Dufrénot

Publications

Mémoire longue dans les séries financières (Chapitre 2)Book chapterMarcel Aloy, Gilles Dufrénot et Anne Péguin-Feissolle, In: Méthodes de prévisions en finance, A. Charles, O. Darné et L. Ferrara (Eds.), 2020-09, pp. 29-52, 2020
Unconventional monetary policy reaction functions: evidence from the USJournal articleLuca Agnello, Vitor Castro, Gilles Dufrénot, Fredj Jawadi et Ricardo M. Sousa, Studies in Nonlinear Dynamics & Econometrics, Volume 24, Issue 4, pp. pp18, 2020

We specify unconventional monetary policy reaction functions for the Fed using linear and nonlinear econometric frameworks. We find that nonstandard policy measures are largely driven by the dynamics of inflation and the output gap, with the effect being particularly strong during QE rounds. Moreover, we uncover the presence of asymmetry and regime dependence in central bank’s actions since the global financial crisis, especially concerning the response of the term spread and the shadow short rate to the growth rate of central bank reserves. From a policy perspective and given the lack of a systematic response of monetary policy to asset price growth in nonstandard times, our findings seem to corroborate the view that concerns about asset price bubbles, financial sector pro-cyclicality and systemic risk should be part of the macro-prudential policy toolkit.

Power-law distribution in the external debt-to-fiscal revenue ratios: Empirical evidence and a theoretical modelJournal articleGilles Dufrénot et Anne-Charlotte Paret, Journal of Macroeconomics, Volume 60, Issue C, 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 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.

Recent Developments in Macro-Econometric Modeling: Theory and ApplicationsJournal articleGilles Dufrénot, Fredj Jawadi et 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”Journal articleGilles Dufrénot, Fredj Jawadi et 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 globalisationBook chapterMichel Aglietta, Gilles Dufrénot et 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...

Sovereign debt in emerging market countries: not all of them are serial defaultersJournal articleGilles Dufrénot et 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 dataJournal articleGilles Dufrénot et 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 InvestigationJournal articleGilles Dufrénot et 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.