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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.

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November

Publication Working Paper Series no. 844:
Debt-Stabilizing Properties of GDP-Linked Securities: A Macro-Finance Perspective

We study the debt-stabilizing properties of indexing debt to GDP using a consumption-based macro-finance model. Three results stand out. First, GDP-linked bond prices would embed sizeable and timevarying risk premiums of about 40 basis points. Second,...

By Mouabbi Sarah, Renne Jean-Paul, Sahuc Jean-Guillaume
  • Published on 11/08/2021
  • 53 pages
  • EN
  • PDF (1.93 MB)
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October

Publication Working Paper Series no. 843:
The Deflationary Bias of the ZLB and the FED’s Strategic Response

The paper shows, in a simple analytical framework, the existence of a deflationary bias in an economy with a low natural rate of interest, a Zero Lower Bound (ZLB) constraint on nominal interest rates and a discretionary Central Bank with an inflation...

By Penalver Adrian, Siena Daniele
  • Published on 10/28/2021
  • 41 pages
  • EN
  • PDF (1.33 MB)
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October

Publication Working Paper Series no. 842:
Financial flows, macro-prudential policies, capital restrictions and institutions: what do gravity equations tell us?

This paper analyzes the impact on financial flows of institutional factors promoting financial integration such as European integration or trying to tame them such as capital control or macro-prudential policies. We use a detailed database of bilateral...

By Bricongne Jean-Charles, Antoine Cosson, Albane Garnier-Sauveplane, Lecat Rémy, Peresa Irena, Yuliya Vanzhulova
  • Published on 10/25/2021
  • 43 pages
  • EN
  • PDF (2.76 MB)
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October

Publication Working Paper Series no. 841:
Strategic Trading, Welfare and Prices with Futures Contracts

Derivatives contracts are designed to improve risk sharing in financial markets, but among them, forwards, futures and swaps often appear redundant with their underlying assets: buying the asset and storing it is equivalent to buying it later. I show...

By Dastarac Hugues
  • Published on 10/22/2021
  • 82 pages
  • EN
  • PDF (1.49 MB)
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October

Publication Working Paper Series no. 840:
Firms’ Inflation Expectations: New Evidence from France

Using a new survey of firms’ inflation expectations in France, we provide novel evidence about the measurement and formation of inflation expectations on the part of firms. First, French firms report inflation expectations with a smaller, but still...

By Savignac Frédérique, Gautier Erwan, Gorodnichenko Yuriy, Coibion Olivier
  • Published on 10/21/2021
  • 50 pages
  • EN
  • PDF (2.2 MB)
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October

Publication Working Paper Series no. 839:
Empirical Investigation of a Sufficient Statistic for Monetary Shocks

In a broad class of sticky price models the non-neutrality of nominal shocks is encoded by a simple sufficient statistic: the ratio of the kurtosis of the size-distribution of price changes over the frequency of price changes. We test this theoretical...

By Alvarez Fernando, Ferrara Andrea, Gautier Erwan, Le Bihan Hervé, Lippi Francesco
  • Published on 10/20/2021
  • 94 pages
  • EN
  • PDF (3.76 MB)
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October

Publication Working Paper Series no. 838:
Promoting Self-employment: Does it create more Employment and Business Activity?

We assess the economic impact of reforms promoting self-employment in the three countries that have implemented such reforms since the early 2000s: the Netherlands, the United Kingdom and France. To that end, we use an unbalanced cross country-industry...

By Lopez Jimmy
  • Published on 10/19/2021
  • 21 pages
  • EN
  • PDF (3.1 MB)
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October

Publication Working Paper Series no. 837:
The channels of banks’ response to negative interest rates

Faced with a potential zero lower bound on deposit interest rates, how do banks pass on the fall in net interest income due to negative interest rates? This paper aims to investigate the different channels of banks’ responses to negative interest rates...

By Boungou Whelsy, Hubert Paul
  • Published on 10/18/2021
  • 48 pages
  • EN
  • PDF (1017.32 KB)
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October

Publication Working Paper Series no. 836:
The Cognitive Load of Financing Constraints: Evidence from Large-Scale Wage Surveys

In this paper, we take advantage of the implicit cognitive exercise available in standard Labor Force Surveys to propose a new indicator of financing constraints which is based on the cognitive load they generate (Mullainathan and Shafir, 2013). Survey...

By Berson Clémence, Lardeux Raphaël, Lelarge Claire
  • Published on 10/15/2021
  • 63 pages
  • EN
  • PDF (2.34 MB)
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October

Publication Working Paper Series no. 835:
Productivity Slowdown, Tax Havens and MNEs’ Intangibles: where is Measured Value Creation?

Based on French firm-level data over around 15 years we evaluate the contribution of the micro-level profit shifting –through tax haven foreign direct investments to the aggregate productivity slowdown measured in France. We show that firm measured...

By Bricongne Jean-Charles, Delpeuch Samuel, Lopez Forero Margarita
  • Published on 10/07/2021
  • 60 pages
  • EN
  • PDF (1.38 MB)
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October

Publication Working Paper Series no. 834:
How Powerful is Unannounced, Sterilized Foreign Exchange Intervention?

Though most central banks actively intervene on the foreign exchange market, the literature offers mixed evidence on their effectiveness: particularly for unannounced interventions. We use new, declassified data from the archives of the Bank of England...

By Naef Alain, Weber Jacob P
  • Published on 10/05/2021
  • 31 pages
  • EN
  • PDF (1.22 MB)
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September

Publication Working Paper Series no. 833:
The Meaning of MMT

In the last few years in the U.S. and especially since the publication of Stephanie Kelton’s book, The Deficit Myth (Kelton, 2020) in Europe, the so-called Modern Monetary Theory (MMT) has been gaining prominence in the media and the public. This paper...

By Drumetz Françoise, Pfister Christian
  • Published on 09/27/2021
  • 28 pages
  • EN
  • PDF (686.45 KB)
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