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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. 705:
Relationship lending and SMEs’ funding costs over the cycle: why diversification of borrowing matters

Using a unique panel design that enables to control for bank, firm, market and loan heterogeneities, we confirm that relationship lenders charge higher rates in good times and lower rates in bad times. However, we show that risky single-bank firms do...

By Béatriz Mikael, Coffinet Jérôme, Nicolas Théo
  • Published on 12/31/2018
  • 48 pages
  • EN
  • PDF (1.86 MB)
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December

Publication Working Paper Series no. 704:
Real Interest Rates and Productivity in Small Open Economies

In emerging market economies (EMEs), capital inflows are associated to productivity booms. However, the experience of advanced small open economies (AEs), like the ones of the Euro Area periphery, points to the opposite, i.e., capital inflows lead to...

By Monacelli Tommaso, Sala Luca, Siena Daniele
  • Published on 12/28/2018
  • 54 pages
  • FR
  • PDF (3.32 MB)
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December

Publication Working Paper Series no. 703:
Money and Capital in a Persistent Liquidity Trap

In this paper we analyze the implications of a persistent liquidity trap in a monetary model with asset scarcity. We show that a liquidity trap may lead to an increase in real cash holdings and be associated with a decline in output in the medium term....

By Bacchetta Philippe, Benhima Kenza, Kalantzis Yannick
  • Published on 12/17/2018
  • 34 pages
  • EN
  • PDF (2.33 MB)
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December

Publication Working Paper Series no. 702:
Risk-Adjusted Linearizations of Dynamic Equilibrium Models

We propose a simple risk-adjusted linear approximation to solve a large class of dynamic models with time-varying and non-Gaussian risk. Our approach generalizes lognormal affine approximations commonly used in the macro-finance literature and can be...

By Lopez Pierlauro, Lopez-Salido David, Vazquez-Grande Francisco
  • Published on 12/06/2018
  • 42 pages
  • EN
  • PDF (2.48 MB)
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November

Publication Working Paper Series no. 701:
Impact of the ECB Quantitative Easing on the French International Investment Position

This paper aims at estimating the impact of the recent Asset Purchase Programs implemented by the ECB - known as Quantitative easing (QE) - on external assets and liabilities recorded in one economy’s International Investment Position (IIP). Our...

By Cezar Rafaël, Silvestrini Maéva
  • Published on 11/23/2018
  • EN
  • PDF (2.35 MB)
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November

Publication Working Paper Series no. 700:
Monetary Rules, Determinacy and Limited Enforcement

This paper investigates the ability of monetary policy rules to coordinate private agents' expectations when the enforcement of rules is limited. We show that limited enforcement precludes diverging inflation paths ensuring that nominal variables...

By Barthélemy Jean, Mengus Eric
  • Published on 11/21/2018
  • 48 pages
  • EN
  • PDF (658.12 KB)
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November

Publication Working Paper Series no. 699:
Taxation of Savings and Portfolio Choices of French Households

France is the European country in which, together with the United Kingdom, the taxation of saving is highest (6% of GDP in 2016, against on average 3.8% in the European Union and 3.5% in the euro area). This situation is evaluated with regard to the...

By Pfister Christian
  • Published on 11/20/2018
  • 16 pages
  • FR
  • PDF (1.83 MB)
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November

Publication Working Paper Series no. 698:
Flight-to-safety and the Credit Crunch: A new history of the banking crisis in France during the Great Depression

Despite France's importance in the interwar world economy, the scale and consequences of the French banking crises of 1930–1931 were never assessed quantitatively due to lack of data in the absence of banking regulation. Using a new dataset of...

By Baubeau Patrice, Monnet Eric, Riva Angelo, Ungaro Stefano
  • Published on 11/16/2018
  • 59 pages
  • EN
  • PDF (3.02 MB)
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October

Publication Working Paper Series no. 697:
Monetary Policy and Corporate Debt Structure

This paper evaluates and compares the effects of conventional and unconventional monetary policies on the corporate debt structure in the United States. It does so by using a vector autoregression in which policy shocks are identified through high...

By Lhuissier Stéphane, Szczerbowicz Urszula
  • Published on 10/17/2018
  • 34 pages
  • EN
  • PDF (644.56 KB)
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October

Publication Working Paper Series no. 696:
The Inverted-U Relationship Between Credit Access and Productivity Growth

In this paper, Philippe Aghion, Antonin Bergeaud, Gilbert Cette, Rémy Lecat & Hélène Maghin identify two counteracting effects of credit access on productivity growth: on the one hand, better access to credit makes it easier for entrepreneurs to...

