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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. 903:
Macroeconomic Forecasting Using Filtered Signals from a Stock Market Cross Section

Stock prices declined abruptly in the wake of the Covid-19, reflecting both the deterioration of investors’ expectations of economic activity as well as the surge in risk aversion. In the following months, however, economic activity remained sluggish...

By Chatelais Nicolas, Chinn Menzie, Stalla-Bourdillon Arthur
  • Published on 12/29/2022
  • 32 pages
  • EN
  • PDF (1.98 MB)
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December

Publication Working Paper Series no. 902:
Time-Consistent Implementation in Macroeconomic Games

The commitment ability of governments is neither infinite nor zero but intermediate. In this paper, we determine the commitment ability that a government needs to implement a unique equilibrium outcome and rule out undesired self-fulfilling...

By Barthélemy Jean, Mengus Eric
  • Published on 12/27/2022
  • 70 pages
  • EN
  • PDF (3.05 MB)
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December

Publication Working Paper Series no. 901:
Sovereign Debt and International Trade

Evidence suggests that sovereign defaults disrupt international trade. As a consequence, countries that are more open have more to lose from a sovereign default and are less inclined to renege on their debt. In turn, lenders should trust more open...

By Charles Serfaty
  • Published on 12/26/2022
  • 70 pages
  • EN
  • PDF (2.46 MB)
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December

Publication Working Paper Series no. 900:
Encouraging and Directing Job Search: Direct and Spillover Effects in a Large Scale Experiment

We analyze the employment effects of directing job seekers' applications towards establishments likely to recruit, building upon an existing Internet platform developed by the French public employment service. Our two-sided randomization design,...

By Behaghel Luc, Dromundo Sofia, Gurgand Marc, Hazard Yagan, Zuber Thomas
  • Published on 12/23/2022
  • 51 pages
  • FR
  • PDF (3.55 MB)
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December

Publication Working Paper Series no. 899:
Opposing Firm Level Responses to the China Shock: Output Competition versus Input Supply

We decompose the “China shock” into two components that induce different adjustments for firms exposed to Chinese exports: an output shock affecting firms selling goods that compete with similar imported Chinese goods, and an input supply shock...

By Aghion Philippe, Bergeaud Antonin, Lequien Matthieu, Marc Melitz, Thomas Zuber
  • Published on 12/22/2022
  • 30 pages
  • EN
  • PDF (2.06 MB)
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December

Publication Working Paper Series no. 898:
Central Bank Communication of Uncertainty

In this paper, we examine how the monetary policy setting committees of the Federal Reserve, the Bank of England and the European Central Bank communicate their reaction to incoming data in their policy deliberation process by expressing confidence,...

By Hanifi Rayane, Istrefi Klodiana, Penalver Adrian
  • Published on 12/21/2022
  • 36 pages
  • EN
  • PDF (1.16 MB)
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December

Publication Working Paper Series no. 897:
Information Acquisition ahead of Monetary Policy Announcements

How do financial markets acquire information about upcoming monetary policy decisions, beyond their reaction to central bank signals? This paper hypothesises that sharing information among investors can improve expectations, especially in the presence...

By Ehrmann Michael, Hubert Paul
  • Published on 12/20/2022
  • 42 pages
  • EN
  • PDF (2.42 MB)
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December

Publication Working Paper Series no. 896:
Fiscal policy orientation in the euro area in real-time

This paper analyses the orientation of fiscal policy in the euro area in real-time, using a new real-time dataset including 11 euro area countries for the 1999-2019 period. We compare the cyclicality of the fiscal stance, measured as the change in the...

By Schmidt Katja, Sigwalt Antoine
  • Published on 12/19/2022
  • 35 pages
  • FR
  • PDF (1.34 MB)
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December

Publication Working Paper Series no. 895:
Does FinTech Promote Entrepreneurship? Evidence from China

The rise of financial technology (FinTech) in China over the past decade has changed the traditional financial landscape in the country. We provide evidence on the role of digital financial services in promoting self-employment. We construct an...

By Alraqeb Zeynep, Knaack Peter, Macaire Camille
  • Published on 12/13/2022
  • 33 pages
  • EN
  • PDF (1.43 MB)
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December

Publication Working Paper Series no. 894:
Aggregation Across Each Nation: Aggregator Choice and Macroeconomic Dynamics

We study the implications of trade aggregation in an infinite-horizon economy with multiple countries, asking whether there is a role for alternatives to the Armington aggregator in a wide range of workhorse open-economy macroeconomics models. We show...

