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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.

December

Publication Working Paper Series no. 796:
This Town Ain't Big Enough? Quantifying Public Good Spillovers

Despite long-standing theoretical interest, empirical attempts at investigating the appropriate level of decentralization remain scarce. This paper develops a simple and flexible framework to test for the presence of public good spillovers between...

By Nicolas Jannin, Aurelie Sotura
  • Published on 12/30/2020
  • 61 pages
  • EN
  • PDF (4.77 MB)

December

Publication Working Paper Series no. 795:
The international dimension of a fragile EMU

This paper quantifies the economic influence that shocks to EMU cohesion, which in turn reflect the incomplete nature of the monetary union, have on the rest of the world, by disentangling euro area stress shocks and global risk aversion shocks on the...

By Ioannou Demosthenes, Pagliari Maria Sole, Stracca Livio
  • Published on 12/30/2020
  • 57 pages
  • FR
  • PDF (4.46 MB)

December

Publication Working Paper Series no. 794:
Sticky Deposit Rates and Allocative Effects of Monetary Policy

This paper documents that monetary policy affects credit supply through banks’ cost of funding. Using administrative credit-registry and regulatory bank data, we find that banks can incur an increase in their funding costs of at least 30 basis points...

By Duquerroy Anne, Adrien Matray, Saidi Farzad
  • Published on 12/24/2020
  • 47 pages
  • EN
  • PDF (9.84 MB)

December

Publication Working Paper Series no. 793:
Imported or Home Grown? The 1992-3 EMS Crisis

Using newly assembled data on foreign exchange market intervention, we construct a daily index of exchange market pressure during the 1992-3 crisis in the European Monetary System. Using this index, we pinpoint when and where the crisis was most severe...

By Eichengreen Barry, Naef Alain
  • Published on 12/23/2020
  • 46 pages
  • EN
  • PDF (2.02 MB)

December

Publication Working Paper Series no. 792:
Set-up Costs and the Financing of Young Firms

We show that set-up costs are a key determinant of the capital structure of young firms. Theoretically, when firms face high set-up costs, they can only be established by leveraging up and lengthening debt maturity. Empirically, we use a large sample...

By François Derrien, Mésonnier Jean-Stéphane, Vuillemey Guillaume
  • Published on 12/22/2020
  • 47 pages
  • EN
  • PDF (1.11 MB)

December

Publication Working Paper Series no. 791:
Semi-Structural VAR and Unobserved Components Models to Estimate Finance-Neutral Output Gap

The paper assesses the impact of adding information on financial cycles on the output gap estimates for eight advanced economies using two unobserved components models: a reduced form extended Hodrick-Prescott filter, and a standard semi-structural...

By Kátay Gábor, Kerdelhué Lisa, Lequien Matthieu
  • Published on 12/18/2020
  • 54 pages
  • EN
  • PDF (895.54 KB)

December

Publication Working Paper Series no. 790:
Climate-related Risks and Central Banks’ Collateral Policy: a Methodological Experiment

Central banks increasingly acknowledge that climate change is a source of financial risks, which is likely to also impact their conduct of monetary policy. Against this backdrop, the aim of this paper is to explore one potential approach to factoring...

By Oustry Antoine, Erkan Bunyamin, Svartzman Romain, Weber Pierre-François
  • Published on 12/15/2020
  • 48 pages
  • EN
  • PDF (2.71 MB)

December

Publication Working Paper Series no. 789:
Lower Bank Capital Requirements as a Policy Tool to Support Credit to SMEs: Evidence From a Policy Experiment?

Starting in 2014 with the implementation of the European Commission Capital Requirement Directive, banks operating in the Euro area were benefiting from a 25% reduction (the Supporting Factor or "SF" hereafter) in their own funds requirements...

By Dietsch Michel, Fraisse Henri, Lé Mathias, Lecarpentier Sandrine
  • Published on 12/14/2020
  • 45 pages
  • EN
  • PDF (845.81 KB)

December

Publication Working Paper Series no. 788:
Nowcasting World GDP Growth with High-Frequency Data

The Covid-19 crisis has shown how high-frequency data can help tracking economic turning points in real-time. Our paper investigates whether high-frequency data can also improve the nowcasting performances for world GDP growth on quarterly or annual...

By Jardet Caroline, Meunier Baptiste
  • Published on 12/11/2020
  • 37 pages
  • EN
  • PDF (2.37 MB)

December

Publication Working Paper Series no. 787:
House Prices, Mortgage Debt Dynamics and Economic Fluctuations in France: A Semi-Structural Approach

We develop a model of house prices and household indebtedness and include it in the Banque de France's semi-structural macroeconomic model in order to analyse the implications of mortgage debt dynamics on economic fluctuations and financial...

By Bove Guillaume, Dees Stéphane, Thubin Camille
  • Published on 12/11/2020
  • 45 pages
  • EN
  • PDF (2.33 MB)

December

Publication Working Paper Series no. 786:
The 100% Reserve Reform: Calamity or Opportunity?

This paper considers the various 100% Reserve plans that have appeared since the interwar period and have since then been adapted. In all formulations of those schemes, Government liabilities (cash, central bank reserves and short-term Treasuries) back...

  • Published on 12/02/2020
  • 19 pages
  • EN
  • PDF (860.95 KB)

November

Publication Working Paper Series no. 785:
The Impact of ICTs and Digitalization on Productivity and Labor Share: Evidence from French firms

Taking advantage of an original firm-level survey carried out by the Banque de France, we empirically investigate how the employment of ICT specialists (in-house and external) and the use of digital technologies (cloud and big data) have an impact on...

  • Published on 11/13/2020
  • 29 pages
  • FR
  • PDF (2.19 MB)