You are here

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.

Share links

December

Publication Working Paper Series no. 745:
Population Ageing and the Macroeconomy

We quantify the impact of demographic change on real interest rates, house prices and household debt in an overlapping-generations model. Falling birth and death rates across advanced economies can explain much of the observed fall in real interest...

By Lisack Noëmie, Sajedi Rana, Thwaites Gregory
  • Published on 12/27/2019
  • 53 pages
  • EN
  • PDF (6.1 MB)
Read

December

Publication Working Paper Series no. 744:
The Global Financial Cycle and US Monetary Policy in an Interconnected World

We assess the international spillovers of US monetary policy with a large-scale global VAR which models the world economy as a network of interdependent countries. An expansionary US monetary policy shock contributes to the emergence of a Global...

By Dees Stéphane, Galesi Alessandro
  • Published on 12/16/2019
  • 42 pages
  • EN
  • PDF (5.57 MB)
Read

November

Publication Working Paper Series no. 743:
Banks' climate commitments and credit to brown industries: new evidence for France

In this paper, I investigate whether and how banks align green words with deeds in terms of credit allocation across more or less carbon-intensive industries in France. I use a rich dataset of bank credit exposures across some fifty industries and two...

By Mésonnier Jean-Stéphane
  • Published on 11/29/2019
  • 36 pages
  • EN
  • PDF (625.34 KB)
Read

November

Publication Working Paper Series no. 742:
Fiscal and Monetary Regimes: A Strategic Approach

This paper develops a full-fledged strategic analysis of Wallace's “game of chicken”. A public sector facing legacy nominal liabilities is comprised of fiscal and monetary authorities that respectively set the primary surplus and the price level...

By Barthélemy Jean, Plantin Guillaume
  • Published on 11/29/2019
  • 59 pages
  • EN
  • PDF (2.37 MB)
Read

November

Publication Working Paper Series no. 741:
Technology-Induced Trade Shocks? Evidence from Broadband Expansion in France

In this paper, we document the presence of “technology-induced” trade in France between 1997 and 2007 and assess its impact on consumer welfare. We use the staggered roll-out of broadband internet to estimate its causal effect on the importing behavior...

By Malgouyres Clément, Mayer Thierry, Mazet-Sonilhac Clément
  • Published on 11/27/2019
  • 61 pages
  • FR
  • PDF (2.84 MB)
Read

November

Publication Working Paper Series no. 740:
A Theory of Falling Growth and Rising Rents

Growth has fallen in the U.S., while firm concentration and profits have risen. Meanwhile, labor’s share of national income is down, mostly due to the rising market share of low labor share firms. We propose a theory for these trends in which the...

By Aghion Philippe, Bergeaud Antonin, Boppart Timo, Klenow Peter, Li Huiyu
  • Published on 11/22/2019
  • EN
  • PDF (8.2 MB)
Read

November

Publication Working Paper Series no. 739:
The Innovation Premium to Soft Skills in Low-Skilled Occupations

Matched employee-employer data from the UK are used to analyze the wage premium to working in an innovative firm. We find that firms that are more R&D intensive pay higher wages on average, and this is particularly true for workers in some low...

By Aghion Philippe, Bergeaud Antonin, Blundell Richard, Griffith Rachel
  • Published on 11/15/2019
  • 66 pages
  • EN
  • PDF (2.59 MB)
Read

November

Publication Working Paper Series no. 738:
Pensions and Household Savings: Cross-Country Heterogeneity in Europe

We address the question of whether the heterogeneity in savings is partly due to differences in pension wealth across individuals and across countries, using a European harmonised wealth survey (HFCS) combined with estimates of pension wealth (OECD)....

By D'Addio Anna, Roger Muriel, Savignac Frédérique
  • Published on 11/08/2019
  • 56 pages
  • FR
  • PDF (2.77 MB)
Read

November

Publication Working Paper Series no. 737:
Information Technology and Returns to Scale

This paper investigates the role of IT in shaping recent trends in market concentration, factor income shares, and market competition. Relying on a novel dataset on hardware and software investments in the universe of French firms, we document a robust...

By Lashkari Danial, Bauer Arthur, Boussard Jocelyn
  • Published on 11/07/2019
  • 85 pages
  • EN
  • PDF (2.73 MB)
Read

October

Publication Working Paper Series no. 736:
The FR-BDF Model and an Assessment of Monetary Policy Transmission in France

This paper presents the new model for France of the Banque de France (FR-BDF), as well as its key implications for the analysis of monetary policy transmission in France. Relative to our former model, this new semi-structural model has been improved...