By Lisack Noëmie, Lloyd Simon, Sajedi Rana
  • Published on 12/09/2022
  • 45 pages
  • EN
  • PDF (922.73 KB)
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December

Publication Working Paper Series no. 893:
House Price Convergence: Evidence from India

The “club convergence” of sub-national house prices has so far been studied in respect of a number of advanced economies and emerging markets, but not for India. As such, this study contributes to this gap in literature by analyzing long-run...

By Rajesh Raj, Rath D.P.
  • Published on 12/07/2022
  • 35 pages
  • EN
  • PDF (1.41 MB)
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November

Publication Working Paper Series no. 892:
Is Capital Account Convertibility Required for the Renminbi to Acquire Reserve Currency Status?

It is widely assumed that the renminbi (RMB) cannot acquire a meaningful place in central bank reserve portfolios without full liberalization of China’s capital account. We argue that the RMB can in fact develop into a consequential reserve currency in...

By Eichengreen Barry, Macaire Camille, Mehl Arnaud, Monnet Eric, Naef Alain
  • Published on 11/18/2022
  • 37 pages
  • EN
  • PDF (2.1 MB)
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November

Publication Working Paper Series no. 891:
Stock Return Predictability: comparing Macro- and Micro-Approaches

Economic theory identifies two potential sources of return predictability: time variation in expected returns (beta-predictability) or market inefficiencies (alpha-predictability). For the latter, Samuelson argued that macro-returns exhibit more...

By Stalla-Bourdillon Arthur
  • Published on 11/10/2022
  • 53 pages
  • EN
  • PDF (1.95 MB)
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November

Publication Working Paper Series no. 890:
Consumption Inequality in the Digital Age

This paper studies how digitalization affects consumption inequality. We assemble a novel dataset of digital technology used in the production process, link it to US consumption data and establish a new stylized fact: High-income households consume a...

By Arvai Kai, Mann Katja
  • Published on 11/09/2022
  • 49 pages
  • EN
  • PDF (2.66 MB)
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October

Publication Working Paper Series no. 889:
Joint Ownership of Production Projects as a Commitment Device against Interest Groups

This paper investigates an unexplored rationale for joint ownership of a production project. We model projects with autocorrelated productivity shocks as creating an option value of investing over time so that later investments benefit from the...

By Berardi Nicoletta, Seabright Paul
  • Published on 10/21/2022
  • 30 pages
  • EN
  • PDF (829.96 KB)
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October

Publication Working Paper Series no. 888:
Different Motives for Holding Cash in France: an Analysis of the Net Cash Issues of the Banque de France

The present paper analyzes the net cash issues of the Banque de France. It is divided in two parts. The first estimates cash demand functions for different denominational groups (small, medium, large). We find that many of the different motives for...

By Seitz Franz, Devigne Lucas, De Pastor Raymond
  • Published on 10/14/2022
  • 37 pages
  • EN
  • PDF (1.2 MB)
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September

Publication Working Paper Series no. 887:
An Evaluation of the French Innovation Tax Credit

The Innovation tax credit (crédit d’impôt innovation, CII) is an extension of the Research tax credit (crédit d’impôt recherche, CIR) intended to boost the incentive effect of the latter on SMEs to encourage them to engage in the creation of new...

By Bunel Simon, Hadjibeyli Benjamin
  • Published on 09/30/2022
  • 37 pages
  • FR
  • PDF (3.06 MB)
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September

Publication Working Paper Series no. 886:
The Long-Term Impact of Housing Subsidies on the Rental Sector: the French Example

In many countries, housing subsidies to tenants are one of the main tools for housing policy but have an inflationary impact in the short term. For the first time, by taking the French example, we assess the long-term impact of housing subsidies on...

By Grislain-Letrémy Céline, Trevien Corentin
  • Published on 09/23/2022
  • 43 pages
  • EN
  • PDF (946.55 KB)
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September

Publication Working Paper Series no. 885:
The Conditional Path of Central Bank Asset Purchases

We investigate the financial market effects of central bank asset purchases by exploiting the unique setting provided by ECB’s PSPP and PEPP policies. These programs consist in purchases of identical assets. The PSPP aimed to reduce deflationary risks,...

