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.

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December

Publication Working Paper Series no. 527:

An arbitrage-free Nelson-Siegel term structure model with stochastic volatility for the determination of currency risk premia

By Mouabbi Sarah

Published on 12/01/2014
EN
PDF (446.82 KB)

Publication Working Paper Series no. 531:

A network view on interbank market freezes.

By Gabrieli Silvia, Georg Co-Pierre

Published on 12/01/2014
EN
PDF (518.87 KB)

Publication Working Paper Series no. 528:

Assessing the macroeconomic effects of LTROS

By Cahn Christophe, Matheron Julien, Sahuc Jean-Guillaume

Published on 12/01/2014
EN
PDF (455.82 KB)

Publication Working Paper Series no. 533:

Capital Regulation in a Macroeconomic Model with Three Layers of Default.

By Clerc Laurent, Derviz Alexis, Mendicino Caterina, Moyen Stephane, Nikolov Kalin, Stracca Livio, Suarez Javier, P. Vardoulakis Alexandros

Published on 12/01/2014
EN
PDF (586.61 KB)

Publication Working Paper Series no. 532:

Impact of research tax credit on R&D and innovation: evidence from the 2008 French reform.

By Bozio Antoine, Irac Delphine, Py Loriane

Published on 12/01/2014
EN
PDF (590.55 KB)

Publication Working Paper Series no. 529:

Implementing monetary policy in a fragmented monetary union

By Vari Miklos

Published on 12/01/2014
EN
PDF (685.41 KB)

Publication Working Paper Series no. 530:

Land Collateral and Labor Market Dynamics in France

By Kaas Leo, Pintus Patrick, Ray Simon

Published on 12/01/2014
EN
PDF (695.59 KB)

Publication Working Paper Series no. 526:

Trade networks and colonial trade spillovers

By Berthou Antoine, Ehrhart Hélène

Published on 12/01/2014
EN
PDF (602 KB)

November

Publication Working Paper Series no. 522:

Euro Area business cycles in turbulent times: convergence or decoupling?

By Ferroni Filippo, Klaus Benjamin

Published on 11/01/2014
EN
PDF (641.37 KB)

Publication Working Paper Series no. 524:

Fundamental disagreement

Published on 11/01/2014
EN
PDF (784.8 KB)

Publication Working Paper Series no. 523:

How do oil price forecast errors impact inflation forecast errors? An empirical analysis from French and US inflation forecasts

By Bec Frédérique, De Gaye Annabelle

Published on 11/01/2014
EN
PDF (606.32 KB)

Publication Working Paper Series no. 525:

How Fiscal Policy Affects the Price Level: Britain’s First Experience with Paper Money

Published on 11/01/2014
EN
PDF (2.23 MB)

Publication Working Paper Series no. 519:

Pre-crisis credit standards: monetary policy or the savings glut?

By Penalver Adrian

Published on 11/01/2014
EN
PDF (1.4 MB)

Publication Working Paper Series no. 521:

The Term Structure of the Welfare Cost of Uncertainty

By Lopez Pierlauro

Published on 11/01/2014
EN
PDF (504.82 KB)

Publication Working Paper Series no. 520:

Variable Selection in Predictive MIDAS Models

By Marsilli Clément

Published on 11/01/2014
EN
PDF (907.82 KB)

October

Publication Working Paper Series no. 511:

Economic Policy Uncertainty and Inflation Expectations

By Piloiu Anamaria, Istrefi Klodiana

Published on 10/01/2014
EN
PDF (1.39 MB)

Publication Working Paper Series no. 512:

Euro Area monetary policy shocks: impact on financial asset prices during the crisis?

By Jardet Caroline, Monks Allen

Published on 10/01/2014
EN
PDF (1.59 MB)

Publication Working Paper Series no. 513:

False News, Informational Efficiency, and Price Reversals

By Dugast Jérôme, Foucault Thierry

Published on 10/01/2014
EN
PDF (826.84 KB)

Publication Working Paper Series no. 517:

Fixed-Income Pricing in a Non-Linear Interest-Rate Model

By Renne Jean-Paul

Published on 10/01/2014
EN
PDF (863.52 KB)

Publication Working Paper Series no. 515:

Nowcasting global economic growth: A factor-augmented mixed-frequency approach

By Ferrara Laurent, Marsilli Clément

Published on 10/01/2014
EN
PDF (664.57 KB)

Publication Working Paper Series no. 518:

Options Embedded in ECB Targeted Refinancing Operations

By Renne Jean-Paul

Published on 10/01/2014
EN
PDF (546.15 KB)

Publication Working Paper Series no. 514:

Product and Labor Market Regulations, Production Prices, Wages and Productivity

By Lopez Jimmy, Mairesse Jacques

Published on 10/01/2014
EN
PDF (4.02 MB)

Publication Working Paper Series no. 509:

Sequential Coordination, Higher-Order Belief Dynamics and E-Stability Principle

By Gaballo Gaetano

Published on 10/01/2014
EN
PDF (319.62 KB)

Publication Working Paper Series no. 516:

Strategic fiscal revaluation or devaluation: why does the labor wedge matter?