By Aghion Philippe, Bergeaud Antonin, Lecat Rémy, Maghin Hélène
  • Published on 10/15/2018
  • EN
  • PDF (834.42 KB)
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September

Publication Working Paper Series no. 695:
Does FDI crowd out domestic investment in transition countries?

As a capital flow, foreign direct investment (FDI) is often expected to act as a complement to domestic savings, thus facilitating the financing of local investment projects. While FDI can directly add to the existing capital stock, it can also...

By Jude Cristina
  • Published on 09/17/2018
  • 39 pages
  • EN
  • PDF (773.25 KB)
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September

Publication Working Paper Series no. 694:
Monetary Policy and Long-Run Systemic Risk-Taking

As an extension to the literature on the risk-taking channel of monetary policy, this paper studies the existence of a systemic risk-taking channel (SRTC) in the Eurozone, through an original macroeconomic perspective based on causality measures....

By Colletaz Gilbert, Levieuge Grégory, Popescu Alexandra
  • Published on 09/14/2018
  • 45 pages
  • EN
  • PDF (678.24 KB)
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September

Publication Working Paper Series no. 693:
Inefficient Short-Time Work

This paper shows that the reforms which expanded short-time work in France after the great 2008-2009 recession were largely to the benefit of large firms which are recurrent short-time work users. Pierre Cahuc and Sandra Nevoux argue that this...

By Cahuc Pierre, Nevoux Sandra
  • Published on 09/11/2018
  • 32 pages
  • EN
  • PDF (440.39 KB)
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September

Publication Working Paper Series no. 692:
When Short-Time Work Works

Short-time work programs were revived by the Great Recession. To understand their operating mechanisms, Pierre Cahuc, Francis Kramarz & Sandra Nevoux first provide a model showing that short-time work may save jobs in firms hit by strong negative...

By Cahuc Pierre, Kramarz Francis, Nevoux Sandra
  • Published on 09/10/2018
  • 67 pages
  • EN
  • PDF (698.99 KB)
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August

Publication Working Paper Series no. 691:
External Credit Ratings and Bank Lending

Christophe Cahn, Mattia Girotti and Federica Salvadè study how third-party rating information influences firms' access to bank financing and real outcomes. They exploit a refinement in the rating scale that occurred in France in 2004. The new...

By Cahn Christophe, Girotti Mattia, Salvadè Federica
  • Published on 08/28/2018
  • 41 pages
  • EN
  • PDF (628.44 KB)
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August

Publication Working Paper Series no. 690:
The Toll of Tariffs: Protectionism, Education and Fertility in Late 19th Century France

Vincent Bignon and Cecilia García-Peñalosa examine a novel negative impact of trade tariffs and the costs they induce by documenting how protectionism reversed the long-term improvements in education and the fertility transition that were well under...

By Bignon Vincent, Garcia-Peñalosa Cecilia
  • Published on 08/22/2018
  • 50 pages
  • EN
  • PDF (745.61 KB)
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August

Publication Working Paper Series no. 689:
International Spillovers of Monetary Policy: Evidence from France and Italy

In this paper Julia Schmidt, Marianna Caccavaio, Luisa Carpinelli and Giuseppe Marinelli provide empirical evidence on the impact of US and UK monetary policy changes on credit supply of banks operating in Italy and France over the period 2000-2015,...

By Schmidt Julia, Caccavaio Marianna, Carpinelli Luisa, Marinelli Giuseppe
  • Published on 08/13/2018
  • 32 pages
  • EN
  • PDF (593.17 KB)
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August

Publication Working Paper Series no. 688:
Estimating Non-Linear DSGEs with the Approximate Bayesian Computation: an application to the Zero Lower Bound

Estimation of non-linear DSGE models is still very limited due to high computational costs and identification issues arising from the non-linear solution of the models. Besides, the use of small sample amplifies those issues. Valerio Scalone advocates...

By Scalone Valerio
  • Published on 08/10/2018
  • 50 pages
  • EN
  • PDF (1001.84 KB)
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August

Publication Working Paper Series no. 687:
Bad Sovereign or Bad Balance Sheets? Euro Interbank Market Fragmentation and Monetary Policy, 2011-2015

Silvia Gabrieli and Claire Labonne measure the relative role of sovereign-dependence risk and balance sheet (credit) risk in euro area interbank market fragmentation from 2011 to 2015. They combine bank-to-bank loan data with detailed supervisory...

