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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.

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December

Publication Working Paper Series no. 659:
Unconventional Monetary Policy and Bank Lending Relationships

How to support private lending to firms in recessions is a major open question. This paper uses an unexpected change in the collateral framework of the European Central Bank that reduced the cost of funding loans to a subset of firms in France in 2012,...

By Cahn Christophe, Duquerroy Anne, Mullins William
  • Published on 12/29/2017
  • 77 pages
  • EN
  • PDF (2.48 MB)
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December

Publication Working Paper Series no. 658:
Misallocation Before, During and After the Great Recession

This paper assesses resource misallocation dynamics and its impact on aggregate TFP in the French manufacturing sector between 1990 and 2015. I provide an exact decomposition of allocational inefficiency into three components: labor misallocation,...

By Libert Thibault
  • Published on 12/29/2017
  • EN
  • PDF (1.86 MB)
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December

Publication Working Paper Series no. 657:
Firm Size and the Intensive Margin of Import Demand

We use French microdata to test an ubiquitous property of firm-based models of importing. When firm efficiency is factor neutral and input prices and qualities are common across firms, firm size should have no effect on expenditure shares on the...

By Blaum Joaquin, Lelarge Claire, Peters Michael
  • Published on 12/27/2017
  • 45 pages
  • EN
  • PDF (2.27 MB)
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December

Publication Working Paper Series no. 656:
A Kinked-Demand Theory of Price Rigidity

I provide a microfounded theory for one of the oldest, but so far informal, explanations of price rigidity: the kinked demand curve theory. Assuming that some customers observe at no cost only the price of the store they happen to be at gives rise to a...

By Dupraz Stéphane
  • Published on 12/20/2017
  • 60 pages
  • EN
  • PDF (2.29 MB)
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December

Publication Working Paper Series no. 655:
Inflation Targeting as a Shock Absorber

We study the characteristics of inflation targeting as a shock absorber in response to large shocks in the form of natural disasters for a sample of 76 countries over the period 1970-2015. We find that inflation targeting improves macroeconomic...

By Fratzscher Marcel, Grosse Steffen Christoph, Rieth Malte
  • Published on 12/12/2017
  • 60 pages
  • EN
  • PDF (2.71 MB)
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December

Publication Working Paper Series no. 654:
SMEs’ financing: Divergence across Euro area countries?

This paper studies the divergence/convergence process of European countries as regard the financing behavior of small and medium sized enterprises. Using a firm level and country representative survey, we construct country-time indicators of SMEs’ use...

By Roux Sébastien, Savignac Frédérique
  • Published on 12/12/2017
  • 47 pages
  • EN
  • PDF (3.07 MB)
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December

Publication Working Paper Series no. 653:
Price Dispersion, Private Uncertainty, and Endogenous Nominal Rigidities

This paper shows that when agents learn from prices, large private uncertainty may result from a small amount of heterogeneity. As in a Phelps-Lucas island model, final producers look at the prices of their local inputs to infer aggregate conditions....

By Gaballo Gaetano
  • Published on 12/12/2017
  • EN
  • PDF (3.15 MB)
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November

Publication Working Paper Series no. 652:
Eurosystem’s asset purchases and money market rates

Some Euro area money market rates have been standing below the deposit facility rate since 2015, which coincided with the start of the Eurosystem’s public sector purchase program (PSPP). In this paper, we explore empirically the interactions between...

By Arrata William, Nguyen Benoît, Rahmouni-Rousseau Imène, Vari Miklos
  • Published on 11/24/2017
  • 43 pages
  • EN
  • PDF (2.86 MB)
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November

Publication Working Paper Series no. 651:
A Quantitative Easing Experiment

This paper presents experimental evidence that quantitative easing can be effective in raising bond prices even if bonds and cash are perfect substitutes and the path of interest rates is fixed. Despite knowing the fundamental value of bonds,...

By Penalver Adrian, Akiyama Eizo, Hanaki Nobuyuki, Funaki Yukihiko, Ishikawa Ryuichiro
  • Published on 11/23/2017
  • 36 pages
  • EN
  • PDF (2.61 MB)
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November

Publication Working Paper Series no. 650:
Why are inflation forecasts sticky? Theory and application to France and Germany

This paper proposes a theoretical model of forecasts formation which implies that in presence of information observation and forecasts communication costs, rational professional forecasters might find it optimal not to revise their forecasts...