By Langot François, Lemoine Matthieu

Published on 10/01/2014
EN
PDF (755.44 KB)

Publication Working Paper Series no. 510:

The Price of Stability. The balance sheet policy of the Banque de France and the Gold Standard (1880-1914).

By Bazot Guillaume, Bordo Michael, Monnet Eric

Published on 10/01/2014
EN
PDF (1.93 MB)

September

Publication Working Paper Series no. 508:

Fiscal Devaluation and Structural Gaps

By Langot François, Patureau Lise, Sopraseuth Thepthida

Published on 09/01/2014
EN
PDF (807.39 KB)

Publication Working Paper Series no. 507:

The Shimer puzzle(s) in a New Keynesian framework

By Pizzo Alessandra

Published on 09/01/2014
EN
PDF (1.14 MB)

August

Publication Working Paper Series no. 506:

Coin Assaying and Commodity Money

Published on 08/01/2014
EN
PDF (1.39 MB)

Publication Working Paper Series no. 505:

Financial fragility in small open economies: firm balance sheets and the sectoral structure

By Kalantzis Yannick

Published on 08/01/2014
EN
PDF (1 MB)

Publication Working Paper Series no. 504:

How do households allocate their assets? Stylised facts from the Eurosystem Household Finance and Consumption Survey

By Arrondel Luc, Bartiloro Laura, Fessler Pirmin, Lindner Peter, Mathä Thomas Y., Rampazzi Cristiana, Savignac Frédérique, Schmidt Tobias, Schürz Martin, Vermeulen Philip

Published on 08/01/2014
EN
PDF (724.03 KB)

Publication Working Paper Series no. 502:

International Bailouts: Why Did Banks' Collective Bet Lead Europe to Rescue Greece?

By Mengus Eric

Published on 08/01/2014
EN
PDF (647.38 KB)

Publication Working Paper Series no. 503:

Technological Standardization, Endogenous Productivity and Transitory Dynamics

By Baron Justus, Schmidt Julia

Published on 08/01/2014
EN
PDF (964.15 KB)

July

Publication Working Paper Series no. 499:

Bank Capital Adjustment Process and Aggregate Lending

By Duprey Thibaut, Lé Mathias

Published on 07/01/2014
EN
PDF (832.31 KB)

Publication Working Paper Series no. 496:

Financial Shocks and the Cyclical Behavior of Skilled and Unskilled Unemployment

By Lopez Jose Ignacio, Moppett Virginia Olivella

Published on 07/01/2014
EN
PDF (757.88 KB)

Publication Working Paper Series no. 500:

Retirement, Early Retirement and Disability: Explaining Labor Force Participation after 55 in France

By Behaghel Luc, Blanchet Didier, Roger Muriel

Published on 07/01/2014
EN
PDF (782.51 KB)

Publication Working Paper Series no. 501:

The European Monetary Union and Imbalances: Is it an Anticipation Story ?

By Siena Daniele

Published on 07/01/2014
EN
PDF (935.04 KB)

Publication Working Paper Series no. 498:

Trade, Wages, and Collective Bargaining: Evidence from France

By Carluccio Juan, Fougère Denis, Gautier Erwan

Published on 07/01/2014
EN
PDF (672.11 KB)

Publication Working Paper Series no. 497:

Wealth and Income in the Euro Area: Heterogeneity in Households’ Behaviours?

By Arrondel Luc, Roger Muriel, Savignac Frédérique

Published on 07/01/2014
EN
PDF (1.19 MB)

June

Publication Working Paper Series no. 494:

Determinants of OECD countries’ sovereign yields: safe havens, purgatory, and the damned

By Bortoli Clément, Harreau Louis, Pouvelle Cyril

Published on 06/01/2014
EN
PDF (867.13 KB)

Publication Working Paper Series no. 491:

Did the EBA Capital Exercise Cause a Credit Crunch in the Euro Area?

By Mésonnier Jean-Stéphane, Monks Allen

Published on 06/01/2014
EN
PDF (265.74 KB)

Publication Working Paper Series no. 488:

Foreign direct investment drivers and growth in Central and Eastern Europe in the aftermath of the 2007 global financial crisis

By Jimborean Ramona, Kelber Anna

Published on 06/01/2014
EN
PDF (355.61 KB)

Publication Working Paper Series no. 493:

Heterogeneity, Unemployment Benefits and Voluntary Labor Force Participation

By Devulder Antoine

Published on 06/01/2014
EN
PDF (591.42 KB)

Publication Working Paper Series no. 487:

Income Taxation, Transfers and Labour Supply at the Extensive Margin.

