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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.

October

Publication Working Paper Series no. 647:
Beneath the Gold Points: European Financial Market Integration, 1844-1870

We measure the degree of financial integration among the top five financial centers of mid-19th-century Europe by applying threshold-regression analysis to a new database of exchange rates and bullion prices. We find that, instead of London, Hamburg,...

By Bignon Vincent, Chen Jinzhao, Ugolini Stefano
  • Published on 10/23/2017
  • EN
  • PDF (2.96 MB)

October

Publication Working Paper Series no. 646:
Corporate Debt Structure and Economic Recoveries

This paper analyzes the business cycle behavior of the corporate debt structure and its interaction with economic recovery. The debt structure is measured as the share of bonds in the total credit to non-financial corporations for a quarterly panel of...

By Grjebine Thomas, Szczerbowicz Urszula, Tripier Fabien
  • Published on 10/18/2017
  • 59 pages
  • EN
  • PDF (2.14 MB)

September

Publication Working Paper Series no. 645:
Common Factors of Commodity Prices

In this paper we extract latent factors from a large cross-section of commodity prices, including fuel and non-fuel commodities. We decompose each commodity price series into a global (or common) component, block-specific components and a purely...

By Delle Chiaie Simona, Ferrara Laurent, Giannone Domenico
  • Published on 09/26/2017
  • 40 pages
  • EN
  • PDF (2.46 MB)

September

Publication Working Paper Series no. 644:
Entrepreneurship and Information on Past Failures: A Natural Experiment

We analyze how public information on past entrepreneurial failure affects entrepreneurs’ ability to borrow. We exploit a policy shock from 2013 in France, which eliminated a highly salient public reporting to banks of managers involved in non...

By Cahn Christophe, Girotti Mattia, Landier Augustin
  • Published on 09/26/2017
  • 52 pages
  • EN
  • PDF (2.31 MB)

September

Publication Working Paper Series no. 643:
Time-varying fiscal spending multipliers in the UK

We study government spending multipliers of the UK economy using a time-varying parameter factor augmented vector autoregressive model (TVP-FAVAR) over the period 1966:Q1-2015:Q4. We show that government spending multipliers vary over time and that...

By Glocker Christian, Sestieri Giulia, Towbin Pascal
  • Published on 09/26/2017
  • EN
  • PDF (2.21 MB)

September

Publication Working Paper Series no. 642:
Monetary Policy and Digital Currencies: Much Ado about Nothing?

In spite of a still very low volume at the global level, in comparison with the main reserve currencies, digital currencies attract a lot of attention. The paper reminds that it is above all the exchange mechanism incorporated in digital currencies ...

  • Published on 09/14/2017
  • 17 pages
  • EN
  • PDF (1.81 MB)

September

Publication Working Paper Series no. 641:
Adjustment Costs and Factor Demand: New Evidence From Firms’ Real Estate

Adjustment costs impair the optimal allocation of production factor across firms. In this paper, we use the cost associated with corporate relocation to explore the effect of the adjustment costs of the premises size on factor demand. We rely on the...

By Bergeaud Antonin, Ray Simon
  • Published on 09/13/2017
  • 66 pages
  • EN
  • PDF (3.2 MB)

September

Publication Working Paper Series no. 640:
Asymmetric wage adjustment and employment in European firms

We explore the impact of wage adjustment on employment with a focus on the role of downward nominal wage rigidities. We use a harmonised survey dataset, which covers 25 European countries in the period 2010-2013. These data are particularly useful for...

By Marotzke Petra, Anderton Robert, Bairrao Ana, Berson Clémence, Tóth Peter
  • Published on 09/13/2017
  • EN
  • PDF (2.11 MB)

September

Publication Working Paper Series no. 639:
U.S. Savings Banks' Demutualization and Depositor Welfare

Originally, U.S. savings banks were owned by their depositors. In recent decades, many savings banks have “demutualized”, by converting from customer to investor ownership. We examine the implications of such events for depositor welfare. We introduce...

By Girotti Mattia, Meade Richard
  • Published on 09/04/2017
  • FR
  • PDF (2.26 MB)

August

Publication Working Paper Series no. 638:
The Failure of a Clearinghouse: Empirical Evidence

We provide the first detailed empirical analysis of the failure of a derivatives clearinghouse: the Caisse de Liquidation, which defaulted in Paris in 1974. Using archival data, we find three main causes of the failure: (i) a weak pool of investors, ...

By Bignon Vincent, Vuillemey Guillaume
  • Published on 08/23/2017
  • 68 pages
  • EN
  • PDF (3.92 MB)

August

Publication Working Paper Series no. 637:
MAPI: Model for Analysis and Projection of Inflation in France

In this paper, we present the new model developed at Banque de France to forecast the Harmonized Index of Consumer Prices (HICP) and its components in France up to twelve quarters during the Eurosystem projection exercises. The model is a partial...

  • Published on 08/23/2017
  • 40 pages
  • FR
  • PDF (917.65 KB)

August

Publication Working Paper Series no. 636:
The Interest of Being Eligible

Major central banks often accept pooled individual corporate loans as collateral in their refinancing operations with credit institutions. Such ''eligible'' loans to firms therefore provide a liquidity advantage to the banks that...

  • Published on 08/23/2017
  • 36 pages
  • EN
  • PDF (513.72 KB)