Dufrénot

Publications

Power-law distribution in the external debt-to-fiscal revenue ratios: Empirical evidence and a theoretical modelGilles Dufrénot and Anne-Charlotte Paret, Journal of Macroeconomics, Volume 60, pp. 341-359, 2019

This paper provides evidence that the external debt-to-fiscal revenue ratio in emerging countries follows a power-law distribution. Such a distribution reflects the fact that external debt distress or debt crises correspond to extreme events that have been found to happen fairly often. We formally test the hypothesis of a power-law, going further than the usual visual inspection of the distribution of the variable of interest on a doubly logarithmic scale. We also show that such a distribution can be derived from a theoretical model in which uncertainty comes from tax evasion and corruption. Using the framework of an optimal stochastic growth model, we model the external debt-to-fiscal revenue ratio as a diffusion process for which the stochastic steady state distribution is derived using the properties of Itô diffusion processes.

Les pauvres vont-ils révolutionner le XXIe siècle ? : transcender le capitalismeGilles Dufrénot, Coup De Gueule Et Engagement, 2018-05, 488 pages, ATLANDE, 2018

Selon l'auteur, professeur d'économie à l'Université d'Aix-Marseille, le statut des pauvres a évolué. Longtemps oubliés du capitalisme, ils seraient devenus des piliers du profit marchand. De cette relation entre deux entités contradictoires émerge un questionnement sur les fondements et l'avenir du système économique capitaliste.

Recent Developments in Macro-Econometric Modeling: Theory and ApplicationsGilles Dufrénot, Fredj Jawadi and Alexander Mihailov, Econometrics, Volume 6, Issue 2, pp. 25, 2018

Developments in macro-econometrics have been evolving since the aftermath of the Second World War.[...]

A model of fiscal dominance under the “Reinhart Conjecture”Gilles Dufrénot, Fredj Jawadi and Guillaume A. Khayat, Journal of Economic Dynamics and Control, Volume 93, Issue Special Issue, pp. 332-345, 2018

This paper proposes some simple models where the central bank trades off between stabilizing the business cycle and targeting inflation to a level that stabilizes the public debt ratio. We show that in a closed economy fiscal dominance does not necessarily imply hyperinflation. Moreover, in an open economy it is successful in lowering debt ratios when output is reactive enough to unconventional monetary policy and when the expectations of future inflation are well anchored to the debt-stabilization inflation target. We show that the dynamics of both inflation and public debt ratio are described by first-difference equations with time varying coefficients. We provide some conditions for the asymptotic solutions of the long-run steady states. In particular, we define two regimes of respectively strong and weak fiscal dominance, depending upon whether or not the central bank's action ensures both the sustainability and the speed of convergence of debt to its long-term level.

Inflation et macroéconomie dans la globalisationMichel Aglietta, Gilles Dufrénot and Anne Faivre, In: Repères, 2018-09, pp. 37-52, La Découverte, 2018

Depuis au moins deux décennies, les économies des pays industrialisés connaissent une décélération tendancielle de l’inflation ainsi qu’un écrasement des cycles de l’inflation. Ces phénomènes sont le résultat de plusieurs facteurs d’ordre structurel.Le premier est l’atténuation des déterminants nationaux de l’inflation. Elle se traduit par une moindre réactivité de l’inflation aux tensions du marché...

Sovereign debt in emerging market countries: not all of them are serial defaultersGilles Dufrénot and Anne-Charlotte Paret, Applied Economics, Volume 50, Issue 59, pp. 6406-6443, 2018

Avoiding to assign emerging market countries a ‘typical’ behaviour, this article considers the heterogeneity across them and through time to predict their sovereign default episodes. Moreover, it focuses on the imbalance between defaulted debt and GDP. For the first time, we use a panel nonlinear regime-switching model whose explanatory factors have a different impact on sovereign default, depending on the regime the country belongs to. We mitigate some common views of the literature (in particular the ‘serial default’ theory) and identify countries deserving to be monitored carefully, because of a higher exposure to sovereign default risk.Abbreviation: CRAG : Credit Rating Assessment Group; EMBI: Emerging Market Bond Index; FSI: Financial Stress Index; GDP: Gross Domestic Product; GFC: Global Financial Cycle; GTD: Gonzalez, Teräsvirta, and V. Dijk; IMF: International Monetary Fund; LM: Lagrange Multiplier; PSTR: Panel Smooth Transition Regression; PTR: Panel Threshold Regression; STAR: Smooth Transition Auto Regressive model; US: United States; VIX: Volatility Index

Introduction: recent developments of switching models for financial dataGilles Dufrénot and Fredj Jawadi, Studies in Nonlinear Dynamics & Econometrics, Volume 21, Issue 1, pp. 1-2, 2017

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Monetary Policy Switching in the Euro Area and Multiple Steady States: An Empirical InvestigationGilles Dufrénot and Guillaume A. Khayat, Macroeconomic Dynamics, Volume 21, Issue 05, pp. 1175-1188, 2017

This paper investigates, in the case of the euro area, the standard assumption that the liquidity trap steady state, which arises from the existence of the zero lower bound on the nominal interest rate, is locally unstable. We show that the policy function of the European Central Bank (ECB) is described by a nonlinear Taylor rule. Then, using our estimations, we show that around the liquidity trap steady state the equilibrium is locally determinate for most plausible parameter values. Finally, we find that an inflation shock is more efficient than a demand shock to escape the liquidity trap steady state.

Austérité budgétaire : remède ou poison ? La zone euro à l'épreuve de la criseMarcel Aloy, Gilles Dufrénot, Anne Péguin-Feissolle and Michel Aglietta, 2017-10, 150 pages, ATLANDE, 2017

Alors que les politiques d'austérité et les réformes budgétaires décidées par la zone euro ont un impact de plus en plus perceptible sur les millions de citoyens européens, ce livre tente d'offrir une réponse aux questionnements qui traversent l'opinion publique. Au-delà d'un état des lieux de la zone euro, ce livre interroge la pertinence des choix d austérité et pose la question des ajustements à mettre en oeuvre dans une union monétaire entre pays hétérogènes.

Advances and challenges in decision-making, monetary policy and financial marketsGilles Dufrénot and Fredj Jawadi, Economic Modelling, Volume 52, Issue Part A, pp. 1-2, 2016

This note provides an overview on recent theoretical and empirical developments in decision-making under uncertainty, monetary policy and financial markets. It introduces in particular a special issue that contains a selection of papers presented at the third International Symposium in Computational Economics and Finance (ISCEF) in April 2014 in Paris (www.iscef.com). The papers, both theoretical and empirical, discuss issues that improve our understanding of how computational tools can be used to facilitate our understanding of the agents' behaviors and policies.