By Gabrieli Silvia, Labonne Claire
  • Published on 08/01/2018
  • 50 pages
  • EN
  • PDF (1.09 MB)
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July

Publication Working Paper Series no. 686:
Measuring “Indirect” Investments in ICT in OECD Countries

ICT components, such as microprocessors, may be embodied in other capital goods not recorded as ICT in National Accounts. Gilbert Cette, Jimmy Lopez, Giorgio Presidente and Vincenzo Spiezia name ‘indirect ICT investment’ the value of embodied ICT...

By Lopez Jimmy, Presidente Giorgio, Spiezia Vincenzo
  • Published on 07/30/2018
  • 15 pages
  • EN
  • PDF (903.29 KB)
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July

Publication Working Paper Series no. 685:
Classifying Patents Based on their Semantic Content

In this paper, Antonin Bergeaud, Yoann Potiron and Juste Raimbault extend some usual techniques of classification resulting from a large-scale data-mining and network approach. This new technology, which in particular is designed to be suitable to big...

By Bergeaud Antonin, Potiron Yoann, Raimbault Juste
  • Published on 07/11/2018
  • 40 pages
  • EN
  • PDF (8.73 MB)
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June

Publication Working Paper Series no. 684:
An Experimental Analysis Of The Effect Of Quantitative Easing

In this paper Adrian Penalver, Nobuyuki Hanaki, Eizo Akiyama, Yukihiko Funaki and Ryuichiro Ishikawa report the results of a repeated experiment in which a central bank buys bonds for cash in a quantitative easing (QE) operation in an otherwise...

By Penalver Adrian, Hanaki Nobuyuki, Akiyama Eizo, Funaki Yukihiko, Ishikawa Ryuichiro
  • Published on 06/11/2018
  • 34 pages
  • EN
  • PDF (1.94 MB)
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June

Publication Working Paper Series no. 683:
Perceived FOMC: The Making of Hawks, Doves and Swingers

Narrative records in US newspapers reveal that about 70 percent of Federal Open Market Committee (FOMC) members who served during the last 55 years are perceived to have had persistent policy preferences over time, as either inflation-fighting hawks or...

By Bordo Michael, Istrefi Klodiana
  • Published on 06/08/2018
  • EN
  • PDF (1.23 MB)
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May

Publication Working Paper Series no. 682:
Shocks vs Menu Costs: Patterns of Price Rigidity in an Estimated Multi-Sector Menu-Cost Model

Relying on a menu-cost model augmented with a time-dependent (Calvo) component, Erwan Gautier and Hervé Le Bihan investigate the structural sources of cross-sectoral heterogeneity in patterns of price setting. They use a large micro dataset of French...

By Gautier Erwan, Le Bihan Hervé
  • Published on 05/24/2018
  • EN
  • PDF (927.68 KB)
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May

Publication Working Paper Series no. 681:
Non-base wage components as a source of wage adaptability to shocks: Evidence from European firms, 2010-2013

Jan Babecký, Clémence Berson, Ludmila Fadejeva, Ana Lamo, Petra Marotzke, Fernando Martins and Pawel Strzelecki provide evidence on the role of non-base wage components as a channel for firms to adjust labour costs in the event of adverse shocks. They...

By Babecký Jan, Berson Clémence, Fadejeva Ludmila, Marotzke Petra, Martins Fernando, Lamo Ana, Strzelecki Pawel
  • Published on 05/18/2018
  • 23 pages
  • EN
  • PDF (1.04 MB)
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May

Publication Working Paper Series no. 680:
‘New Normal’ or ‘New Orthodoxy’? Elements of a Central Banking Framework for the After-Crisis

Christian Pfister and Natacha Valla contrast two different approaches to central banking in the aftermath of the crisis. In the first one, labelled ‘New Normal’, the monetary policy strategy is broadened to encompass such objectives as financial...

By Pfister Christian, Valla Natacha
  • Published on 05/11/2018
  • 27 pages
  • EN
  • PDF (356.23 KB)
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May

Publication Working Paper Series no. 679:
Countercyclical School Attainment and Intergenerational Mobility

Andreu Arenas & Clément Malgouyres study how economic conditions at the time of choosing post-compulsory education affect intergenerational mobility. Exploiting local variation in birthplace unemployment rate at age 16 across 23 cohorts in France,...

By Malgouyres Clément, Arenas Andreu
  • Published on 05/04/2018
  • EN
  • PDF (737.55 KB)
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April

Publication Working Paper Series no. 678:
The Impact of Exports on Innovation: Theory and Evidence

Philippe Aghion, Antonin Bergeaud, Matthieu Lequien and Marc J. Melitz investigate the effect of export shocks on innovation. On the one hand a positive shock increases market size and therefore innovation incentives for all firms. On the other hand it...