By Lemoine Matthieu, Turunen Harri, Chahad Mohammed, Lepetit Antoine, Zhutova Anastasia, Aldama Pierre, Clerc Pierrick, Laffargue Jean-Pierre
  • Published on 10/31/2019
  • 141 pages
  • EN
  • PDF (2.78 MB)
Read

October

Publication Working Paper Series no. 735:
The Real Effects of Checks and Balances: Policy Uncertainty and Corporate Investment

This article explores the economic effects of checks and balances on corporate investment and employment. I use U.S. gubernatorial election results from 1978 to 2010 as a source of exogenous variation in whether the party controls both the executive...

By Duquerroy Anne
  • Published on 10/28/2019
  • 77 pages
  • EN
  • PDF (2.98 MB)
Read

October

Publication Working Paper Series no. 734:
The Circular Relationship Between Productivity Growth and Real Interest Rates

In most advanced economies, both real interest rates and productivity growth have decreased since the early 1990s. In this paper, we explore the mechanism whereby a circular relationship links these two quantities. While productivity is a key driver of...

By Bergeaud Antonin, Lecat Rémy
  • Published on 10/24/2019
  • 39 pages
  • EN
  • PDF (2.27 MB)
Read

October

Publication Working Paper Series no. 733:
Bayesian VAR Forecasts, Survey Information and Structural Change in the Euro Area

We incorporate external information extracted from the European Central Bank's Survey of Professional Forecasters into the predictions of a Bayesian VAR, using entropic tilting and soft conditioning. The resulting conditional forecasts...

By Ganics Gergely, Odendahl Florens
  • Published on 10/21/2019
  • 65 pages
  • EN
  • PDF (3.13 MB)
Read

October

Publication Working Paper Series no. 732:
Central Bank Digital Currency: One, Two or None?

This paper considers the motives, modalities, and possible consequences of central bank digital currency (CBDC) issuance. It starts by drawing a distinction between a wholesale CBDC (WCBDC), accessible only to financial intermediaries, and a retail...

By Pfister Christian
  • Published on 10/15/2019
  • 15 pages
  • EN
  • PDF (1.77 MB)
Read

October

Publication Working Paper Series no. 731:
How Do Short-term Financial Constraints Affect SMEs’ Long-Term Investment: Evidence from the Working Capital Channel

This paper investigates the real effects of short-term financial constraints in the light of the working capital channel: cash credit constraints may force SMEs to forgo investment opportunities in order to finance their working capital needs. Building...

By Nicolas Théo
  • Published on 10/10/2019
  • 53 pages
  • EN
  • PDF (2.18 MB)
Read

September

Publication Working Paper Series no. 730:
Secured and Unsecured Interbank Markets: Monetary Policy, Substitution and the Cost of Collateral

We study the substitution between secured and unsecured interbank markets. Banks are competitive and subject to reserve requirements in a corridor rate system with deposit and lending facilities. Banks face counterparty risk in the unsecured market and...

By Thibaut Piquard, Salakhova Dilyara
  • Published on 09/20/2019
  • 44 pages
  • EN
  • PDF (2.46 MB)
Read

September

Publication Working Paper Series no. 729:
No double standards: quantifying the impact of standard harmonization on trade

Product standards are omnipresent in industrialized societies. Though standardization can be beneficial for domestic producers, divergent product standards have been categorized as a major obstacle to international trade. This paper quantifies the...

By Schmidt Julia, Steingress Walter
  • Published on 09/05/2019
  • 68 pages
  • EN
  • PDF (2.33 MB)
Read

September

Publication Working Paper Series no. 728:
French Households’ Portfolio: The Financial Almost Ideal Demand System Appraisal

Over the last decades, the composition of financial wealth of French households has dramatically changed. We seek explanatory factors for these changes by estimating an extended version of Deaton and Muellbauer (1980) model applied to French households...

By Avouyi-Dovi Sanvi, Pfister Christian, Sédillot Franck
  • Published on 09/04/2019
  • 36 pages
  • EN
  • PDF (2.19 MB)
Read

September

Publication Working Paper Series no. 727:
Labor Shares in Some Advanced Economies

We study the joint impact of three measurement issues in the empirical literature on the labor share: (i) start and end periods for the empirical analysis; (ii) accounting for self-employment; and (iii) accounting for residential real estate income....

By Koehl Lorraine, Philippon Thomas
  • Published on 09/03/2019
  • EN
  • PDF (2.16 MB)
Read

August

Publication Working Paper Series no. 726:
Bayesian Inference for Markov-switching Skewed Autoregressive Models

We examine Markov-switching autoregressive models where the commonly used Gaussian assumption for disturbances is replaced with a skew-normal distribution. This allows us to detect regime changes not only in the mean and the variance of a specified...