By Blot Christophe, Bozou Caroline, Creel Jérôme, Hubert Paul
  • Published on 09/21/2022
  • 38 pages
  • EN
  • PDF (1.62 MB)
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September

Publication Working Paper Series no. 884:
DSGE Nash: Solving Nash Games in Macro Models with an application to optimal monetary policy under monopolistic commodity pricing

This paper presents DSGE Nash, a toolkit to solve for pure strategy Nash equilibria of global games in general equilibrium macroeconomic models. Although primarily designed to solve for Nash equilibria in DSGE models, the toolkit encompasses a broad...

By Ferrari Massimo, Pagliari Maria Sole
  • Published on 09/20/2022
  • 50 pages
  • EN
  • PDF (3.66 MB)
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September

Publication Working Paper Series no. 883:
The EA-BDF Model and Government Spending Multipliers in a Monetary Union

We develop in this paper a new two-country model of the euro area (EA-BDF), based on the large-scale FR-BDF model of France and a new medium-scale block of the rest of the euro area (STREAM). This new block follows an approach close to FR-BDF, being a...

By Aldama Pierre, Gaulier Guillaume, Lemoine Matthieu, Robert Pierre-Antoine, Turunen Harri, Zhutova Anastasia
  • Published on 09/07/2022
  • 79 pages
  • EN
  • PDF (2.33 MB)
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July

Publication Working Paper Series no. 882:
The Rise and Fall of Global Currencies over Two Centuries

This paper quantifies the relative dominance of global currencies and the competitive structure of the international monetary system since 1825. I find the post-1945 experience of dollar hegemony to have no historical precedent. No currency has ever...

By Vicquéry Roger
  • Published on 07/21/2022
  • 65 pages
  • EN
  • PDF (6.84 MB)
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July

Publication Working Paper Series no. 881:
From Macro to Micro: Large Exporters Coping with Common Shocks

Since Gabaix (2011), the role of changes in the performance of some very large firms in shaping aggregate outcomes has been intensively studied in the economic literature. Changes in the performance of a few large firms can arise due to idiosyncratic...

By Bricongne Jean-Charles, Carluccio Juan, Fontagné Lionel, Gaulier Guillaume, Stumpner Sebastian
  • Published on 07/15/2022
  • 49 pages
  • EN
  • PDF (1.39 MB)
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July

Publication Working Paper Series no. 880:
The Financing Structure of Non-Financial Corporations and Macro-Financial Implications in France

How does the corporate funding mix affect economic and financial stability in France? To address this question, we develop a model for the financing structure of French non-financial corporations (NFCs) and incorporate it in the Banque de France's...

By Dees Stéphane, Gebauer Stefan, Goncalves Thomas, Thubin Camille
  • Published on 07/13/2022
  • 37 pages
  • EN
  • PDF (1.09 MB)
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July

Publication Working Paper Series no. 879:
Exchange Rate Undervaluation and African Surges: What Do We Learn From Exported Products?

We investigate the role of undervaluation of African currencies in export “surges” of some primary and manufactured goods. We calculate country-product specific misalignments on the basis of the absolute purchasing power parity principle adjusted for...

By da Piedade Camille, Jacolin Luc, Plane Patrick
  • Published on 07/12/2022
  • 49 pages
  • EN
  • PDF (2.38 MB)
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July

Publication Working Paper Series no. 878:
New Facts on Consumer Price Rigidity in the Euro Area

Using CPI micro data for 11 euro area countries covering about 60% of the euro area consumption basket over the period 2010-2019, we document new findings on consumer price rigidity in the euro area: (i) each month on average 12.3% of prices change (vs...

By Gautier Erwan, Conflitti Cristina, Riemer P. Faber, Fabo Brian, Fadejeva Ludmila, Jouvanceau Valentin, Menz Jan-Olivier, Messner Teresa, Petroulas Pavlos, Roldan-Blanco Pau, Rumler Fabio, Santoro Sergio, Wieland Elisabeth, Zimmer Hélène
  • Published on 07/06/2022
  • 113 pages
  • EN
  • PDF (3.94 MB)
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June

Publication Working Paper Series no. 877:
Lost in Negative Territory? Search for Yield!

We study how negative interest rate policy (NIRP) affects banks’ loan pricing. Using contract-level data from France, we show that NIRP affects bank lending rates to firms through a portfolio rebalancing channel: banks holding a one standard deviation...