By Aghion Philippe, Bergeaud Antonin, Lequien Matthieu, Melitz Marc J.
  • Published on 04/27/2018
  • EN
  • PDF (844.73 KB)
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April

Publication Working Paper Series no. 677:
Income Inequality in France, 1900-2014: Evidence from Distributional National Accounts (DINA)

Bertrand Garbinti, Jonathan Goupille-Lebret & Thomas Piketty combine national accounts, tax and survey data in a comprehensive and consistent manner for France, to build homogenous annual series on the distribution of national income by percentiles...

By Garbinti Bertrand, Goupille-Lebret Jonathan, Piketty Thomas
  • Published on 04/18/2018
  • 88 pages
  • EN
  • PDF (3.44 MB)
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April

Publication Working Paper Series no. 676:
Firm Dynamics and Growth Measurement in France

Statistical agencies typically impute inflation for disappearing products based on surviving products, which may result in overstated inflation and understated growth. Philippe Aghion, Antonin Bergeaud, Timo Boppart & Simon Bunel use the theory and...

By Aghion Philippe, Bergeaud Antonin, Boppart Timo, Bunel Simon
  • Published on 04/13/2018
  • 35 pages
  • EN
  • PDF (1018 KB)
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April

Publication Working Paper Series no. 675:
(Real-)Time Is Money

In the age of high-frequency trading in financial markets and faster payment services in account-to-account (A2A) transactions of bank retail customers, it may seem odd that the shortest maturity that is traded in the money market is overnight. This...

By Pfister Christian
  • Published on 04/12/2018
  • EN
  • PDF (201.96 KB)
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April

Publication Working Paper Series no. 674:
Rent creation and sharing: new measures and impacts on TFP

Gilbert Cette, Jimmy Lopez & Jacques Mairesse propose an analysis of new measures of rent creation or (notional) mark-up and workers’ share of rents on cross-country-industry panel data. While the usual measures of mark-up rate implicitly assume...

By Lopez Jimmy, Mairesse Jacques
  • Published on 04/10/2018
  • 32 pages
  • EN
  • PDF (1.59 MB)
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April

Publication Working Paper Series no. 673:
The Cost of Non-Europe, Revisited

Thierry Mayer, Vincent Vicard & Soledad Zignago quantify the cost of Non-Europe, i.e. the trade-related welfare losses that would occur under different scenarios of undoing the European Union. Thirty years after the terminology of Non-Europe was...

By Mayer Thierry, Vicard Vincent, Zignago Soledad
  • Published on 04/09/2018
  • 47 pages
  • EN
  • PDF (1.46 MB)
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April

Publication Working Paper Series no. 672:
Dissecting the Impact of Imports from Low-Wage Countries on French Consumer Prices

Juan Carluccio, Erwan Gautier and Sophie Guilloux-Nefussi provide a quantitative assessment of the impact of imports from low-wage countries (LWCs) on CPI inflation in France during 1994-2014, using detailed micro data on imports and exports. The share...

By Carluccio Juan, Gautier Erwan, Guilloux-Nefussi Sophie
  • Published on 04/06/2018
  • EN
  • PDF (1.14 MB)
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March

Publication Working Paper Series no. 671:
Payments delay: propagation and punishment

Ben Craig, Dilyara Salakhova, Martin Saldias use a unique dataset of transactions from the real-time gross settlement system TARGET2 to analyze the behavior of banks with respect to the settlement of interbank claims. They focus on the time that passes...

By Craig Ben, Salakhova Dilyara, Saldias Martin
  • Published on 03/27/2018
  • 27 pages
  • FR
  • PDF (3.93 MB)
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March

Publication Working Paper Series no. 670:
The Optimal Inflation Target and the Natural Rate of Interest

Philippe Andrade, Jordi Galí, Hervé Le Bihan & Julien Matheron study how changes in the value of the steady-state real interest rate affect the optimal inflation target, both in the U.S. and the euro area, using an estimated New Keynesian DSGE...

By Andrade Philippe, Galí Jordi, Le Bihan Hervé, Matheron Julien
  • Published on 03/26/2018
  • 62 pages
  • EN
  • PDF (2.57 MB)
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March

Publication Working Paper Series no. 669:
Monetary Policy and Collateral Constraints since the European Debt Crisis

With the European debt crisis, the role of assets accepted by the Eurosystem as collateral for refinancing operations took on a new place in the public debate, as, against a backdrop of shifting demand for refinancing, movements in European bond prices...

