Gilles Dufrénot

Chercheur , Sciences Po Aix

Macroéconomie, économie du travail et économie internationale
Dufrénot
Statut
Professeur des universités
Domaine(s) de recherche
Économie du développement, Économétrie, Macroéconomie
Thèse
1995, University of Paris 12
Téléchargement
CV
Contact
gilles.dufrenot[at]sciencespo-aix.fr
+33(0)4 13 94 20 11
Adresse

AMU - AMSE
5-9 Boulevard Maurice Bourdet, CS 50498
​13205 Marseille Cedex 1

Résumé This book features a selection of papers presented at the Franco-Japanese Conference on Asian and International Economies in the era of globalization. In light of shifts in international economic relations, the globalization of labor markets, and the dynamics of migration, this book explores various aspects of the integration of Asian and other emerging economies into globalization. The contributions cover topics related to international trade, the international monetary system, strategic corporate behavior, and economic policy. Additionally, the book features contributions analyzing geopolitical aspects and China’s role in international trade. The contributions were the result of a collaboration between researchers from Europe, Asia, Africa, and Latin America. The researchers met monthly in a webinar, which was co-hosted by Yokohama University in Japan and Sciences Po Aix in France. The purpose of the webinar was to reflect on the challenges emerging economies are facing in the context of the new wave of globalization. The book is intended for students and researchers, as well as economists and policymakers, who will find it useful for their practical decision-making.
Mots clés Public Economics, International Economics, Emerging Markets/Globalization, Macroeconomics/Monetary Economics//Financial Economics
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Résumé This study investigates how El Niño–Southern Oscillation (ENSO) climate patterns affect global economic conditions. Prior research suggests that ENSO phases, particularly El Niño, influence economic outcomes, but with limited consensus on their broader macroeconomic impacts. Using a novel monthly dataset from 20 economies, covering 80% of global output from 1999 to 2022, we employ a global augmented vector autoregression with local projections (GAVARLP) model. The empirical findings suggest that El Niño boosts output with minimal inflationary effects, reducing global economic policy uncertainty, while La Niña raises food inflation, which can amplify aggregate inflation as a ‘‘second-round’’ effect, amplifying uncertainty. These findings shed light on the transmission channels of climate shocks and highlight the significant role of ENSO in shaping global economic conditions, emphasizing why climate shocks should be a concern for policy markers.
Mots clés Climate ENSO, Oil prices, Food prices, Global macroeconometric modeling, Economic policy uncertainty
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Résumé We study the impact of socioeconomic factors on two key parameters of epidemic dynamics. Specifically, we investigate a parameter capturing the rate of deceleration at the very start of an epidemic, and a parameter that reflects the pre-peak and post-peak dynamics at the turning point of an epidemic like coronavirus disease 2019 (COVID-19). We find two important results. The policies to fight COVID-19 (such as social distancing and containment) have been effective in reducing the overall number of new infections, because they influence not only the epidemic peaks, but also the speed of spread of the disease in its early stages. The second important result of our research concerns the role of healthcare infrastructure. They are just as effective as anti-COVID policies, not only in preventing an epidemic from spreading too quickly at the outset, but also in creating the desired dynamic around peaks: slow spreading, then rapid disappearance.
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Résumé A common thread in the literature shows that an oil price shock can have a major impact on global economic conditions. We examine the global dimensions of changes to the global oil price and world economic uncertainty using three model types: ordinary least square (OLS); general additive model (GAM); and non-linear vector autoregression (VAR) model with local projections (LP). Our study highlights a positive and statistically significant effect of oil prices on economic uncertainty during non-expansionary periods, yet the impact is negative on economic uncertainty during periods of economic growth. Using a VAR-LP we analyze the global dimensions of a world oil price shock on global economic conditions and investigate whether there is consistency in how an oil price shock influences economic growth, consumer prices and economic uncertainty based on the state of economic conditions. The empirical evidence shows that during an expansionary (a non-expansionary) period, the impact of an oil price shock lowers (elevates) economic uncertainty. The empirical evidence from the three model types taken together indicate a presence of state dependence on the influence of an oil price shock.
Mots clés Oil prices, Business Cycles, World Economic Uncertainty
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Résumé Based on a unique database (data on 2529 bank-firm relationships of 403 firms from 2012 to 2018) provided by the Central Bank of Tunisia, this article analyses the impact of the intensity and duration of bank-firm relationship on loan quality. By estimating a panel ordered probit model, the results show that the intensity of the lending relationship has a positive (negative) impact on high (medium or low) quality loans. In addition, the duration of the bank-firm relationship increases the probability of low-quality loans. We also find that the impact of relationship lending on loan quality differs according to the level of profitability of the firm. Low and non-performing firms tend to have longer and closer bank relationship, whereas it is the opposite for performing firms. Our results suggest that in an emerging market concentrated around a few banks, longer and closer banking relationships are mainly in favour of low and non-performing firms, reflecting adverse selection and strong moral hazard.
Mots clés Banks, Relationship lending, Credit registry, Tunisia
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Résumé In this paper, we investigate the determinants of equity shares purchased by Sovereign Wealth Funds (SWFs). Based on the literature of cross-border acquisitions and entry mode choice theory, we shed light on the real drivers of these state-owned funds when they buy small or large stakes in cross-border target firms. Using an original dataset of SWF acquisitions over the period 2000–2015, a Two-Part Fractional Regression Model is estimated to account for both the fractional nature of the dependent variable as well as the separation between the decision to invest and that concerning the share of equity invested. We find that the decision to invest and the decision on the share of equity to be acquired are two distinct processes. We also find that SWFs take the investment decision in cross-border target firms by trying to reduce transaction costs and information asymmetry according to the cross-border acquisition theory, and also by taking the legal and institutional environment of the host country into consideration. However, the fact that they do not hesitate to take large shares or to acquire targeted firms that are considered to be strategic and located in politically unstable countries suggests that their motives may go beyond financial consideration.
Mots clés Sovereign Wealth Funds, Cross-border acquisitions, Entry mode choice
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Résumé This book examines the economic policies that will underpin the evolution of growth in industrialised economies in coming decades. The change in focus of policymakers away from short-term regulation and policies towards problems of structural change is discussed in relation to the Taylor rule and Fisher relationship. Both empirical observations and quantitative analyses are utilised to explore diverse but interrelating topics, including interest rates dynamics, macroeconomic equilibrium, economic vulnerability, poverty and inequality, environmental sustainability, and monetary and fiscal policies.This book aims to propose policies that can produce economic growth without compromising social stability and environmental balances. It will be of interest to researchers and policymakers working within economic development and policy.
