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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. 891:
Stock Return Predictability: comparing Macro- and Micro-Approaches

Economic theory identifies two potential sources of return predictability: time variation in expected returns (beta-predictability) or market inefficiencies (alpha-predictability). For the latter, Samuelson argued that macro-returns exhibit more...

By Stalla-Bourdillon Arthur
  • Published on 11/10/2022
  • 53 pages
  • EN
  • PDF (1.95 MB)
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November

Publication Working Paper Series no. 890:
Consumption Inequality in the Digital Age

This paper studies how digitalization affects consumption inequality. We assemble a novel dataset of digital technology used in the production process, link it to US consumption data and establish a new stylized fact: High-income households consume a...

By Arvai Kai, Mann Katja
  • Published on 11/09/2022
  • 49 pages
  • EN
  • PDF (2.66 MB)
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October

Publication Working Paper Series no. 889:
Joint Ownership of Production Projects as a Commitment Device against Interest Groups

This paper investigates an unexplored rationale for joint ownership of a production project. We model projects with autocorrelated productivity shocks as creating an option value of investing over time so that later investments benefit from the...

By Berardi Nicoletta, Seabright Paul
  • Published on 10/21/2022
  • 30 pages
  • EN
  • PDF (829.96 KB)
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October

Publication Working Paper Series no. 888:
Different Motives for Holding Cash in France: an Analysis of the Net Cash Issues of the Banque de France

The present paper analyzes the net cash issues of the Banque de France. It is divided in two parts. The first estimates cash demand functions for different denominational groups (small, medium, large). We find that many of the different motives for...

By Seitz Franz, Devigne Lucas, De Pastor Raymond
  • Published on 10/14/2022
  • 37 pages
  • EN
  • PDF (1.2 MB)
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September

Publication Working Paper Series no. 887:
An Evaluation of the French Innovation Tax Credit

The Innovation tax credit (crédit d’impôt innovation, CII) is an extension of the Research tax credit (crédit d’impôt recherche, CIR) intended to boost the incentive effect of the latter on SMEs to encourage them to engage in the creation of new...

By Bunel Simon, Hadjibeyli Benjamin
  • Published on 09/30/2022
  • 37 pages
  • FR
  • PDF (3.06 MB)
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September

Publication Working Paper Series no. 886:
The Long-Term Impact of Housing Subsidies on the Rental Sector: the French Example

In many countries, housing subsidies to tenants are one of the main tools for housing policy but have an inflationary impact in the short term. For the first time, by taking the French example, we assess the long-term impact of housing subsidies on...

By Grislain-Letrémy Céline, Trevien Corentin
  • Published on 09/23/2022
  • 43 pages
  • EN
  • PDF (946.55 KB)
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September

Publication Working Paper Series no. 885:
The Conditional Path of Central Bank Asset Purchases

We investigate the financial market effects of central bank asset purchases by exploiting the unique setting provided by ECB’s PSPP and PEPP policies. These programs consist in purchases of identical assets. The PSPP aimed to reduce deflationary risks,...

By Blot Christophe, Bozou Caroline, Creel Jérôme, Hubert Paul
  • Published on 09/21/2022
  • 38 pages
  • EN
  • PDF (1.62 MB)
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September

Publication Working Paper Series no. 884:
DSGE Nash: Solving Nash Games in Macro Models with an application to optimal monetary policy under monopolistic commodity pricing

This paper presents DSGE Nash, a toolkit to solve for pure strategy Nash equilibria of global games in general equilibrium macroeconomic models. Although primarily designed to solve for Nash equilibria in DSGE models, the toolkit encompasses a broad...

By Ferrari Massimo, Pagliari Maria Sole
  • Published on 09/20/2022
  • 50 pages
  • EN
  • PDF (3.66 MB)
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September

Publication Working Paper Series no. 883:
The EA-BDF Model and Government Spending Multipliers in a Monetary Union

We develop in this paper a new two-country model of the euro area (EA-BDF), based on the large-scale FR-BDF model of France and a new medium-scale block of the rest of the euro area (STREAM). This new block follows an approach close to FR-BDF, being a...

By Aldama Pierre, Gaulier Guillaume, Lemoine Matthieu, Robert Pierre-Antoine, Turunen Harri, Zhutova Anastasia
  • Published on 09/07/2022
  • 79 pages
  • EN
  • PDF (2.33 MB)
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July

Publication Working Paper Series no. 882:
The Rise and Fall of Global Currencies over Two Centuries

This paper quantifies the relative dominance of global currencies and the competitive structure of the international monetary system since 1825. I find the post-1945 experience of dollar hegemony to have no historical precedent. No currency has ever...

By Vicquéry Roger
  • Published on 07/21/2022
  • 65 pages
  • EN
  • PDF (6.84 MB)
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July

Publication Working Paper Series no. 881:
From Macro to Micro: Large Exporters Coping with Common Shocks

Since Gabaix (2011), the role of changes in the performance of some very large firms in shaping aggregate outcomes has been intensively studied in the economic literature. Changes in the performance of a few large firms can arise due to idiosyncratic...

By Bricongne Jean-Charles, Carluccio Juan, Fontagné Lionel, Gaulier Guillaume, Stumpner Sebastian
  • Published on 07/15/2022
  • 49 pages
  • EN
  • PDF (1.39 MB)
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July

Publication Working Paper Series no. 880:
The Financing Structure of Non-Financial Corporations and Macro-Financial Implications in France

How does the corporate funding mix affect economic and financial stability in France? To address this question, we develop a model for the financing structure of French non-financial corporations (NFCs) and incorporate it in the Banque de France's...

By Dees Stéphane, Gebauer Stefan, Goncalves Thomas, Thubin Camille
  • Published on 07/13/2022
  • 37 pages
  • EN
  • PDF (1.09 MB)
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