By Bec Frédérique, Jardet Caroline, Boucekkine Raouf
  • Published on 11/23/2017
  • 28 pages
  • EN
  • PDF (1.99 MB)
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November

Publication Working Paper Series no. 649:
Missing Growth from Creative Destruction

Statistical agencies typically impute inflation for disappearing products based on surviving products, which may result in overstated inflation and understated growth. Using U.S. Census data, we apply two ways of assessing the magnitude of “missing...

By Aghion Philippe, Bergeaud Antonin, Boppart Timo, Klenow Peter, Li Huiyu
  • Published on 11/22/2017
  • 42 pages
  • EN
  • PDF (2.05 MB)
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October

Publication Working Paper Series no. 648:
An analytical framework to calibrate macroprudential policy

This project presents the analytical framework for macroprudential policy (AFMaP) developed at the Financial Stability Directorate of the Banque de France that could be used to calibrate macroprudential instruments and to provide analytical support to...

By Bennani Taryk, Couaillier Cyril, Devulder Antoine, Gabrieli Silvia, Idier Julien, Lopez Pierlauro, Thibaut Piquard, Scalone Valerio
  • Published on 10/26/2017
  • 86 pages
  • EN
  • PDF (3.16 MB)
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October

Publication Working Paper Series no. 647:
Beneath the Gold Points: European Financial Market Integration, 1844-1870

We measure the degree of financial integration among the top five financial centers of mid-19th-century Europe by applying threshold-regression analysis to a new database of exchange rates and bullion prices. We find that, instead of London, Hamburg,...

By Bignon Vincent, Chen Jinzhao, Ugolini Stefano
  • Published on 10/23/2017
  • EN
  • PDF (2.96 MB)
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October

Publication Working Paper Series no. 646:
Corporate Debt Structure and Economic Recoveries

This paper analyzes the business cycle behavior of the corporate debt structure and its interaction with economic recovery. The debt structure is measured as the share of bonds in the total credit to non-financial corporations for a quarterly panel of...

By Grjebine Thomas, Szczerbowicz Urszula, Tripier Fabien
  • Published on 10/18/2017
  • 59 pages
  • EN
  • PDF (2.14 MB)
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September

Publication Working Paper Series no. 645:
Common Factors of Commodity Prices

In this paper we extract latent factors from a large cross-section of commodity prices, including fuel and non-fuel commodities. We decompose each commodity price series into a global (or common) component, block-specific components and a purely...

By Delle Chiaie Simona, Ferrara Laurent, Giannone Domenico
  • Published on 09/26/2017
  • 40 pages
  • EN
  • PDF (2.46 MB)
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September

Publication Working Paper Series no. 644:
Entrepreneurship and Information on Past Failures: A Natural Experiment

We analyze how public information on past entrepreneurial failure affects entrepreneurs’ ability to borrow. We exploit a policy shock from 2013 in France, which eliminated a highly salient public reporting to banks of managers involved in non...

By Cahn Christophe, Girotti Mattia, Landier Augustin
  • Published on 09/26/2017
  • 52 pages
  • EN
  • PDF (2.31 MB)
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September

Publication Working Paper Series no. 643:
Time-varying fiscal spending multipliers in the UK

We study government spending multipliers of the UK economy using a time-varying parameter factor augmented vector autoregressive model (TVP-FAVAR) over the period 1966:Q1-2015:Q4. We show that government spending multipliers vary over time and that...

By Glocker Christian, Sestieri Giulia, Towbin Pascal
  • Published on 09/26/2017
  • EN
  • PDF (2.21 MB)
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September

Publication Working Paper Series no. 642:
Monetary Policy and Digital Currencies: Much Ado about Nothing?

In spite of a still very low volume at the global level, in comparison with the main reserve currencies, digital currencies attract a lot of attention. The paper reminds that it is above all the exchange mechanism incorporated in digital currencies ...

By Pfister Christian
  • Published on 09/14/2017
  • 17 pages
  • EN
  • PDF (1.81 MB)
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September

Publication Working Paper Series no. 641:
Adjustment Costs and Factor Demand: New Evidence From Firms’ Real Estate

Adjustment costs impair the optimal allocation of production factor across firms. In this paper, we use the cost associated with corporate relocation to explore the effect of the adjustment costs of the premises size on factor demand. We rely on the...

By Bergeaud Antonin, Ray Simon
  • Published on 09/13/2017
  • 66 pages
  • EN
  • PDF (3.2 MB)
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September

Publication Working Paper Series no. 640:
Asymmetric wage adjustment and employment in European firms

We explore the impact of wage adjustment on employment with a focus on the role of downward nominal wage rigidities. We use a harmonised survey dataset, which covers 25 European countries in the period 2010-2013. These data are particularly useful for...

