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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.

March

Publication Working Paper Series no. 809:
Return on Investment on AI: The Case of Capital Requirement

Taking advantage of granular data we measure the change in bank capital requirement resulting from the implementation of AI techniques to predict corporate defaults. For each of the largest banks operating in France we design an algorithm to build...

By Fraisse Henri, Laporte Matthias
  • Published on 03/11/2021
  • 37 pages
  • EN
  • PDF (3.14 MB)

March

Publication Working Paper Series no. 808:
Intergenerational Homeownership in France over the 20th Century

We estimate the intergenerational correlation in homeownership status between two generations for cohorts covering the 20th century. First, we find higher intergenerational correlation in France compared to previous results obtained for the U.K. for...

By Garbinti Bertrand, Savignac Frédérique
  • Published on 03/05/2021
  • 37 pages
  • EN
  • PDF (2.83 MB)

February

Publication Working Paper Series no. 807:
Statistical Modelization of Overindebtedness

The procedure for overindebtedness was born in the late 1980s, in a context of strong expansion of consumer credit. In 2010, better supervision of business practices by the public authorities helped to limit the scale of consumer credit....

By Tran Amandine
  • Published on 02/12/2021
  • 50 pages
  • EN
  • PDF (2.26 MB)

February

Publication Working Paper Series no. 806:
The Dynamic Effects of the ECB’s Asset Purchases: a Survey-Based Identification

This paper estimates the dynamic effects of the ECB's asset purchase programme (APP) using a proxy structural vector autoregression. We construct a novel proxy for structural APP shocks as unexpected changes in the size of additional ...

  • Published on 02/08/2021
  • 62 pages
  • EN
  • PDF (2.76 MB)

February

Publication Working Paper Series no. 805:
A Prudential trade-off? Leakages and Interactions with Monetary Policy

While monetary and prudential policies are generally analysed separately, this paper focuses on how the two interact. Taking an international perspective, we show that monetary policy in a centre economy (Euro Area) spill over its borders through bank...

By Meunier Baptiste, Pedrono Justine
  • Published on 02/05/2021
  • 21 pages
  • EN
  • PDF (592.66 KB)

January

Publication Working Paper Series no. 804:
The Impact of Regulation on Innovation

Does regulation affect the pace and nature of innovation and if so, by how much? We build a tractable and quantifiable endogenous growth model with size-contingent regulations. We apply this to population administrative firm panel data from France,...

By Aghion Philippe, Bergeaud Antonin, Van Reenen John
  • Published on 01/29/2021
  • 78 pages
  • EN
  • PDF (2.11 MB)

January

Publication Working Paper Series no. 803:
Heterogeneous Policy Distortions and the Labor Share

I develop an extension of the neoclassical growth model in which firms are heterogeneous both in terms of labor share and productivity. In this model, distortions in the allocation of resources across firms can impact the labor share of national income...

By Smagghue Gabriel
  • Published on 01/26/2021
  • 40 pages
  • EN
  • PDF (2.4 MB)

January

Publication Working Paper Series no. 802:
Do Words Hurt More Than Actions? The Impact of Trade Tensions on Financial Markets

In this paper, we apply textual analysis and machine learning algorithms to construct an index capturing trade tensions between US and China. Our indicator matches well-known events in the US-China trade dispute and is exogenous to the developments on...

By Ferrari Massimo, Kurcz Frederik, Pagliari Maria Sole
  • Published on 01/25/2021
  • 42 pages
  • EN
  • PDF (4.13 MB)

January

Publication Working Paper Series no. 801:
Aggregate Implications of Credit Relationship Flows: a Tale of Two Margins

This paper documents the aggregate properties of credit relationship flows within the commercial loan market in France from 1998 through 2018. Using detailed bank-firm level data from the French Credit Register, we show that banks actively and...

By Boualam Yasser, Mazet-Sonilhac Clément
  • Published on 01/15/2021
  • 77 pages
  • EN
  • PDF (2.98 MB)

January

Publication Working Paper Series no. 800:
Showing off cleaner hands: mandatory climate-related disclosure by financial institutions and the financing of fossil energy

We investigate the real effects of mandatory climate-related disclosure by financial institutions on the funding of carbon-intensive industries. Our impact metric is the amount invested into securities, bonds and stocks, issued by fossil fuel companies...

  • Published on 01/08/2021
  • 39 pages
  • EN
  • PDF (2.16 MB)

January

Publication Working Paper Series no. 799:
Fiscal Stimulus in Liquidity Traps: Conventional or Unconventional Policies?

Recent influential work argue that a gradual increase in sales tax stimulates economic activity in a liquidity trap by boosting inflation expectations. Higher public infrastructure investment should also be more expansive in a liquidity trap than in...

By Lemoine Matthieu, Lindé Jesper
  • Published on 01/06/2021
  • 67 pages
  • EN
  • PDF (850.63 KB)

January

Publication Working Paper Series no. 798:
Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission

We propose a novel approach to quantify spillovers on financial markets based on a structural version of the Diebold-Yilmaz framework. Key to our approach is a SVAR-GARCH model that is statistically identified by heteroskedasticity, economically...

By Boeckelmann Lukas, Stalla-Bourdillon Arthur
  • Published on 01/05/2021
  • 61 pages
  • EN
  • PDF (2.07 MB)