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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.


Publication Working Paper Series no. 872:
Responsibility for Emissions: the Case of the Swiss National Bank’s Foreign Exchange Reserves and the Norwegian Oil Fund

Should public investors take responsibility for the greenhouse gas emissions of the firms that they invest in? This paper answers this question through a comparative study of two very different investors: the Swiss National Bank (SNB)’s foreign...

By Naef Alain, Klooster Jens van ’t
  • Published on 05/06/2022
  • 40 pages
  • EN
  • PDF (1.16 MB)


Publication Working Paper Series no. 871:
When Could Macroprudential and Monetary Policies Be in Conflict?

This paper aims to provide a comprehensive analysis of the potential conflicts between macroprudential and monetary policies within a DGSE model with financial frictions. The identification of conflicts is conditional on different types of shocks,...

By Revelo José García, Levieuge Grégory
  • Published on 04/07/2022
  • 36 pages
  • EN
  • PDF (1.59 MB)


Publication Working Paper Series no. 870:
The Currency Channel of the Global Bank Leverage Cycle

The amplitude of leverage procyclicality is heterogeneous across banks and across countries. This paper introduces international diversification of bank balance sheet as a factor of this observed heterogeneity, with a special emphasis on currency...

  • Published on 04/04/2022
  • 50 pages
  • EN
  • PDF (857.77 KB)


Publication Working Paper Series no. 869:
Forecasting Inflation in France: an Update of MAPI

In this paper, we present an updated version of the reference model used at Banque de France to forecast inflation: MAPI (Model for Analysis and Projection of Inflation). While the conceptual framework of the model remains very close to its initial...

By Ulgazi Youssef, Vertier Paul
  • Published on 03/31/2022
  • 33 pages
  • EN
  • PDF (1.82 MB)


Publication Working Paper Series no. 868:
On the Choice of Central Counterparties in the EU

New regulations promote the role of Central Counter-Parties (CCPs) as insurers of counterparty risk to stabilize derivative markets. Focusing on the demand side, we investigate how pairs of dealers choose the CCP on which they clear a given...

By Demange Gabrielle, Thibaut Piquard
  • Published on 03/07/2022
  • 43 pages
  • EN
  • PDF (691.07 KB)


Publication Working Paper Series no. 867:
Trade Under Lockdown

To curb the effect of the Covid-19 pandemic on public health, many countries around the world introduced lockdown policies in 2020. We estimate the effect of these lockdowns on international trade flows, using a rich dataset of monthly bilateral...

By Berthou Antoine, Stumpner Sebastian
  • Published on 02/15/2022
  • 43 pages
  • FR
  • PDF (2.11 MB)


Publication Working Paper Series no. 866:
The Economic Impact of Deepening Trade Agreements

This paper explores the economic impacts of preferential trade agreements, conditional on their level of ambition. We cluster 278 agreements, encompassing 910 provisions over 18 policy areas and estimate the trade elasticity for the different clusters....

By Fontagné Lionel, Rocha Nadia, Ruta Michele, Gianluca Santoni
  • Published on 02/14/2022
  • 33 pages
  • EN
  • PDF (3.42 MB)


Publication Working Paper Series no. 865:
Bank Local Specialization

Using micro-data on bank-SME relationships in France, we show that banks specialize locally by industry and that this specialization shapes the equilibrium amount of lending. We use the reallocation of firms’ accounts from closed branches to nearby...

By Duquerroy Anne, Mazet-Sonilhac Clément, Mésonnier Jean-Stéphane, Paravisini Daniel
  • Published on 02/11/2022
  • 57 pages
  • EN
  • PDF (4.6 MB)


Publication Working Paper Series no. 864:
Assessing the Impact of Basel III: Evidence from Structural Macroeconomic Models

This paper reviews the different channels of transmission of prudential policy highlighted in the literature and provides a quantitative assessment of the impact of Basel III reforms using “off-the-shelf” DSGE models. It shows that the effects of...

By De Bandt Olivier, Bora Durdu, Hibiki Ichue, Mimir Yasin, Jolan Mohimont, Nikolov Kalin, Sigrid Roehrs, Sahuc Jean-Guillaume, Scalone Valerio, Michael Straughan
  • Published on 02/01/2022
  • 38 pages
  • EN
  • PDF (4.35 MB)


Publication Working Paper Series no. 863:
Financial Conditions and Macroeconomic Downside Risks in the Euro Area

Motivated by empirically characterizing the relationship between financial conditions and downside macroeconomic risks in the euro area, I develop a regime-switching skew-normal model with time-varying probabilities of transitions. Using Bayesian...

  • Published on 01/25/2022
  • 52 pages
  • EN
  • PDF (2.44 MB)


Publication Working Paper Series no. 862:
Make-up Strategies with Finite Planning Horizons but Forward-Looking Asset Prices

How effective make-up strategies are depends heavily on how forward-looking agents are. Workhorse monetary models, which are much forward-looking, find them so effective that they run into the so-called “forward-guidance puzzle”. Models that discount...

  • Published on 01/21/2022
  • 50 pages
  • EN
  • PDF (2.36 MB)


Publication Working Paper Series no. 861:
How do Gasoline Prices Respond to a Cost Shock ?

Using several millions of daily prices collected over the period 2007-2018 in France, we investigate how gasoline retail prices respond to a common shock on marginal cost (i.e. the wholesale gasoline price quoted on the Rotterdam market). We find that...

By Gautier Erwan, Marx Magali, Vertier Paul
  • Published on 01/19/2022
  • 71 pages
  • EN
  • PDF (1.74 MB)