By Marotzke Petra, Anderton Robert, Bairrao Ana, Berson Clémence, Tóth Peter
  • Published on 09/13/2017
  • EN
  • PDF (2.11 MB)
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September

Publication Working Paper Series no. 639:
U.S. Savings Banks' Demutualization and Depositor Welfare

Originally, U.S. savings banks were owned by their depositors. In recent decades, many savings banks have “demutualized”, by converting from customer to investor ownership. We examine the implications of such events for depositor welfare. We introduce...

By Girotti Mattia, Meade Richard
  • Published on 09/04/2017
  • FR
  • PDF (2.26 MB)
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August

Publication Working Paper Series no. 638:
The Failure of a Clearinghouse: Empirical Evidence

We provide the first detailed empirical analysis of the failure of a derivatives clearinghouse: the Caisse de Liquidation, which defaulted in Paris in 1974. Using archival data, we find three main causes of the failure: (i) a weak pool of investors, ...

By Bignon Vincent, Vuillemey Guillaume
  • Published on 08/23/2017
  • 68 pages
  • EN
  • PDF (3.92 MB)
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August

Publication Working Paper Series no. 637:
MAPI: Model for Analysis and Projection of Inflation in France

In this paper, we present the new model developed at Banque de France to forecast the Harmonized Index of Consumer Prices (HICP) and its components in France up to twelve quarters during the Eurosystem projection exercises. The model is a partial...

By Jardet Caroline, Ferrière Thomas
  • Published on 08/23/2017
  • 40 pages
  • FR
  • PDF (917.65 KB)
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August

Publication Working Paper Series no. 636:
The Interest of Being Eligible

Major central banks often accept pooled individual corporate loans as collateral in their refinancing operations with credit institutions. Such ''eligible'' loans to firms therefore provide a liquidity advantage to the banks that...

By Mésonnier Jean-Stéphane, O’Donnell Charles, Toutain Olivier
  • Published on 08/23/2017
  • 36 pages
  • EN
  • PDF (513.72 KB)
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August

Publication Working Paper Series no. 635:
Communication Costs and the Internal Organization of Multi-Plant Businesses: Evidence from the Impact of the French High-Speed Rail

We document the impact of travel time between headquarters and affiliates of geographically dispersed corporate groups on the management of such business organizations. Theory suggests that the easier circulation of managers might facilitate the...

By Charnoz Pauline, Lelarge Claire, Trevien Corentin
  • Published on 08/18/2017
  • 59 pages
  • EN
  • PDF (5.71 MB)
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July

Publication Working Paper Series no. 634:
Should euro area countries cut taxes on labour or capital in order to boost their growth?

The large imbalances within euro area have led to renew interest in tax policies that could reduce labour costs and thus improve competitiveness and growth. In this paper, we consider whether it would be more growth-enhancing for euro area countries to...

By Castelletti-Font Barbara, Clerc Pierrick, Lemoine Matthieu
  • Published on 07/10/2017
  • EN
  • PDF (1.32 MB)
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July

Publication Working Paper Series no. 633:
Accounting for Wealth Inequality Dynamics: Methods, Estimates and Simulations for France (1800-2014)

This paper combines different sources and methods (income tax data, inheritance registers, national accounts, wealth surveys) in order to deliver consistent, unified wealth distribution series for France over the 1800-2014 period. We find a large...

By Garbinti Bertrand, Goupille-Lebret Jonathan, Piketty Thomas
  • Published on 07/03/2017
  • EN
  • PDF (4.19 MB)
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June

Publication Working Paper Series no. 632:
The Determinants of Consumer Price Dispersion: Evidence from French Supermarkets

We characterize the dispersion of grocery prices in France based on a large original data set of prices in more than 1500 supermarkets. On average across products, the 90th percentile of relative prices is 17 percentage points higher than the 10th and...

By Berardi Nicoletta, Sevestre Patrick, Thébault Jonathan
  • Published on 06/23/2017
  • 26 pages
  • EN
  • PDF (2.69 MB)
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June

Publication Working Paper Series no. 631:
Illiquid Collateral and Bank Lending during the European Sovereign Debt Crisis

We assess the effect of accepting illiquid assets as collateral at the central bank on banks’ lending activity. We study the lending activity of the 177 largest banks in the Euro area between 2011m1 and 2014m12 and the composition of their pool of...

By Barthélemy Jean, Bignon Vincent, Nguyen Benoît
  • Published on 06/02/2017
  • 30 pages
  • EN
  • PDF (2.35 MB)
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May

Publication Working Paper Series no. 630:
Why Have Interest Rates Fallen far Below the Return on Capital

Risk-free rates have been falling since the 1980s. The return on capital, defined here as the profits over the stock of capital, has not. We analyze these trends in a calibrated OLG model designed to encompass many of the "usual suspects"...

