and Investors n°103, November - December
• "Determinants of long term interest rates in the United States and the euro area: a multivariate approach"  (2008), avec C. Jardet et A. de Loubens dans Économie et Prévision n°185 2008-4