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Working papers

The Working Paper Series showcases research work being conducted at the Banque de France on the development of analytical tools for use in macroeconomic forecasting, monetary policy conduct and the safeguarding of financial stability. The papers do not necessarily reflect the position of the Banque de France or the Eurosystem.

August

Publication Working Paper Series no. 726:
Bayesian Inference for Markov-switching Skewed Autoregressive Models

We examine Markov-switching autoregressive models where the commonly used Gaussian assumption for disturbances is replaced with a skew-normal distribution. This allows us to detect regime changes not only in the mean and the variance of a specified...

  • Published on 08/23/2019
  • 28 pages
  • EN
  • PDF (2.01 MB)

August

Publication Working Paper Series no. 725:
In Fed Watchers’ Eyes: Hawks, Doves and Monetary Policy

I construct a novel measure of policy preferences of the Federal Open Market Committee (FOMC) as perceived in public. This measure is based on newspaper and financial media coverage of 130 FOMC members serving during 1960-2015. Narratives reveal that...

  • Published on 08/22/2019
  • 36 pages
  • EN
  • PDF (2.25 MB)

July

Publication Working Paper Series no. 724:
ALIENOR, a Macrofinancial Model for Macroprudential Policy

ALIENOR is an econometric model built to provide macroeconomic scenarios and conduct macroprudential analysis, in particular for larger stress-test exercises. In the model design, we pay particular attention to the link between financial variables and...

By Couaillier Cyril, Ferrière Thomas, Scalone Valerio
  • Published on 07/18/2019
  • 35 pages
  • EN
  • PDF (2.92 MB)

July

Publication Working Paper Series no. 723:
Professional Networks and their Coevolution with Executive Careers

This paper examines how networks of professional contacts contribute to the development of the careers of executives of North American and European companies. We build a dynamic model of career progression in which career moves may both depend upon...

By Berardi Nicoletta, Lalanne Marie, Seabright Paul
  • Published on 07/09/2019
  • 54 pages
  • EN
  • PDF (1.91 MB)

June

Publication Working Paper Series no. 722:
Sovereign Default and Imperfect Tax Enforcement

We show that tax compliance is volatile and markedly responds to fiscal policy. To explore the consequence of this novel stylized fact, we build a model of sovereign debt with limited commitment and imperfect tax enforcement. Fiscal policy persistently...

By Pappadà Francesco, Zylberberg Yanos
  • Published on 06/06/2019
  • 48 pages
  • EN
  • PDF (2.59 MB)

May

Publication Working Paper Series no. 721:
Informal Sector and Mobile Financial Services in Developing Countries: Does Financial Innovation Matter?

This paper investigates the impact of mobile financial services - MFS (mobile money, and mobile credit and savings) on the informal sector. Using both parametric and non-parametric methods on panel data from 101 emerging and developing countries over...

By Jacolin Luc, Keneck Massil Joseph, Noah Alphonse
  • Published on 05/28/2019
  • EN
  • PDF (2.23 MB)

May

Publication Working Paper Series no. 720:
Do Minimum Wages Make Wages More Rigid? Evidence from French Micro Data

How do minimum wages (MW) shape the aggregate wage dynamics when wage adjustment is lumpy? In this paper, we document new empirical findings on the effect of MW on wage rigidity using quarterly micro wage data matched with sectoral bargained MW. We...

By Gautier Erwan, Roux Sébastien, Suarez-Castillo Milena
  • Published on 05/23/2019
  • 84 pages
  • EN
  • PDF (2.42 MB)

May

Publication Working Paper Series no. 719:
Financial Deepening, Terms of Trade Shocks and Growth in Low-Income Countries

This paper contributes to the literature by looking at the possible relevance of the structure of the financial system—whether financial intermediation is performed through banks or markets—for macroeconomic volatility, against the backdrop of...

By Kangni Kpodar, Le Goff Maëlan, Raju Jan Singh
  • Published on 05/15/2019
  • 36 pages
  • EN
  • PDF (2.25 MB)

May

Publication Working Paper Series no. 718:
Estimating US Consumer Gains from Chinese Imports

We estimate the size of US consumer gains from Chinese imports during 2004-2015. Using barcode-level price and expenditure data, we construct inflation rates under CES preferences, and use Chinese exports to Europe as an instrument. We find significant...

By Bai Liang, Stumpner Sebastian
  • Published on 05/06/2019
  • 36 pages
  • EN
  • PDF (2.2 MB)

April

Publication Working Paper Series no. 717:
When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage

Nowcasting GDP growth is extremely useful for policy-makers to assess macroeconomic conditions in real-time. In this paper, we aim at nowcasting euro area GDP with a large database of Google search data. Our objective is to check whether this specific...

By Ferrara Laurent, Simoni Anna
  • Published on 04/11/2019
  • EN
  • PDF (2.39 MB)

April

Publication Working Paper Series no. 716:
How do lenders price energy efficiency? Evidence from personal consumption loans

At least ex ante, energy efficiency improvements increase investor’s solvency. Associated loans should therefore carry lower interest rates than do otherwise conventional loans. We test this hypothesis using unique weekly panel data on posted interest...

By Giraudet Louis-Gaëtan, Petronevich Anna, Faucheux Laurent
  • Published on 04/01/2019
  • 31 pages
  • EN
  • PDF (2.25 MB)

March

Publication Working Paper Series no. 715:
Are global value chains receding? The jury is still out. Key findings from the analysis of deflated world trade in parts and components

In this article, we examine the dynamics of Global Value Chains (GVCs) since the 2000s. Did it show a marked expansion up to the Great Recession and did GVCs begin a downturn in the 2010s? To better understand the evolution of GVCs at the world level,...

By Gaulier Guillaume, Sztulman Aude, Ünal Deniz
  • Published on 03/22/2019
  • EN
  • PDF (3.6 MB)