Mots clés Macroeconomic equilibrium Sustainable growth Phillips Curves Ecological transition Productivity slowdown Financial cycles Interest rate dynamics Poverty and inequality Environmental sustainability
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Résumé This paper proposes a new empirical conceptualization of financial integration of sovereign bond markets in the euro area. We introduce a methodology based on the joint testing of the assumptions of efficient market and convergence/divergence of the yield spreads. We test these assumptions by proposing parametric and non-parametric techniques. We find that markets have been more fragmented than usually advocated in the literature. We also show that the information contained in the fundamentals are not always fully reflected in the spreads, which suggests that either they have insignificant effects, or that their coefficients in the spread equations appear with the wrong sign.
Mots clés Financial integration, Euro area, Sovereign bonds, Fundamentals
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Résumé We estimate the yield curve gap in Japan and examine whether it has contributed to the sustained low growth and low inflation rates observed since the beginning 2000s. We use a semi-structural empirical model that generalizes Laubach and Williams’ approach, considering the entire range of maturities of the interest rates and dealing with the issue of mixed frequency sampling. An important result is that, even in the absence of a zero lower bound, monetary and fiscal policies proved ineffective in bringing the Japanese economy out of a situation of prolonged stagnation and low inflation. This happened even when the yield curve moved below its natural level.
Mots clés Japan, State-space model, Potential growth, Yield curve
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Résumé This paper proposes new estimates of potential growth for 5 major industrialized countries. We use a state-space approach to obtain joint estimates of potential growth and the natural interest rates. The model is a reduced-form of a partial equilibrium model with a Phillips curve and an IS curve. In addition to the usual determinants of prices and business fluctuations, we consider financial variables as a determinant of the business cycle.
Mots clés Industrialized countries, Long-memory, State-space models, Potential growth
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Résumé Une présentation synthétique et rigoureuse de l'ensemble des connaissances en statistiques ! Ce livre offre aux étudiants de 1er cycle une introduction aux concepts indispensables en statistiques et à leurs applications. Il comporte douze chapitres traitant de façon simple et claire les sujets majeurs en statistiques : - statistiques descriptives et visualisation des données - analyses factorielles et classification - théorie des sondages - théorie des probabilités- tests d'hypothèses - analyse de la régression - modèles logit et probit - séries temporelles. La compréhension des concepts statistiques présentés ne requiert que la connaissance de l'algèbre. L'un des atouts de ce livre est son caractère appliqué : des exemples concrets illustrent les concepts statistiques présentés dans chaque chapitre. L'objectif est de montrer aux étudiants comment les statistiques participent à la prise de décision des autorités publiques et des chefs d'entreprises. L'accent est mis sur l'utilisation pratique des différents outils statistiques grâce à la présentation des techniques de programmation et des exemples sous R. Un package contenant les codes R des exemples du livre ainsi que les jeux de données est accessible en ligne.
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Résumé La mondialisation est-elle responsable des pandémies ? En ce cas, faut-il en défaire les fils tissés depuis plusieurs siècles ? Depuis toujours, les routes commerciales ont coïncidé avec l’apparition, la disparition et la réémergence des nouveaux virus. Ce livre explique pourquoi les évolutions de la mondialisation ont renforcé ces liens : la déforestation, l’agriculture intensive, la perturbation des cycles géologiques et géophysiques, le réchauffement climatique, ainsi que les atteintes à la biodiversité, animale et végétale, ont accru les risques sanitaires. Ce livre propose de repenser la mondialisation en inventant des mécanismes de résilience face aux crises épidémiques. Loin des solutions simplistes, ses auteurs lèvent le voile sur la complexité des enjeux que soulève l’articulation des objectifs sanitaires avec les règles du commerce international. Avec une conviction : pour faire face aux risques épidémiques du XXIe siècle, il sera nécessaire de privilégier une approche associant mondialisation, environnement et santé.
Mots clés Déforestation, Déglobalisation, Globalisation, Pandémie, Surdensité humaine, Zoonose
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Résumé This paper discusses the theoretical choice of exchange rate regimes in Sub-Saharan African countries that are facing external vulnerabilities. To reduce instability, policymakers choose among promoting external competitiveness using a real anchor, lowering the burden of foreign debt using a nominal anchor or using a policy mix of both anchors. We observe that these countries tend to adopt mixed anchor policies. We solve a state space model to explain the determinants of and the strategy behind this policy. We find that the mixed targeting policy is a two-step strategy: First, monetary authorities choose the degree of nominal exchange rate flexibility according to the velocity of money, trade openness, foreign debt, degree of exchange rate pass-through and exchange rate target zone. Second, authorities seek to stabilize the real exchange rate depending on the degree of competition in the domestic goods market and the degree of foreign exchange intervention. We conclude with regime-switching estimations to provide empirical evidence of how these economic fundamentals influence exchange rate policy in Sub-Saharan Africa.
Mots clés Regime-switching model, External vulnerabilities, Exchange rate policy, Sub-Saharan Africa
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Résumé This chapter presents a survey of some recent methods used in economics and finance to account for cyclical dependence and account for their multifaced dynamics: nonlinearities, extreme events, asymmetries, non-stationarity, time-varying moments. To circumvent the caveats of the standard spectral analysis, new tools are now used based on copula spectrum, quantile spectrum and Laplace periodogram in both non-parametric and parametric contexts. The chapter presents a comprehensive overview of both theoretical and empirical issues as well as a computational approach to explain how the methods can be implemented using the R Package.
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Résumé The book is divided into two parts: The first part applies econometrics to the field of macroeconomics, discussing trend/cycle decomposition, growth analysis, monetary policy and international trade. The second part applies econometrics to a wide range of topics in financial economics, including price dynamics in equity, commodity and foreign exchange markets and portfolio analysis. The book is essential reading for scholars, students, and practitioners in government and financial institutions interested in applying recent econometric time series methods to financial and economic data.
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Résumé This paper assesses the effectiveness of risk sharing mechanisms in Europe by breaking down the factor income components into their sub-components, and aims to further examine whether financial integration and international portfolio diversification boosts or dampens risk sharing. Using a panel of European countries, we compare the years before and after the 2008 financial crisis. We extend the literature by properly taking into account the heterogeneity (in both country and time dimensions) in the panel through new econometric models. Our results show that financial income has become a major channel of risk sharing in recent years and that a higher integration in the bond and equity markets significantly improves risk sharing in the long term.
Mots clés Cross-sectional dependence, Financial integration, Risk sharing, Euro area
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Résumé 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.