By Girotti Mattia, Horny Guillaume, Sahuc Jean-Guillaume
  • Published on 06/28/2022
  • 40 pages
  • EN
  • PDF (1.1 MB)
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June

Publication Working Paper Series no. 876:
Patents that Match your Standards: Firm-level Evidence on Competition and Growth

When a technology becomes the new standard, the firms that are leaders in producing this technology have a competitive advantage. Matching the semantic content of patents to standards and exploiting the exogenous timing of standardization, we show that...

By Bergeaud Antonin, Schmidt Julia, Zago Riccardo
  • Published on 06/24/2022
  • 60 pages
  • EN
  • PDF (2.39 MB)
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June

Publication Working Paper Series no. 875:
State-dependent Central Bank Communication with Heterogeneous Beliefs

This paper studies how state-contingent central bank communication can improve welfare when externalities are at play. In the model, a central banker (CB) wants to influence the private sector beliefs, which are heterogeneous, to generate an upward...

By Herbert Sylvérie
  • Published on 06/02/2022
  • 48 pages
  • EN
  • PDF (1.91 MB)
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May

Publication Working Paper Series no. 874:
Natural Disasters and Financial Stress: Can Macroprudential Regulation Tame Green Swans?

We empirically investigate the impact of natural disasters on the external finance premium (EFP), conditional on the stringency of macroprudential regulation. The intensity of natural disasters is measured through an original set of geophysical...

By Avril Pauline, Levieuge Grégory, Turcu Camelia
  • Published on 05/25/2022
  • 51 pages
  • EN
  • PDF (2.74 MB)
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May

Publication Working Paper Series no. 873:
Information Frictions Across Various Types of Inflation Expectations

Understanding how the degree of information frictions varies among economic agents is of utmost importance for macroeconomic dynamics. We document and compare the frequency of forecast revisions and cross-sectional disagreement in inflation...

By Cornand Camille, Hubert Paul
  • Published on 05/23/2022
  • 36 pages
  • EN
  • PDF (1.66 MB)
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May

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)
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April

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)
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April

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...

By Pedrono Justine
  • Published on 04/04/2022
  • 50 pages
  • EN
  • PDF (857.77 KB)
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March

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)
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March

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)
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February

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)
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February

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)
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February

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)
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February

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)
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January

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...

By Lhuissier Stéphane
  • Published on 01/25/2022
  • 52 pages
  • EN
  • PDF (2.44 MB)
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January

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...

By Dupraz Stéphane, Le Bihan Hervé, Matheron Julien
  • Published on 01/21/2022
  • 50 pages
  • EN
  • PDF (2.36 MB)
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January

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)
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January

Publication Working Paper Series no. 860:
Credit Default Swaps and Credit Risk Reallocation

We use data on granular holdings of debt and Credit Default Swaps (CDS) referencing non-financial corporations across financial investors, to investigate how CDS reallocate credit risk and whether this increases investor-level riskiness. To guide our...

By Henricot Dorian, Thibaut Piquard
  • Published on 01/17/2022
  • 56 pages
  • EN
  • PDF (706.27 KB)
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January

Publication Working Paper Series no. 859:
ECB Communication and its Impact on Financial Markets

Using an extensive dataset on public speaking events by ECB and euro area National Central Bank (NCB) officials, we show that communication outside of ECB regular monetary policy meeting days has a significant effect on daily movements in Eonia rates,...

By Istrefi Klodiana, Odendahl Florens, Sestieri Giulia
  • Published on 01/14/2022
  • 32 pages
  • FR
  • PDF (691 KB)
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January

Publication Working Paper Series no. 858:
Climate Risk Measurement of Assets Eligible as Collateral for Refinancing Operations – Focus on Asset Backed Securities (ABS)

This paper analyses the exposure to climate risk of ABS, an asset class frequently pledged as collateral in the European Central Bank (ECB) refinancing operations. This paper focuses on ABS backed by auto loans or loans granted to Small and Medium...

By André Loris, Grept Alice, Laut Nadia, Plantier Gabriel, Sapey-Triomphe Zako, Weber Pierre-François
  • Published on 01/07/2022
  • 45 pages
  • FR
  • PDF (4.49 MB)
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January

Publication Working Paper Series no. 857:
The Rising Interconnectedness of the Insurance Sector

This paper examines the long-term evolution of the linkages of the insurance sector with financial and non-financial companies. We develop a measure of connectedness using a multifactor model of weekly equity returns. The empirical analysis is...

By Jourde Tristan
  • Published on 01/05/2022
  • EN
  • PDF (1.85 MB)
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