Dufrénot

Publications

Inflation et macroéconomie dans la globalisationBook chapterMichel Aglietta, Gilles Dufrénot and Anne Faivre, In: L'économie Mondiale 2019, 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...

A model of fiscal dominance under the “Reinhart Conjecture”Journal articleGilles 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.

Recent Developments in Macro-Econometric Modeling: Theory and ApplicationsJournal articleGilles 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.[...]

Les pauvres vont-ils révolutionner le XXIe siècle ? : transcender le capitalismeBookGilles 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.

Austérité budgétaire : remède ou poison ? La zone euro à l'épreuve de la criseBookMarcel 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.

Monetary Policy Switching in the Euro Area and Multiple Steady States: An Empirical InvestigationJournal articleGilles 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.

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

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Regime-Dependent Fiscal Multipliers in the United StatesJournal articleGilles Dufrénot, Aurélia Jambois, Laurine Jambois and Guillaume Khayat, Open Economies Review, Volume 27, Issue 5, pp. 923-944, 2016

This paper proposes a regime-dependent model to estimate fiscal multipliers in the US. Output, consumption and investment are assumed to respond to tax and spending changes in a nonlinear manner. Fiscal multipliers are time-varying because their size and sign depend upon the state of the economy (upturns and downturns). Keynesian effects appear essentially during downturns, while anti-Keynesian effects are observed during expansions. Transfer payments contributes to a higher private consumption when they are given to consumers in bad times. Reducing taxes boosts consumption in good times. Investment responds positively to lower taxes during downturns, but negatively in the upturn regime. Our results thus suggest that Keynesian effects have been associated to expansionary policies during recessions, while anti-Keynesian effects were observed during expansions illustrating situations of expansionary fiscal consolidation. The effectiveness of fiscal positive impulses increases in downturns relative to upturns. A corollary is therefore that austerity measures during recessions would have detrimental effects on the GDP and its components.

Macroeconomic imbalances, financial stress and fiscal vulnerability in the euro area before the debt crises: A market viewJournal articleGilles Dufrénot, Karine Gente and Frédia Monsia, Journal of International Money and Finance, Volume 67, Issue C, pp. 123-146, 2016

This paper tries to identify the macro-financial imbalances that exposed the euro area countries to fiscal stress before the outbreak of the European debt crises. Contrary to conventional wisdom that interprets fiscal stress in terms of fiscal sustainability, we focus on short-term fiscal vulnerability as reflected by the conditions of debt refinancing in the sovereign bond markets. We find that market-based indicators capturing risk perceptions of sovereign debts have been influenced by the indicators defined in the European Macroeconomic Imbalance Procedure (MIP) and by variables of financial vulnerability. When pricing the risk of sovereign bonds, the holders of government debts take into account, not only the macroeconomic imbalances, but also factors such as banking distress, corporate bond risk, liquidity risks in the interbank market or the volatility of stock prices.

L'Amérique latine dans la globalisation financière : a-t-on appris des crises passées ?Journal articleGilles Dufrénot, Revue d'économie financière, Volume 124, Issue 4, pp. 61-77, 2016

This paper discusses the monetary and exchange policies followed by Latin American countries during the financial crises that have appeared each decade since the beginning of the 1980s. We examine the implications of a phenomenon defined by Reinhart as “this time is different”. In particular, we report errors in the diagnosis of the structural causes of past financial crises, and the damages caused by the choice of fixed exchange rates. The article also looks at the problems facing the countries today: the resource curse, the dilemma between currency appreciation and financial bubbles, inflation targeting policy. We suggest that governments have learned from past crises, by further anchoring their financial policies to the reality of their economies: the exchange rate regime is no longer the guiding element of inflation policy, loans in local currency have increased due to the rise in domestic bond markets, monetary policies have remained accommodative during the 2008 financial crisis, and central banks have used swap agreements to meet their needs of international currencies. Classification JEL: E52, F14, F31, F33, F42, O11, O54.