Mots clés Unconventional monetary policy reaction function, Term spread, Shadow short rate, Output gap, Inflation, Nonlinear models, Asset prices, Central bank reserves
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Résumé 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.
Mots clés Power-law Stochastic growth External debt Emerging countries
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Résumé 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...
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Résumé 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.
Mots clés Debt sustainability, Unconventional monetary policy, Fiscal dominance
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Résumé 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.
Mots clés Vulnerability regimes, Emerging countries, PSTR model, Sovereign debt
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Résumé 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. ©Electre 2018
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Résumé Developments in macro-econometrics have been evolving since the aftermath of the Second World War. Essentially, macro-econometrics benefited from the development of mathematical, statistical, and econometric tools. Such a research programme has attained a meaningful success as the methods of macro-econometrics have been used widely over about half a century now to check the implications of economic theories, to model macroeconomic relationships, to forecast business cycles, and to helppolicymakers to make appropriate decisions.[...]
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Résumé 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.
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Résumé 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.
Mots clés Nonlinear Taylor Rules, Multiple Steady States, Monetary policy, Euro area, Multiple steady state equilibria, Indeterminacy
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Résumé A selection of papers presented at the second International Workshop on Financial Markets and Nonlinear Dynamics (FMND) which was organized in Paris on June 4–5, 2015 is published in this special issue of Studies in Nonlinear Dynamics and Econometrics. This international workshop organized every 2 years in Paris is designed to enable academics and professional economists and econometricians to discuss their latest research findings and the recent developments in financial econometrics, with a focus on nonlinear econometrics and high frequency data modeling. Accordingly, the selected papers of this issue discuss some challenging new topics of research using nonlinear and switching models. [...]
Mots clés Economie quantitative
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Résumé 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.
Mots clés Regime-dependent, Keynesian effects, Fiscal multipliers, Anti-Keynesian effects
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Résumé This paper provides evidence of various reactions of growth rates to changes in the composition of taxes and public spending in Europe. We use a quantile estimator to allow different slopes of fiscal variables, across countries and years. We find that sovereign spending should be encouraged in the medium term if growth is low, but the medium-term effect on the economic activity is not positive in situations of moderate or rapid growth. Human capital expenditure jeopardizes growth, if a country belongs to the group of under-performers, while the initial costs are progressively transformed into growth-friendly factors for the group of over-achievers. Welfare expenditure is unproductive in the medium term, but only above a given growth threshold. Higher direct taxes are more harmful for low-growth countries, since their effects are more persistent than for countries with high growth. Our findings are contrary the idea that one size fits all.
Mots clés H30, E62
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Résumé 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.
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Résumé 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.
Mots clés Economie quantitative
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Résumé 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.
Mots clés Decision Making, Computational techniques, Monetary policy, Financial markets
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Résumé This paper presents a continuous time stochastic growth model to study the effects of tax evasion and tax corruption on the level and volatility of private investment and public spending that are both factors of growth. The model highlights several channels through which the mean and volatility of these variables are affected. We first stress the role of equity markets, showing that the evasion outcome for the private sector is not necessarily viewed as a burden. Equity market performs here have the same role as a policy of tax exemption. In societies in which the share of private investment in percentage of GDP is growing, in which tax cheaters usually choose to shelter the proceeds of their illegal activities from the official financial institutions, and in which the productivity of public spending is often low, tax evasion and tax corruption may contribute to the development of private capital if people find an opportunity to invest the proceeds of their illegal activities in equity markets.
Mots clés Tax evasion, Tax corruption, Stochastic growth
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Résumé The paper examines the monetary policy actions through which central banks in sub-Saharan Africa have tried to eliminate the negative impacts of the shocks facing their economies. We compare two different monetary policy regimes: a currency board regime (in the CFA zone) and an inflation targeting policy regime (Ghana and South Africa) when central banks respond to demand, supply, and fiscal shocks. We extend the usual forecasting and policy analysis system models to replicate the economic features of these economies during the period 2002–12 and to evaluate the impact of several policies in response to these shocks. We find that both policies are inappropriate in helping the economies escape from the effects of negative demand shocks, both are essential when negative shocks to primary balance occur, while inflation targeting dominates the currency board regime as a strategy to cope with positive shocks to inflation.
Mots clés Q33, Inflation target, F41, E52, Currency board, African countries
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Mots clés Economie quantitative
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Résumé This paper uses a quantile regression analysis to investigate differences across the ECOWAS countries of the engine of growth. Specifically, we want to see whether differences in the growth rates are related to domestic factors of economic growth (investment, human capital and financial intermediation), policy variables (inflation and government consumption) and institutional factors (degree of bureaucracy, accountability, corruption and property rights). Our empirical investigation provides evidence of heterogeneity in the determinants of economic growth depending upon the location of countries in the conditional distribution of per-capita GDP growth. We find that in the upper tails of the distribution, governance and institutional variables are more crucial in impacting growth than the standard determinants of growth in the neoclassical growth models. Conversely, for the lower tails of growth distribution, the economic growth seems to depend more heavily on the accumulation of physical capital and on education.
Mots clés Economie quantitative
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Résumé We test for nonlinear effects of asset prices on the fiscal policy of three major European economies (the UK, Italy and Spain). We model primary government spending and government revenue as time-varying transition probability Markovian processes (TVPMS). We find that while in Italy fiscal policy is substantially neutral vis-à-vis asset price movements, fiscal authorities in the UK and Spain seem to track the dynamics of wealth. In particular, revenue-based fiscal policy interventions in the UK are particularly effective in counteracting shocks in the asset markets induced by sharp wealth fluctuations. Similarly, in Spain, the spending-side of the fiscal policy plays a dominant role in stabilizing stock and housing markets.
Mots clés Time-varying probability, Markov process, Fiscal policy, Asset prices
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Résumé We test for non-linear effects of asset prices on the fiscal policy of four major European economies (France, Italy, Spain and UK). We model government spending and revenue as time-varying transition probability Markovian processes (TVPMS), and find that: (i) in France and Italy, the impact of housing prices on government revenue is conditioned by the phase of the stock price cycle; (ii) a similar asymmetric pattern is found for the UK when considering the effect of stock price fluctuations on government revenue and spending vis-à-vis the troughs and peaks of aggregate wealth; and (iii) for Spain, a fall in government revenue is typically associated with a negative performance of the housing market, while government spending does not seem to adjust to the dynamics of financial market. In addition, the magnitude of the contribution of housing prices to changes in government revenue appears to have dominated that of stock prices in France and the UK. As for government spending, changes in this policy instrument are correlated with changes in asset prices, but the effect depends on the magnitude of the price variation and the influence of the output cycle. Therefore, the empirical evidence corroborates the idea that accounting for the dynamics of asset markets provides a more accurate assessment of the fiscal stance.
