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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.


Publication Working Paper Series no. 863:
Financial Conditions and Macroeconomic Downside Risks in the Euro Area

Motivated by empirically characterizing the relationship between financial conditions and downside macroeconomic risks in the euro area, I develop a regime-switching skew-normal model with time-varying probabilities of transitions. Using Bayesian...

  • Published on 01/25/2022
  • 52 pages
  • EN
  • PDF (2.44 MB)


Publication Working Paper Series no. 862:
Make-up Strategies with Finite Planning Horizons but Forward-Looking Asset Prices

How effective make-up strategies are depends heavily on how forward-looking agents are. Workhorse monetary models, which are much forward-looking, find them so effective that they run into the so-called “forward-guidance puzzle”. Models that discount...

  • Published on 01/21/2022
  • 50 pages
  • EN
  • PDF (2.36 MB)


Publication Working Paper Series no. 861:
How do Gasoline Prices Respond to a Cost Shock ?

Using several millions of daily prices collected over the period 2007-2018 in France, we investigate how gasoline retail prices respond to a common shock on marginal cost (i.e. the wholesale gasoline price quoted on the Rotterdam market). We find that...

By Gautier Erwan, Marx Magali, Vertier Paul
  • Published on 01/19/2022
  • 71 pages
  • EN
  • PDF (1.74 MB)


Publication Working Paper Series no. 860:
Credit Default Swaps and Credit Risk Reallocation

We use data on granular holdings of debt and Credit Default Swaps (CDS) referencing non-financial corporations across financial investors, to investigate how CDS reallocate credit risk and whether this increases investor-level riskiness. To guide our...

By Henricot Dorian, Thibaut Piquard
  • Published on 01/17/2022
  • 56 pages
  • EN
  • PDF (706.27 KB)


Publication Working Paper Series no. 859:
ECB Communication and its Impact on Financial Markets

Using an extensive dataset on public speaking events by ECB and euro area National Central Bank (NCB) officials, we show that communication outside of ECB regular monetary policy meeting days has a significant effect on daily movements in Eonia rates,...

  • Published on 01/14/2022
  • 32 pages
  • FR
  • PDF (691 KB)


Publication Working Paper Series no. 858:
Climate Risk Measurement of Assets Eligible as Collateral for Refinancing Operations – Focus on Asset Backed Securities (ABS)

This paper analyses the exposure to climate risk of ABS, an asset class frequently pledged as collateral in the European Central Bank (ECB) refinancing operations. This paper focuses on ABS backed by auto loans or loans granted to Small and Medium...

By André Loris, Grept Alice, Laut Nadia, Plantier Gabriel, Sapey-Triomphe Zako, Weber Pierre-François
  • Published on 01/07/2022
  • 45 pages
  • FR
  • PDF (4.49 MB)


Publication Working Paper Series no. 857:
The Rising Interconnectedness of the Insurance Sector

This paper examines the long-term evolution of the linkages of the insurance sector with financial and non-financial companies. We develop a measure of connectedness using a multifactor model of weekly equity returns. The empirical analysis is...

By Jourde Tristan
  • Published on 01/05/2022
  • EN
  • PDF (1.85 MB)