By Marx Magali, Mojon Benoït
  • Published on 05/19/2017
  • 29 pages
  • EN
  • PDF (1.85 MB)
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May

Publication Working Paper Series no. 629:
Brands in Motion: How frictions shape multinational production

We use disaggregated data on car assembly and trade to estimate a model of multinational production. Our framework delineates four theory-based specifications under which all frictions relevant to multinational production can be structurally estimated....

By Head Keith, Mayer Thierry
  • Published on 05/05/2017
  • 70 pages
  • EN
  • PDF (3.82 MB)
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April

Publication Working Paper Series no. 628:
Competition for Global Value Added: Export and Domestic Market Shares

We propose a new “global” market share indicator that complements the traditional export market share analysis by accounting for the foreign value added embodied in the production process and for the performance of national firms on their domestic...

By Cezar Rafaël, Duguet Adrien, Gaulier Guillaume, Vicard Vincent
  • Published on 04/28/2017
  • EN
  • PDF (1.95 MB)
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April

Publication Working Paper Series no. 627:
Monetary and Fiscal Policy in England during the French Wars (1793-1821)

The French Wars (1793-1815) exerted unprecedented pressures on Britain's fiscal and monetary policy settings. Policy makers had to constantly adjust the policy mix as events unfolded. This meant implementing monetary and fiscal policy innovations,...

By Antipa Pamfili, Chamley Christophe
  • Published on 04/27/2017
  • 43 pages
  • EN
  • PDF (2.4 MB)
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April

Publication Working Paper Series no. 626:
Real estate prices and corporate investment: Theory and evidence of heterogeneous effects across firms
By Fougère Denis, Lecat Rémy, Ray Simon
  • Published on 04/21/2017
  • 43 pages
  • EN
  • PDF (2.33 MB)
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April

Publication Working Paper Series no. 625:
Can Fiscal Budget-Neutral Reforms Stimulate Growth? Model-Based Results
By Bussière Matthieu, Ferrara Laurent, Siena Daniele, Juillard Michel
  • Published on 04/14/2017
  • 35 pages
  • EN
  • PDF (493.62 KB)
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March

Publication Working Paper Series no. 624:
To What Extent Can Long-Term Investment in Infrastructure Reduce Inequality?
By Hooper Emma, Sanjay Peters, Pintus Patrick
  • Published on 03/27/2017
  • EN
  • PDF (2.96 MB)
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March

Publication Working Paper Series no. 623:
Price impact of bond supply shocks: Evidence from the Eurosystem's asset purchase program
By Arrata William, Nguyen Benoît
  • Published on 03/09/2017
  • 45 pages
  • EN
  • PDF (917.15 KB)
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February

Publication Working Paper Series no. 622:
The Joint Dynamics of U.S. and Euro-area Inflation Rates: Expectations and Time-varying Uncertainty
By Grishchenko Olesya, Mouabbi Sarah, Renne Jean-Paul
  • Published on 02/22/2017
  • FR
  • PDF (966.08 KB)
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January

Publication Working Paper Series no. 621:
Pandemic crises in financial systems: a simulation-model to complement stress-testing frameworks.
By Idier Julien, Thibaut Piquard
  • Published on 01/26/2017
  • 41 pages
  • EN
  • PDF (2.99 MB)
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January

Publication Working Paper Series no. 620:
Insight from a Time-Varying VAR Model with Stochastic Volatility of the French Housing and Credit Markets
By Avouyi-Dovi Sanvi, Labonne Claire, Lecat Rémy, Ray Simon
  • Published on 01/25/2017
  • 37 pages
  • EN
  • PDF (2.72 MB)
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January

Publication Working Paper Series no. 619:
Subjective Interest Rate Uncertainty and the Macroeconomy: A Cross-country Analysis
By Mouabbi Sarah, Istrefi Klodiana
  • Published on 01/23/2017
  • EN
  • PDF (1004.41 KB)
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January

Publication Working Paper Series no. 618:
Economic Crises and the Eligibility for the Lender of Last Resort: Evidence from 19th century France
By Bignon Vincent, Jobst Clemens
  • Published on 01/11/2017
  • 51 pages
  • EN
  • PDF (824.04 KB)
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January

Publication Working Paper Series no. 617:
Long-term growth and productivity projections in advanced countries
By Ly-Marin Carole, Lecat Rémy
  • Published on 01/02/2017
  • 29 pages
  • EN
  • PDF (1.39 MB)
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