Mots clés Economie quantitative
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Résumé This paper attempts to provide evidence of “shift-volatility” transmission in the East Asian equity markets. By “shift-volatility”, we mean the volatility shifts from a low level to a high level corresponding respectively to tranquil and crisis periods. We examine the interdependence of equity volatilities between Hong-Kong, Indonesia, Japan, Malaysia, the Philippines, Singapore, Thailand and the United States. Our main issue is whether shift-volatility needs to be considered as a regional phenomenon, or from a more global perspective. We propose several indicators that are be useful to guide the investors in their arbitrage behavior in the different regimes: the duration of each state, the sensitivity of the volatility in a market following a change in the volatility in another market. Finally, we are able to identify which market can be considered as leading markets in terms of volatility.
Mots clés Finance general, Macroeconomics, Monetary Economics, Financial Economics, Quantitative Finance
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Résumé This paper presents a quarterly macro econometric model of Kazakhstan. The main goal is to provide a stylized representation of the Kazakh economy in order to simulate the consequences of several economic policies viewed by the authorities as essential during the period of transition to a market economy. The policy simulation potential of the model is illustrated by five types of simulations: interest rate shocks, foreign direct investment shocks, world oil price shocks, foreign demand shocks and nominal wages shocks. These sets of simulations show the importance of foreign direct investments in terms of theirs global positive effect, as well as the demand effect of an increase in the wages. We also find that effect of the tight monetary policy is not unambiguous; we argue that in some cases it is not the most efficient policy instrument to sustain the economy. Copyright Springer Science+Business Media New York 2014
Mots clés Macroeconomic stabilization, Kazakhstan, Transition economies, Central Asian CIS countries
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Résumé This paper provides evidence that forecasts in macroeconomic fundamentals can drive the changes observed in the sovereign bond spreads in a nonlinear fashion. More specifically, the impact of the anticipated macroeconomic variables on sovereign spreads depends upon the global conditions prevailing in the financial markets (appetite for risk, market liquidity, health of the banking sector). We use a nonlinear model of sovereign spreads, namely a time-varying probability Markov-switching model. The paper adds to the empirical literature by documenting that the strength with which changes in market expectations of economic fundamentals are factored in the determination of the Euro area bond market spreads is regime-dependent. Such dependence implies multiple “equilibrium relationships” between spreads and macroeconomic variables, and switches between the equilibria. We contribute to the literature by first proposing a simple analytical model in which some sources of regime switches are described. In particular, spreads are affected by the investors’ perceived probability of default on debt servicing by governments and this probability varies across time because investors anticipate the future outcome of macroeconomic fundamentals influencing sovereign debts. We then consider a reduced-form of the analytical model to illustrate the empirical performance of time-varying Markov-switching model in describing the experience of the euro area spread between 2003 and 2009.
Mots clés Financial Economics, Macroeconomics, Quantitative Finance, Banking, Economie quantitative
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Résumé This paper attempts to analyze the relationships between the ASEAN-5's business cycles. We examine the nature of business cycle synchronization trying to disentangle between intraregional and interregional synchronization by considering the important role of China, Japan and the US in synchronizing the activity within the ASEAN-5. We employ a time-varying transition probability Markov switching framework in order to allow the degree of synchronization to fluctuate across the phases of the business cycles. We provide evidence that the signals contained in some regional and global leading business cycles can impact the ASEAN-5's business cycles.
Mots clés OCA, Monetary union, Markov-switching, East Asia, Business cycles synchronization
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Résumé This special issue provides several views about the sources of the current crisis and policy solutions to cope with it. It brings together papers from academic institutions, international organizations and central banks. The first three papers argue that the crisis was triggered by the lack of confidence of the investors in the markets. This was reflected, for instance, in the pricing of the public debt (with an increase in the sovereign debt spreads) and in the reduced syndicated lending in wholesale lending markets. The other three papers focus on policy aspects by analyzing indicators that could serve as early warning signals of increasing stress and vulnerability. The authors propose three set of indicators: policy‐based indicators, some variables used in the macro‐prudential literature and financial indexes. The papers are a selection of papers presented at a Conference on Macroeconomic and financial vulnerability indicators in advanced economies co‐organizes by the Banque de France and the University of Strasbourg on 13–14 September 2013. Copyright © 2013 John Wiley & Sons, Ltd.
Mots clés Economie quantitative
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Résumé This article contributes to the recent empirical literature on financial repression and focuses on the French case since the end of World War II. We find that the fiscal adjustment needed to lower the debt ratio has been smaller during the years of financial repression in comparison with those of liberalized financial markets. This was possible because the real interest rates were low. We conduct a counterfactual analysis to see whether the vulnerability of public finances would have been different, if, since the late 1980s, the governments had continued carrying out the same financial repression policies. We answer affirmatively showing that the cost of debt service would have been reduced.
Mots clés Economie quantitative
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Résumé This paper discusses sources of self‐fulfilling equilibria in the Eurozone when some governments are highly susceptible to movements of distrust by investors who fear some payment difficulty. Self‐fulfilling prophecies occur when countries become insolvent only because investors fear insolvency. They induce multiple equilibria, some of which correspond to bad equilibria and others to good equilibria. An important issue then is to solve this problem, notably to eliminate the bad equilibria. In the short‐run, the role of the central bank as a lender of last resort is key. But this raises issues about the risk inherent to its intervention (inflation, solvency). In the medium run, macroeconomic policies in the euro are central (structural reforms and the reduction of external imbalances). In the long run, it may be worth proceeding to the consolidation of national budgets and debts, which would protect the countries of being forced with default by the financial markets. Copyright © 2013 John Wiley & Sons, Ltd.
Mots clés Economie quantitative
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Résumé This book discusses market microstructure environment within the context of the global financial crisis. In the first part, the market microstructure theory is recalled and the main microstructure models and hypotheses are discussed. The second part focuses on the main effects of the financial downturn through an examination of market microstructure dynamics. In particular, the effects of market imperfections and the limitations associated with microstructure models are discussed. Finally, the new regulations and recent developments for financial markets that aim to improve the market microstructure are discussed. Well-known experts on the subject contribute to the chapters in the book. A must-read for academic researchers, students and quantitative practitioners.
