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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.

September

Publication Working Paper Series no. 782:
Determinants of Banks’ Liquidity: a French Perspective on Interactions between Market and Regulatory Requirements

The paper investigates the impact of solvency and liquidity regulation on banks' balance sheet structure. The Covid-19 pandemics shows that periods of sharp increase in risk aversion often result in liquidity strains for banks due to the...

By De Bandt Olivier, Lecarpentier Sandrine, Pouvelle Cyril
  • Published on 09/16/2020
  • 44 pages
  • FR
  • PDF (2.19 MB)

September

Publication Working Paper Series no. 781:
Risk Sharing in Europe: New Empirical Evidence on the Capital Markets Channel

This paper assesses the effectiveness of risk sharing mechanisms in Europe by breaking down the factor income components into their sub-components, and aims to further examine whether financial integration and international portfolio diversification...

By Dufrénot Gilles, Gossé Jean-Baptiste, Clerc Caroline
  • Published on 09/10/2020
  • 29 pages
  • EN
  • PDF (2.46 MB)

September

Publication Working Paper Series no. 780:
No Firm Is an Island? How Industry Conditions Shape Firms’ Expectations

We study how firms’ expectations and actions are affected by both aggregate and industry-specific conditions using a survey of French manufacturing firms. We document an important new stylized fact. In response to industry-level shocks that have no...

By Andrade Philippe, Coibion Olivier, Gautier Erwan, Gorodnichenko Yuriy
  • Published on 09/09/2020
  • 51 pages
  • EN
  • PDF (2.59 MB)

September

Publication Working Paper Series no. 779:
Fed Communication on Financial Stability Concerns and Monetary Policy Decisions: Revelations from Speeches

This paper studies the informational content of publicly given speeches of FOMC members with a focus on financial stability, from 1997 to 2018. We document that presidents of Federal Reserve Banks spoke more than Board members around and after the...

  • Published on 09/07/2020
  • 48 pages
  • EN
  • PDF (3.59 MB)

September

Publication Working Paper Series no. 778:
Disastrous Defaults

We define a disastrous default as the default of a systemic entity. Such an event is expected to have a negative effect on the economy and to be contagious. Bringing macroeconomic structure to a no-arbitrage asset-pricing framework, we exploit prices...

By Gouriéroux Christian, Monfort Alain, Mouabbi Sarah, Renne Jean-Paul
  • Published on 09/04/2020
  • 65 pages
  • EN
  • PDF (2.23 MB)

July

Publication Working Paper Series no. 777:
The Financing of Investment: Firm Size, Asset Tangibility and the Size of Investment

How do firms finance their investment? To what extent does the financing mix depends on the nature or the size of investment? To what extent does the funding mix of investment vary along firm size? Relying on a unique database of firms covering 72% of...

By Lé Mathias, Vinas Frédéric
  • Published on 07/29/2020
  • 67 pages
  • EN
  • PDF (2.16 MB)

July

Publication Working Paper Series no. 776:
Accounting for Intergenerational Wealth Mobility in France over the 20th Century: Method and Estimations

We propose a new and simple method to study intergenerational wealth correlation between two generations, which is easy to implement in wealth (and housing) surveys and aims at overcoming the strong data limitation faced in most of the countries. We...

By Garbinti Bertrand, Savignac Frédérique
  • Published on 07/21/2020
  • 90 pages
  • EN
  • PDF (4.91 MB)

July

Publication Working Paper Series no. 775:
Overview and Inventory of French Funds' Liquidity Management Tools

This article constitutes a first presentation of the prospectus analysis tool developed through a cooperation between the Banque de France and the Autorité des marchés financiers (AMF). This work aims to identify the liquidity management tools (LMT)...

By Darpeix Pierre-Emmanuel, Le Moign Caroline, Même Nicolas, Novakovic Marko
  • Published on 07/17/2020
  • 37 pages
  • EN
  • PDF (3.31 MB)

July

Publication Working Paper Series no. 774:
Climate-Related Scenarios for Financial Stability Assessment: An Application to France

This paper proposes an analytical framework to quantify the impacts of climate policy and transition narratives on economic and financial variables necessary for financial risk assessment. Focusing on transition risks, the scenarios considered include...

By Allen Thomas, Dees Stéphane, Boissinot Jean, Caicedo Graciano Carlos Mateo, Chouard Valérie, Clerc Laurent, De Gaye Annabelle, Devulder Antoine, Diot Sébastien, Lisack Noëmie, Pegoraro Fulvio, Rabaté Marie, Svartzman Romain, Vernet Lucas
  • Published on 07/16/2020
  • 68 pages
  • EN
  • PDF (5.2 MB)

July

Publication Working Paper Series no. 773:
Share Buybacks, Monetary Policy and the Cost of Debt

Share buybacks have become common practice across U.S corporations. This paper shows that firms finance these operations mostly through newly issued corporate bonds, and that the exogenous variation in the cost of debt -due to innovations in monetary...

By Elgouacem Assia, Zago Riccardo
  • Published on 07/02/2020
  • 47 pages
  • EN
  • PDF (2.62 MB)

July

Publication Working Paper Series no. 772:
How Do Markets React to Tighter Bank Capital Requirements?

We use hikes in the countercyclical capital buffer [CCyB] to measure how tighter bank capital requirements affect their solvency and value, according to market participants. Two features of the CCyB in Europe allow for a unique identification strategy...

By Couaillier Cyril, Henricot Dorian
  • Published on 07/01/2020
  • 30 pages
  • EN
  • PDF (6 MB)

June

Publication Working Paper Series no. 771:
Heterogeneity in Bank Leverage: the Funding Channels of Complexity

This paper assesses the net impact of complexity on leverage, at the Bank Holding Companies (BHCs) level using unique French supervisory data from 2010 to 2017. Geographical and structural complexity introduce diversification benefits and agency...

By Bussière Matthieu, Meunier Baptiste, Pedrono Justine
  • Published on 06/29/2020
  • 36 pages
  • EN
  • PDF (2.25 MB)