By Lhuissier Stéphane
  • Published on 08/23/2019
  • 28 pages
  • EN
  • PDF (2.01 MB)
Read

August

Publication Working Paper Series no. 725:
In Fed Watchers’ Eyes: Hawks, Doves and Monetary Policy

I construct a novel measure of policy preferences of the Federal Open Market Committee (FOMC) as perceived in public. This measure is based on newspaper and financial media coverage of 130 FOMC members serving during 1960-2015. Narratives reveal that...

By Istrefi Klodiana
  • Published on 08/22/2019
  • 36 pages
  • EN
  • PDF (2.25 MB)
Read

July

Publication Working Paper Series no. 724:
ALIENOR, a Macrofinancial Model for Macroprudential Policy

ALIENOR is an econometric model built to provide macroeconomic scenarios and conduct macroprudential analysis, in particular for larger stress-test exercises. In the model design, we pay particular attention to the link between financial variables and...

By Couaillier Cyril, Ferrière Thomas, Scalone Valerio
  • Published on 07/18/2019
  • 35 pages
  • EN
  • PDF (2.92 MB)
Read

July

Publication Working Paper Series no. 723:
Professional Networks and their Coevolution with Executive Careers

This paper examines how networks of professional contacts contribute to the development of the careers of executives of North American and European companies. We build a dynamic model of career progression in which career moves may both depend upon...

By Berardi Nicoletta, Lalanne Marie, Seabright Paul
  • Published on 07/09/2019
  • 54 pages
  • EN
  • PDF (1.91 MB)
Read

June

Publication Working Paper Series no. 722:
Sovereign Default and Imperfect Tax Enforcement

We show that tax compliance is volatile and markedly responds to fiscal policy. To explore the consequence of this novel stylized fact, we build a model of sovereign debt with limited commitment and imperfect tax enforcement. Fiscal policy persistently...

By Pappadà Francesco, Zylberberg Yanos
  • Published on 06/06/2019
  • 48 pages
  • EN
  • PDF (2.59 MB)
Read

May

Publication Working Paper Series no. 721:
Informal Sector and Mobile Financial Services in Developing Countries: Does Financial Innovation Matter?

This paper investigates the impact of mobile financial services - MFS (mobile money, and mobile credit and savings) on the informal sector. Using both parametric and non-parametric methods on panel data from 101 emerging and developing countries over...

By Jacolin Luc, Keneck Massil Joseph, Noah Alphonse
  • Published on 05/28/2019
  • EN
  • PDF (2.23 MB)
Read

May

Publication Working Paper Series no. 720:
Do Minimum Wages Make Wages More Rigid? Evidence from French Micro Data

How do minimum wages (MW) shape the aggregate wage dynamics when wage adjustment is lumpy? In this paper, we document new empirical findings on the effect of MW on wage rigidity using quarterly micro wage data matched with sectoral bargained MW. We...

By Gautier Erwan, Roux Sébastien, Suarez-Castillo Milena
  • Published on 05/23/2019
  • 84 pages
  • EN
  • PDF (2.42 MB)
Read

May

Publication Working Paper Series no. 719:
Financial Deepening, Terms of Trade Shocks and Growth in Low-Income Countries

This paper contributes to the literature by looking at the possible relevance of the structure of the financial system—whether financial intermediation is performed through banks or markets—for macroeconomic volatility, against the backdrop of...

By Kangni Kpodar, Le Goff Maëlan, Raju Jan Singh
  • Published on 05/15/2019
  • 36 pages
  • EN
  • PDF (2.25 MB)
Read

May

Publication Working Paper Series no. 718:
Estimating US Consumer Gains from Chinese Imports

We estimate the size of US consumer gains from Chinese imports during 2004-2015. Using barcode-level price and expenditure data, we construct inflation rates under CES preferences, and use Chinese exports to Europe as an instrument. We find significant...

By Bai Liang, Stumpner Sebastian
  • Published on 05/06/2019
  • 36 pages
  • EN
  • PDF (2.2 MB)
Read

April

Publication Working Paper Series no. 717:
When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage

Nowcasting GDP growth is extremely useful for policy-makers to assess macroeconomic conditions in real-time. In this paper, we aim at nowcasting euro area GDP with a large database of Google search data. Our objective is to check whether this specific...

By Ferrara Laurent, Simoni Anna
  • Published on 04/11/2019
  • EN
  • PDF (2.39 MB)
Read

April

Publication Working Paper Series no. 716:
How do lenders price energy efficiency? Evidence from personal consumption loans

At least ex ante, energy efficiency improvements increase investor’s solvency. Associated loans should therefore carry lower interest rates than do otherwise conventional loans. We test this hypothesis using unique weekly panel data on posted interest...

By Giraudet Louis-Gaëtan, Petronevich Anna, Faucheux Laurent
  • Published on 04/01/2019
  • 31 pages
  • EN
  • PDF (2.25 MB)
Read

March

Publication Working Paper Series no. 715:
Are global value chains receding? The jury is still out. Key findings from the analysis of deflated world trade in parts and components

In this article, we examine the dynamics of Global Value Chains (GVCs) since the 2000s. Did it show a marked expansion up to the Great Recession and did GVCs begin a downturn in the 2010s? To better understand the evolution of GVCs at the world level,...