Mots clés Economie quantitative
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Résumé This introduction presents a selection of articles dealing with the issue of measuring the fiscal and financial vulnerabilities in the advanced economies. These articles were presented at a conference organized jointly by the Banque de France and BETA in Strasbourg on 13–14 September. The authors show that the improvement of macroeconomic toolkit goes hand in hand with the strengthening of fiscal frameworks and the tools for managing financial tensions. They propose several indicators in order to capture the variety of vulnerabilities observed in the industrialized countries since the recent great depression: funding needs, market perceptions risks, stress dependence among sovereigns and the reactions of governments to cope with these new challenges.
Mots clés Economie quantitative
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Résumé This paper focuses on the following question: has the global financial stress in the US markets during the subprime crisis induced a persistent volatility of Indian equity stocks? We answer this question using sector-based data and we propose a simple stochastic volatility model augmented with exogenous inputs (financial stress indicators in the US market). We derive analytically the autocorrelation of the squared returns using cross-moments and estimate the impact of several variables such as the CDS spreads, the ABCP spreads, market liquidity, the volatility of the S&P 500 using a Kalman filter approach with the impact captured through Almon polynomials. We find a strong evidence of persistent volatility irrespective of the sector and interpret this finding as the result of two factors: the lower liquidity of the Indian equity markets during the subprime crisis and a wake-up call effect.
Mots clés Stochastic volatility, Indian equity markets, Coupling
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Résumé The question examined in this paper is the following. Assuming that money played a role in the prediction of inflation, which of the nominal money gap or real money gap did the best job in the European countries? Answering this ques- tion helps us to compare the different strategies undertaken by the central banks in the countries that were members of the EMU. In the countries that participated in the Exchange rate mechanism (ERM) and then adopted the Euro, the policy preferences have been dominated by tacking monetary aggregates, while some non-euro countries preferred to focus on the direct effects of real money growth. The authors use panel data econometrics allowing for heterogeneous short-run and long-run dynamics among the countries. An important result is that the real money gap may be equally informative about future inflation. This plays against the dominant view of a quantitative theory approach of inflation in Europe.
Mots clés Economie quantitative
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Résumé This paper presents the evolution of structural and non-structural macroeconomic models and discusses the progress of quantitative macroeconomics. We also present and discuss several empirical studies that model the statistical properties of the macroeconomic and financial series under consideration in different ways, using diverse econometric and computational tools. We examine the challenges of quantitative macroeconomics. These elements are illustrated by the different contributions of this special issue.
Mots clés Non-structural econometrics, Computational economics
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Résumé This paper proposes a new fractional model with a time-varying long-memory parameter. The latter evolves nonlinearly according to a transition variable through a logistic function. We present an LR-Based test that allows to discriminate between the standard fractional model and our model. We further apply a nonlinear least squares estimation method to estimate the long-memory parameter. We present an application to the unemployment rate in the United States from 1948 to 2012.
Mots clés Economie quantitative
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Résumé This paper tests for nonlinear effects of asset prices on the US fiscal policy. By modeling government spending and taxes as time-varying transition probability Markovian processes (TVPMS), we find that taxes significantly adjust in a nonlinear fashion to asset prices. In particular, taxes respond to housing and (to a smaller extent) to stock price changes during normal times. However, at periods characterized by high financial volatility, government taxation only counteracts stock market developments (and not the dynamics of the housing sector). As for government spending, it is neutral vis-a-vis the asset market cycles. We conclude that, correcting the fiscal balance and, notably, the revenue side for time-varying effects of asset prices provides a more accurate assessment of the fiscal stance and its sustainability.
Mots clés Transition, Time-varying transition probability Markov process, Time-varying, Process, Probability, Markov, Fiscal policy, Asset prices
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Résumé This paper compares different nominal anchors to promote internal and external competitiveness in the case of a fixed exchange rate regime for the future single regional currency of the Economic Community of the West African States (ECOWAS). We use counterfactual analyses and estimate a model of dependent economy for small commodity exporting countries. We consider four foreign anchor currencies: the US dollar, the euro, the yen and the yuan. Our simulations show little support for a dominant peg in the ECOWAS area if they pursue several goals: maximizing the export revenues, minimizing their variability, stabilizing them and minimizing the real exchange rate misalignments from the fundamental value.
Mots clés Economie quantitative
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Mots clés Modèle Markov-switching, Changement de régime, Crise financière, Volatilité, Marchés financiers
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Résumé This paper applies quantile regression techniques to investigate how the impact of trade openness on the growth rate of per capita income varies with the conditional distribution of growth. Using formal robustness analyses, we first identify robust variables affecting economic growth (investment, government balance, terms of trade, inflation, and population growth) which we then use as controls in the quantile regression estimations. Our findings suggest a heterogeneous trade-growth nexus: for both the short and the long run, the effect of openness on growth is higher in countries with low growth rates compared to those with high growth rates.
Mots clés Quantile regression, Trade-growth nexus, Developing countries, C23, F13, 011
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Mots clés Crise financière, Politiques macroéconomiques, Régulation mondiale
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Résumé We propose a two-country dynamic stochastic general equilibrium model of a monetary union facing asymmetric terms-of-trade shocks, calibrated on Nigeria and West African Economic and Monetary Union (WAEMU). Three monetary regimes are successively studied at the union level: a flexible exchange rate with constant money supply, a flexible exchange rate with an accommodating monetary policy and a fixed exchange-rate regime. We find that, in the face of oil-price shocks, the most stabilising regime for Nigeria is a fixed money supply, whereas it is a fixed exchange rate for WAEMU. However, the introduction of an oil-stabilisation fund can reduce the disagreement on the common policy rule. Furthermore, the two zones may agree on a fixed money-supply rule in the face of both oil- and agricultural-price shocks.
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Mots clés Subprime crisis, Emerging markets, VAR analysis, Financial stress
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Résumé We propose a measure of the probability of crises associated with an aggregate indicator, where the percentage of false alarms and the proportion of missed signals can be combined to give an appreciation of the vulnerability of an economy. In this perspective, the important issue is not only to determine whether a system produces true predictions of a crisis, but also whether there are forewarning signs of a forthcoming crisis prior to its actual occurrence. To this end, we adopt the approach initiated by Kaminsky, Lizondo and Reinhart (1998), analyzing each indicator and calculating each threshold separately. We depart from this approach in that each country is also analyzed separately, permitting the creation of a more “custom-made” early warning system for each one.
Mots clés Currency Crisis, Early Warning System, Composite Indicator, Eastern Europe
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Mots clés STGARCH, US stock returns
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Mots clés Taux d echange, Mémoire longue
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Résumé This paper presents a 2-regime SETAR model with different long-memory processes in both regimes. We briefly present the memory properties of this model and propose an estimation method. Such a process is applied to the absolute and squared returns of five stock indices. A comparison with simple FARIMA models is made using some forecastibility criteria. Our empirical results suggest that our model offers an interesting alternative competing framework to describe the persistent dynamics in modeling the returns.