By Benczúr Péter, Kátay Gábor, Kiss Áron, Rácz Olivér M.

Published on 06/01/2014
EN
PDF (943.13 KB)

Publication Working Paper Series no. 489:

International Yield Curves and Principal Components Selection Techniques: An Empirical Assessment

By Pegoraro Fulvio, Siegel Andrew F., Tiozzo ‘Pezzoli’ Luca

Published on 06/01/2014
EN
PDF (1.02 MB)

Publication Working Paper Series no. 492:

Small and large price changes and the propagation of monetary shocks

By Alvarez Fernando, Le Bihan Hervé, Lippi Francesco

Published on 06/01/2014
EN
PDF (1.47 MB)

Publication Working Paper Series no. 490:

Specification Analysis of International Treasury Yield Curve Factors

By Pegoraro Fulvio, Siegel Andrew F., Tiozzo ‘Pezzoli’ Luca

Published on 06/01/2014
EN
PDF (1.13 MB)

Publication Working Paper Series no. 495:

The Effects of Information Asymmetries on the Ex-Post Success of Stock Option Listings

By Bernales Alejandro

Published on 06/01/2014
EN
PDF (712.6 KB)

May

Publication Working Paper Series no. 486:

A Quadratic Kalman Filter

By Monfort Alain, Renne Jean-Paul, Roussellet Guillaume

Published on 05/01/2014
EN
PDF (845 KB)

Publication Working Paper Series no. 485:

Shock Transmission through International Banks – Evidence from France

By Bussière Matthieu, Camara Boubacar, Castellani François-Daniel, Potier Vincent, Schmidt Julia

Published on 05/01/2014
EN
PDF (939.62 KB)

April

Publication Working Paper Series no. 482:

Credit Risk in the Euro area

We construct credit risk indicators for euro area banks and non-financial corporations. These are the average spreads on the yield of euro area private sector bonds relative to the yield on German federal government securities of matched maturities....

By Gilchrist Simon, Mojon Benoît

Published on 04/01/2014
EN
PDF (1008.42 KB)

Publication Working Paper Series no. 483:

Endogenous Derivative Networks

Published on 04/01/2014
EN
PDF (742.85 KB)

Publication Working Paper Series no. 484:

How do firms adjust production factors to the cycle?

By Lecat Rémy, Ould Ahmed Jiddou Ahmed

Published on 04/01/2014
EN
PDF (458.24 KB)

March

Publication Working Paper Series no. 478:

A stylized applied energy-economy model for France.

By Henriet Fanny, Maggiar Nicolas, Schubert Katheline

Published on 03/01/2014
EN
PDF (553.63 KB)

Publication Working Paper Series no. 481:

Credit Growth and Bank Capital Requirements: Binding or Not?

By Labonne Claire, Lamé Gildas

Published on 03/01/2014
EN
PDF (509.7 KB)

Publication Working Paper Series no. 480:

Honoring Sovereign Debt or Bailing Out Domestic Residents: A Theory of Internal Costs of Default

By Mengus Eric

Published on 03/01/2014
EN
PDF (512.68 KB)

Publication Working Paper Series no. 477:

Monitoring the European CDS Market through Networks: Implications for Contagion Risks

By Clerc Laurent, Gabrieli Silvia, Kern Steffen, El Omari Yanis

Published on 03/01/2014
EN
PDF (862.61 KB)

Publication Working Paper Series no. 479:

Shipment frequency of exporters and demand uncertainty

By Békès Gabor, Fontagné Lionel, Murakozy Balazs, Vicard Vincent

Published on 03/01/2014
EN
PDF (617.44 KB)

February

Publication Working Paper Series no. 476:

Does ICT remain a powerful engine of growth?

Published on 02/01/2014
EN
PDF (900.17 KB)

Publication Working Paper Series no. 475:

Productivity trends from 1890 to 2012 in advanced countries

By Bergeaud Antonin, Lecat Rémy

Published on 02/01/2014
EN
PDF (4.65 MB)

January

Publication Working Paper Series no. 473:

New estimate of the MIBA forecasting model. Modeling first-release GDP using the Banque de France's Monthly Business Survey and the “blocking” approach.

By Mogliani Matteo, Brunhes-Lesage Véronique, Pluyaud Bertrand

Published on 01/01/2014
EN
PDF (735.32 KB)

Publication Working Paper Series no. 474:

The efficiency of enterprise zone programs: some conflicting results?

By Mayneris Florian, Py Loriane

Published on 01/01/2014
EN
PDF (275.82 KB)

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