By Gaulier Guillaume, Sztulman Aude, Ünal Deniz
  • Published on 03/22/2019
  • EN
  • PDF (3.6 MB)
Read

March

Publication Working Paper Series no. 714:
Regime-Dependent Effects of Uncertainty Shocks: A Structural Interpretation

Using a Markov-switching VAR, we show that the effects of uncertainty shocks on output are four times higher in a regime of economic distress than in a tranquil regime. We then provide a structural interpretation of these facts. To do so, we develop a...

By Lhuissier Stéphane, Tripier Fabien
  • Published on 03/18/2019
  • 39 pages
  • EN
  • PDF (2.06 MB)
Read

March

Publication Working Paper Series no. 713:
Bayesian MIDAS penalized regressions: estimation, selection, and prediction

We propose a new approach to mixed-frequency regressions in a high-dimensional environment that resorts to Group Lasso penalization and Bayesian techniques for estimation and inference. To improve the sparse recovery ability of the model, we also...

By Mogliani Matteo
  • Published on 03/15/2019
  • 36 pages
  • EN
  • PDF (2.4 MB)
Read

March

Publication Working Paper Series no. 712:
The Cost of Banking Crises: Does the Policy Framework Matter?

This paper empirically investigates how the stringency of macroeconomic policy frameworks impacts the unconditional cost of banking crises. We consider monetary, fiscal and exchange rate policies. A restrictive policy framework may promote stronger...

By Levieuge Grégory, Lucotte Yannick, Pradines-Jobet Florian
  • Published on 03/13/2019
  • 46 pages
  • EN
  • PDF (2.45 MB)
Read

March

Publication Working Paper Series no. 711:
Rising inequalities in access to home ownership among young households in France, 1973-2013

Amongst young households (ages 25 to 44), inequalities in first-time home-ownership and in the amount of acquired real estate assets have increased between the most modest and the most affluent groups over the past forty years. According to Insee’s...

By Bonnet Carole, Garbinti Bertrand, Grobon Sébastien
  • Published on 03/11/2019
  • 38 pages
  • EN
  • PDF (3.48 MB)
Read

March

Publication Working Paper Series no. 710:
Investment and the WACC: new micro evidence for France

We exploit a new dataset of consolidated balance sheets for some 1,850, mostly nonlisted, French corporate groups, in order to investigate the relationship between corporate investment and the cost of capital. Our empirical model is motivated by a...

By Carluccio Juan, Mazet-Sonilhac Clément, Mésonnier Jean-Stéphane
  • Published on 03/05/2019
  • 28 pages
  • EN
  • PDF (3.78 MB)
Read

February

Publication Working Paper Series no. 709:
Digital vulnerability and performance of firms in developing countries

This paper provides evidence of the positive effects of email use on firm performance. Using a pseudo-panel from repeated cross-sections of more than 30,000 firms, surveyed between 2006 and 2014 in some 40 developing and transition economies, we adopt...

By Cariolle Joël, Le Goff Maëlan, Santoni Olivier
  • Published on 02/25/2019
  • EN
  • PDF (3.03 MB)
Read

February

Publication Working Paper Series no. 708:
Evaluating the macroeconomic effects of the ECB’s unconventional monetary policies

We quantify the macroeconomic effects of the European Central Bank’s unconventional monetary policies using a DSGE model which includes a set of shadow interest rates. Extracted from the yield curve, these shadow rates provide unconstrained measures of...

By Mouabbi Sarah, Sahuc Jean-Guillaume
  • Published on 02/20/2019
  • 32 pages
  • EN
  • PDF (2.31 MB)
Read

January

Publication Working Paper Series no. 707:
On the Retirement Effect of Inheritance: Heterogeneity and the Role of Risk Aversion

This paper provides new insights on the effect of inheritance receipt on retirement. We build on lifelong information on inheritances received and labor market transitions available for respondents of the French Wealth Survey. This feature allows us to...

By Garbinti Bertrand, Georges-Kot Simon
  • Published on 01/22/2019
  • EN
  • PDF (3.22 MB)
Read

January

Publication Working Paper Series no. 706:
Price effect of mutual fund flows on the corporate bond market. The French case

We study how investors' withdrawals from mutual funds may affect the French corporate bond market. We use monthly data on flows to the French bond and mixed mutual funds as well as a database on their bond holdings at the bond-level from 2011 to...

By Coudert Virginie, Salakhova Dilyara
  • Published on 01/15/2019
  • 29 pages
  • EN
  • PDF (2.12 MB)
Read