Mots clés Forecasting, Stock indices, Long-memory, SETAR
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Résumé This paper generalizes the standard long memory modeling by assuming that the long memory parameter d is stochastic and time-varying: we introduce a STAR process on this parameter characterized by a logistic function. We propose an estimation method of this model. Some simulation experiments are conducted. The empirical results suggest that this new model offers an interesting alternative competing framework to describe the persistent dynamics in modeling some financial series.
Mots clés Algorithms, Design, Performance, Logistic function, Long-memory, STAR
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Résumé The standard macroeconomic view links the equilibrium level of foreign exchange rates to the state of the macroeconomic fundamentals. Any deviation from the equilibrium level is viewed as temporary since there are forces ensuring quickly mean-reverting dynamics. The aim of this article is to investigate whether the empirical observation of the real exchange rate misalignments in five European countries over the period 1979–1999 was consistent with the hypothesis of temporary deviations from the fundamentals, or whether they must be associated with significant persistent dynamics. We depart from the traditional framework of linear cointegration by using fractional cointegration or non-linear cointegration. Therefore, we will try to discriminate between linear long memory dynamics and non-linear short memory dynamics.
Mots clés Exchange rates, Non-linear cointegration, Fractional cointegration
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Résumé In this paper we propose a new modelling approach of the exchange rate misalignments in four transition countries: Hungary, Poland, Slovakia and Slovenia. We provide an empirical framework that takes into account two characteristics of these misalignments: while the fundamentals and policies adjust to restore equilibrium towards the long-term exchange rate, there are factors that hinder a fast mean-reverting dynamics. When the exchange rates adjust slowly to their equilibrium long-run values, the standard regressions that assume zero-mean misalignments present some drawbacks and one needs a model that helps to capture the time-varying aspects of the misalignment dynamics. The model proposed in this paper reproduces well the periods of overvaluation and undervaluation observed in the four countries.
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Résumé We propose a measure of the probability of crises associated with an aggregate indicator, where the percentage of false alarms and the proportion of missed signals can be combined to give an appreciation of the vulnerability of an economy. In this perspective, the important issue is not only to determine whether a system produces true predictions of a crisis, but also whether there are forewarning signs of a forthcoming crisis prior to its actual occurrence. To this end, we adopt the approach initiated by Kaminsky, Lizondo and Reinhart (1998), analyzing each indicator and calculating each threshold separately. We depart from this approach in that each country is also analyzed separately, permitting the creation of a more “custom-made” early warning system for each one.
Mots clés Composite Indicator, Currency Crisis, Early Warning System, Crise de change, Indicateur composé, Système d&#039, alarme précoce
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Résumé The asymmetric and persistent adjustment of the European real exchange rates is investigated using the framework of non-linear cointegration. The episodes of slow mean-reversion dynamics over the period from 1979 to 1999 are explained. A test of unit root against STAR cointegration is proposed and some complete estimations and stochastic simulations of ESTAR models are presented. The presence of effective non-linear adjustment during the moving of the currencies to their long-run fundamental equilibrium exchange rate value is discussed.
Mots clés Econometrics, RATES, Exchange, FOREIGN, COINTEGRATION, FOREIGN exchange rates
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Résumé This paper presents a 2-regime SETAR model with a long-memory process in the first regime and a short-memory process in the second regime. We briefly introduce the properties of this model and methods for locating the threshold parameter are proposed. Such a process is applied to stock indices and individual asset prices. A comparison with simple FARIMA models is made using some forecastibility criteria.
Mots clés Forecasting, SETAR, Long-memory, Stock indices, Forecasting
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Résumé This paper presents a 2-regime SETAR model for the volatility with a long-memory process in the first regime and a short-memory process in the second regime. Persistence properties are studied and estimation methods are proposed. Such a process is applied to stock indices and individual asset prices.
Mots clés SETAR, Long-memory, FARIMA models, Stock indices
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Résumé This paper investigates the asymmetric effects of monetary shocks when the impact of monetary policy on real activity works through state-dependent variables. We use a nonlinear model, the multiple regime smooth transition autoregressive model, that allows the effects of shocks to vary across the business cycles when monetary innovations modify both the endogenous and state variables. Our impulse response functions show a history-dependence property. Indeed, hitting the economy at a given time induces persistence and asymmetric responses across histories and shocks. The empirical application concerns the US over the period 1975:1–1998:2.
Mots clés Asymmetry, Nonlinear models, Monetary impulses
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Résumé L'objet de ce travail est d'étudier la dynamique de l'ajustement de cinq taux de change européens vers leurs fondamentaux économiques sur la période 1979-1999. Deux approches sont envisagées, la coïntégration non linéaire et la coïntégration fractionnaire, afin de discriminer entre des dynamiques d'ajustement non linéaires (à mémoire courte) et des dynamiques à mémoire longue (mais linéaires). Pour la France, il ressort que la persistance des écarts observés par rapport aux fondamentaux peut s'expliquer par la présence de mémoire longue dans le processus d'ajustement.
Mots clés Exchange rate, Long memory, COINTEGRATION, Taux de change, Mémoire longue
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Résumé This paper uses the logistic smooth transition GARCH model to study the time-varying volatility of the USSαP 500 index. In the LSTGARCH specification, the parameters are function of some information variables that help capturing the conditional return volatility. Tests of standard GARCH models are provided. Forecast comparisons with the GJR model are proposed, showing an overwhelming predominance of the LSTGARCH model.
Mots clés Lstgarch, Regime switching volatility, Asymmetric dynamics, LSTGARC, Volatilité à changement de régime, Dynamique asymétrique
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Résumé This paper presents a small macroeconomic model of Kazakhstan to study the impact of various economic policies. The simulations provide insight into the role of a tight monetary policy, higher foreign direct investment, rises in nominal wages and in crude oil prices. The results obtained are in line with the economic observations and give some support to the policies chosen as priority targets by the Kazakh authorities for the forthcoming years.