By Barthélemy Jean, Bignon Vincent, Nguyen Benoît
  • Published on 03/20/2018
  • EN
  • PDF (2.32 MB)
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March

Publication Working Paper Series no. 668:
A General Equilibrium Appraisal of Capital Shortfall

Eric Jondeau & Jean-Guillaume Sahuc quantify the capital shortfall that results from a global financial crisis by using a macro-finance dynamic stochastic general equilibrium model that captures the interactions between the financial and real...

By Jondeau Eric, Sahuc Jean-Guillaume
  • Published on 03/08/2018
  • 66 pages
  • EN
  • PDF (2.29 MB)
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March

Publication Working Paper Series no. 667:
Stabilising virtues of central banks: (re)matching bank liquidity

The liquidity of financial system plays a central role in systemic crises. In this paper, we show that the ECB haircut policies provided an important liquidity support to distressed financial institutions during the euro area sovereign debt turmoil....

By Legroux Vincent, Rahmouni-Rousseau Imène, Szczerbowicz Urszula, Valla Natacha
  • Published on 03/07/2018
  • 19 pages
  • EN
  • PDF (2.27 MB)
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March

Publication Working Paper Series no. 666:
Dollar Funding and Firm-Level Exports

How do financial frictions in currency markets affect firm-level exports? Antoine Berthou, Guillaume Horny & Jean-Stéphane Mésonnier bring new answer to this question by looking at a recent episode in the summer of 2011 when the cost of US dollar...

By Berthou Antoine, Horny Guillaume, Mésonnier Jean-Stéphane
  • Published on 03/07/2018
  • 67 pages
  • EN
  • PDF (2.16 MB)
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March

Publication Working Paper Series no. 665:
Tax Simplicity and Heterogeneous Learning

Philippe Aghion, Ufuk Akcigit, Matthieu Lequien & Stefanie Stantcheva study how strongly individuals respond to tax simplicity and how they learn about the complexities of the tax system, using new French tax returns data on the self-employed from...

By Aghion Philippe, Akcigit Ufuk, Lequien Matthieu, Stantcheva Stefanie
  • Published on 03/01/2018
  • 74 pages
  • EN
  • PDF (2.65 MB)
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February

Publication Working Paper Series no. 664:
Credit risk and bank competition in Sub-Saharan Africa

Michael Brei, Luc Jacolin & Alphonse Noah investigate the impact of bank competition in Sub-Saharan Africa on bank non-performing loans, a measure of credit risk. Using bank-level data for a sample of 221 banks from 33 countries over the period...

By Brei Michael, Jacolin Luc, Noah Alphonse
  • Published on 02/28/2018
  • 37 pages
  • EN
  • PDF (2.17 MB)
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February

Publication Working Paper Series no. 663:
Explaining and Forecasting Euro Area Inflation: the Role of Domestic and Global Factors

In this paper, Sophie Béreau, Violaine Faubert & Katja Schmidt study the fit and the predictive performance of the Phillips curve for euro area inflation with regard to different inflation series, time periods and predictor variables, notably...

By Béreau Sophie, Faubert Violaine, Schmidt Katja
  • Published on 02/28/2018
  • 37 pages
  • EN
  • PDF (2.3 MB)
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February

Publication Working Paper Series no. 662:
Firm-level Productivity Dispersion and Convergence

The productivity slowdown has been analysed as an effect of weaker technological progress, of the digital economy or of a less efficient reallocation process. Using data on firms operating in France, we highlight that, at the technological frontier,...

By Corde Simon, Lecat Rémy
  • Published on 02/23/2018
  • 6 pages
  • EN
  • PDF (2.15 MB)
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January

Publication Working Paper Series no. 661:
Global financial interconnectedness: A Non-Linear Assessment of the Uncertainty Channel

The role of uncertainty in the global economy is now widely recognized by policy-makers but its effects on the international financial system are less understood. In this paper we assess the impact of uncertainty fluctuations on the interconnectedness...

By Candelon Bertrand, Ferrara Laurent, Joëts Marc
  • Published on 01/24/2018
  • 47 pages
  • EN
  • PDF (2.72 MB)
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January

Publication Working Paper Series no. 660:
Exchange Rate Movements, Firm-Level Exports and Heterogeneity

This paper provides an estimation of the reaction of firm-level exports consecutive to real exchange rate movements, the exchange rate elasticity of exports. Following recent theoretical works emphasizing the role played by firm heterogeneity, we test...

By Berthou Antoine, Dhyne Emmanuel
  • Published on 01/15/2018
  • 44 pages
  • EN
  • PDF (718.2 KB)
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