Mots clés Économie en transition, Macroéconomie de la stabilisation, Pays d&#039, asie centrale appartenant à la CEI, Central Asian CIS countries, Kazakhstan, Macroeconomic stabilization, Transition economies
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Mots clés GARCH, STGARCH
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Mots clés Lstgarch
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Mots clés Lstgarch
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Mots clés Lstgarch
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Mots clés STGARCH
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Résumé We propose a new approach to measure the sensitivity of economic growth to natural disasters in developing countries at different time horizons (short, medium, and long term). We allow for heterogeneous effects across growth regimes and intensities of disaster shocks using quantile-on-quantile regressions and wavelet decomposition.Our findings yield several insights. First, small disaster shocks boost GDP per capita growth in low-growth countries across all horizons. By contrast, in high-growth countries, such shocks cause sharp short-term growth declines, followed by a rapid recovery in the medium term, albeit without regaining the pre-disaster growth trajectory in the long term. Second, severe disaster shocks lead to long-term growth losses in highgrowth countries, despite their initial resilience. Conversely, low-growth countries experience immediate and persistent growth declines that worsen over time. Third, the role of macroeconomic variables in mitigating or amplifying growth losses varies depending on the growth regime, disaster severity, and time horizon.
Mots clés Natural disasters, Growth, Developing countries, Quantile-on-quantile
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Résumé Low fertility rates, mortality outstripping the birth rate and population contraction characterize a new demographic transition (the so-called "fifth stage"). This paper seeks to evaluate how this phenomenon has impacted the Japanese economic structure and overall productivity. We test two key mechanisms that have been at play since the mid-2000s: i) a growing complementarity between goods and services consumption, and ii) the substitution of older workers engaged in routine tasks with technological capital. According to Autor and Dorn's (2013) model, this should promote the concentration of low-skilled workers in the service sector, and aggravate productivity gaps between industry and services. Using stochastic frontier models and EU-KLEMS data, we compute industry-by-industry TFP growth frontiers in order to check if theoretical predictions match with Japanese reality.
Mots clés Demographic transition, Productivity, Technological change, Economic structure, Japan
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Résumé We investigate the role of ENSO climate patterns on global economic conditions. The estimated model is based on a rich and novel monthly dataset for 20 economies, capturing 80.2% of global output (based on 2021 IMF data) over the period 1999:01 to 2022:03. The empirical evidence from an estimated global vector autoregression with local projections (GFAVLP) model links an El Niño (EN) shock with higher output and inflation, corresponding with lower global economic policy uncertainty (GEPU). While a shock to the world oil and food price is inflationary, a food price shock leads to elevated GEPU, more so during a LN shock. A main finding is that an increase of the food price can be a source of global vulnerability. The findings indicate that the weather shock impact on global economic conditions is dependent on the climate state. Our result undermines existing studies connecting climate change and economic damage via statistical approach.
Mots clés Weather, Oil and Food Prices, Global macroeconometric modeling, Economic policy uncertainty
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Résumé This paper investigates whether or not the access to and use of ICT can help African countries reduce their growth inefficiencies. Inefficiency is measured, on the one hand, by the gap between a country's growth rate and its own frontier, and on the other hand by the relative position of each country compared to the best achievers. We find that if countries were doing a better job of controlling corruption and improving citizen participation in politics, they would achieve higher growth efficiency performance by using ICT. When countries are compared with each other, considering the growth "frontier" as countries in the sample, then growth differentials are explained primarily by non-ICT factors of growth (human capital, schooling rates, capital growth rates, etc.). The role of ICT factors is secondary. But they contribute to growth to a greater extent for the best achievers (compared to the lowest and middle achievers) because they are better endowed with ICT factors than the others.
Mots clés ICT, African countries, Growth inefficiency, Frontier, Quantiles
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Résumé We estimate the yield curve gap in Japan and examine whether it has contributed to the sustained low growth and low inflation rates observed since the beginning 2000s. We use a semi-structural empirical model that generalizes Laubach and Williams’ approach, considering the entire range of maturities of the interest rates and dealing with the issue of mixed frequency sampling. An important result is that, even in the absence of a zero lower bound, monetary and fiscal policies proved ineffective in bringing the Japanese economy out of a situation of prolonged stagnation and low inflation. This happened even when the yield curve moved below its natural level.
Mots clés Japan, State-space model, Potential growth, Yield curve
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Résumé This paper investigates the dependence of the Option-Adjusted Spread (OAS) for several ICE BofA Emerging Markets Corporate Plus Indexes to the outbreaks of the Covid-19 viral pandemics between March 1, 2020, and April 30, 2021. We investigate whether the number of new cases, the reproduction rate, death rate and stringency policies have resulted in an increase/decrease in the spreads. We study the bivariate distributions of epidemiological indicators and spreads to investigate their concordance using dynamic copula analysis and estimate the Kendall rankcorrelation coefficient. We also investigate the effect of the epidemiological variables on the extreme values of the spreads by fitting a tail index derived from a Pareto type I distribution. We highlight the existence of correlations, robust to the type of copulas used (Clayton or Gumbel). Moreover, we show that the epidemiological variables explain well the extreme values of the spreads.
Mots clés COVID-19, Corporate spreads, Pandemics, Emerging economies
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Résumé We investigate the effect of changing ENSO patterns on global commodity prices, including energy, metals/minerals and agriculture real commodity price subsets, while controlling for global economic output and interest rate via a global factor local projections (GFALP) model. We study the responses to climate shocks using a nonlinear multivariate model to assess differential effects across ENSO climate regimes. We find that commodity inflation is reactive to El Niño and La Niña events, but that this sensitivity can occur either in the short-or long-term depending on the commodity under investigation. For commodities in agriculture, we uncover an asymmetric influence of El Niño and La Niña shocks. More central banks are questioning whether climate change is part of their mission to stabilize prices. Our results indicate the existence of a direct link between weather anomalies and commodity inflation, one that should be integrated into the central banks' inflation targeting framework.
Mots clés Agriculture, Energy, Commodity Price, Weather, ENSO
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Résumé In this paper we analyze how growing income/wealth inequality and the functional income distribution inequality have contributed to the sustained low potential growth observed in the industrialized economies during the last two decades, a period that includes the Great Recession (GR). Growing inequality may constitute a drawback for the recovery of these economies, especially after the Great Pandemic (GP). To this aim, we modify the semi-structural model originally proposed by Holston, Laubach and William, by considering the effects of several types of inequalities. We jointly estimate potential growth and the natural interest rates. We show that the latter can substantially modify the time path of the real interest rate that prevails when economies are at full strength and inflation is stable.
Mots clés State-space model, G7, Natural interest rate, Inequality, Potential growth
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Résumé This paper investigates the sustainability of public finances in the European countries since 2002. We provide evidence of heterogenous behaviors among the EU countries and show that, even if they had been forced to focus their fiscal efforts on correcting the deviations of debt from their ceiling -through a correcting mechanism such as the recent TSCG rule-, this would not necessarily have changed the likelihood that debt and deficits become more sustainable. Sources of deviations from stable debt and deficits are related to the macroeconomic environment: the interest-growth differential, momentum dynamics in the sovereign bond markets, how markets react to rising debt.
Mots clés Fiscal rules, Euro area, Quantile regression, Stability
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Résumé We investigate whether a higher financial integration with the rest of the world can help the African countries reduce their production inefficiency and/or push up their efficient frontier of production. We use two alternative empirical approaches based, respectively, on a stochastic frontier analysis and quantile regressions. We provide evidence of heterogeneous situations across countries and time. This paper proposes a new approach for defining, at the aggregate level, a link between financial openness and production efficiency. We show that one size does not fit all: international financial integration can increase or decrease African countries' standard of living.
Mots clés African countries, Financial openness, Stochastic frontier, Quantile regression
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Résumé We estimate the yield curve gap in Japan and examine whether it has contributed to the sustained low growth and low inflation rates observed since the beginning 2000s. We use a semi-structural empirical model that generalizes Laubach and Williams’ approach, considering the entire range of maturities of the interest rates and dealing with the issue of mixed frequency sampling. We consider global factors exerting downward pressures on inflation and examine how the neutral yield curve has affected the snowball effect in the dynamics of the Japanese public debt ratio.
Mots clés Yield curve, Potential growth, State-space model, Japan
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Résumé This paper attempts to provide an overview of the main challenges facing industrialized in a context of secular stagnation. There is no consensus on the meaning of this concept and various alternative views coexist. We present the key issues in the debates today, accounting for phenomena like the slowdown in factor productivity, liquidity and safety traps, the decline of natural interest rates, the historical downward trend of potential growths and low inflation rates. We provide a bird’s eye survey of the available literature on the causes of secular stagnation from a historical perspective, the symptoms, the main causes as well as some policies proposed to overcome it. We give some illustrations for the United Kingdom, the United States, the euro area and Japan.
Mots clés Secular stagnation, Natural interest rates, History, Industrialized countries
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Résumé This paper discusses the theoretical choice of exchange rate anchors in Sub-Saharan African countries that are facing external vulnerabilities. To reduce instability, policymakers choose among promoting external competitiveness using a real anchor, lowering the burden of external debt using a nominal anchor or using a policy mix of both anchors. We observe that these countries tend to adopt mixed anchor policies. We solve a state space model to explain the determinants of and the strategy behind this policy. We find that the choice of policy mix is a two-step strategy: First, authorities choose the degree of nominal exchange rate flexibility according to the velocity of money, trade openness, foreign debt, degree of exchange rate pass-through and exchange rate target zone. Second, authorities seek to stabilize the real exchange rate depending on the degree of trade integration with the rest of world and the degree of foreign exchange interventions. We conclude with regime-switching estimations to provide empirical evidence of how these economic fundamentals influence exchange rate policy in Sub-Saharan Africa.
Mots clés Exchange rate policy, African countries, Regime-switching model, External vulnerabilities
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Résumé This paper provides evidence that the external debt-to-fiscal revenue ratio in the emerging countries has a power-law distribution. Such a distribution reflects the fact that debt distress or debt crises are 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 further show that such a distribution can be derived from a theoretical model in which the debt dynamics is explained by tax evasion and corruption. Using the framework of an optimal stochastic growth model, we model the 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.
Mots clés Stochastic growth, External debt, Power-law, Emerging countries
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Résumé This paper provides evidence that the European Central Bank (ECB) has adjusted its interest rate since 1999 nonlinearly according to the macroeconomic and financial environment in the euro zone. Its policy function is described by a Taylor rule with regime shifts implying that the stance of reaction to the inflation-gap and output-gap has varied according to the credit risk in the private and sovereign bond markets, the monetary base and past levels of inflation, output and the shocks affecting the European economies. We provide evidence of regimes corresponding to low to high levels of inflation with the possibility of a situation near a zero low bound (ZLB) for the interest rate. We study the implications of such a rule for the economy in a simple new-Keynesian framework and show that it is consistent with several stable long-run steady states equilibria among which one that is consistent with the recent situation of a near liquidity trap in the euro area. We also find that around this liquidity trap steady state the equilibrium is locally determinate for most plausible parameter values. We discuss the issue of moving from a situation of low nominal interest rate to a policy that have been more typically implemented in the past by relying on an analysis of the impact of shocks (supply and demand) to the economy.
Mots clés Nonlinear Taylor Rules, Multiple steady state equilibria, Euro area
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Résumé This paper attempts to provide evidence of "shift-volatility" transmission in the East Asian equity markets. By shift-volatility, we mean the volatility shifts from a low level to a high level, corresponding respectively to tranquil and crisis periods. We examine the interdependence of equity volatilities between Hong-Kong, Indonesia, Japan, Malaysia, the Philippines, Singapore, Thailand and the United States. Our main issue is whether shift-volatility needs to be considered as a regional phenomenon, or from a more global perspective. We find that the timing/spans of high volatility regimes correspond adequately to years historically documented as those of crises (the Asian crisis and the years following the 2008 crisis). Moreover, we suggest different indicators that could be useful to guide the investors in their arbitrage behavior in the different regimes: the duration of each state, the sensitivity of the volatility in a market following a change in the volatility in another market. Finally, we are able to identify which market can be considered as leading markets in terms of volatility.
Mots clés Regime shifts, Equity volatility, East Asia, TVPMS
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Résumé This paper attempts to analyze the relationships between the ASEAN-5 countries' business cycles. We examine the nature of business cycles correlation trying to disentangle between regional spillover effects (expansion and recession phases among the ASEAN-5 are correlated) and global spillovers where the business cycles of other countries (China, Japan and the US) play an important role in synchronizing the activity within the ASEAN-5. We employ a time-varying transition probability Markov switching framework in order to allow the degree of synchronization to fluctuate over time and across the phases of the business cycles. We provide evidence that the signals contained in some leading business cycles can impact the ASEAN-5 countries' individual business cycles.
Mots clés OCA, East Asia, Business cycle synchronization, Monetary union, Markov-switching
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Résumé This paper proposes a new fractional model with a time-varying long-memory parameter. The latter evolves nonlinearly according to a transition variable through a logistic function. We present a LR-based test that allows to discriminate between the standard fractional model and our model. We further apply the nonlinear least squares method to estimate the long memory parameter. We present an application to the unemployment rate in the United -States from 1948 to 2012.
Mots clés Time varying parameter, Nonlinearity, Long-memory, Logistic
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