Patrick Pintus

Chercheur ,  Aix-Marseille Université , Faculté d'économie et de gestion (FEG) , INSHS CNRS

Économie publique
Pintus
Statut
Professeur des universités
Domaine(s) de recherche
Macroéconomie
Thèse
1997, École des hautes études en sciences sociales
Contact
papintus[at]gmail.com
Adresse

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

Site
http://sites.google.com/site/patrickpintus/
Résumé Most studies assessing animal decision-making under risk rely on probabilities that are typically larger than 10%. To study Decision-Making in uncertain conditions, we explore a novel experimental and modelling approach that aims at measuring the extent to which rats are sensitive - and how they respond - to outcomes that are both rare (probabilities smaller than 1%) and extreme in their consequences (deviations larger than 10 times the standard error). In a four-armed bandit task, stochastic gains (sugar pellets) and losses (time-out punishments) are such that extremely large - but rare - outcomes materialize or not depending on the chosen options. All rats feature both limited diversification, mixing two options out of four, and sensitivity to rare and extreme outcomes despite their infrequent occurrence, by combining options with avoidance of extreme losses (Black Swans) and exposure to extreme gains (Jackpots). Notably, this sensitivity turns out to be one-sided for the main phenotype in our sample: it features a quasi-complete avoidance of Black Swans, so as to escape extreme losses almost completely, which contrasts with an exposure to Jackpots that is partial only. The flip side of observed choices is that they entail smaller gains and larger losses in the frequent domain compared to alternatives. We have introduced sensitivity to Black Swans and Jackpots in a new class of augmented Reinforcement Learning models and we have estimated their parameters using observed choices and outcomes for each rat. Adding such specific sensitivity results in a good fit of the selected model - and simulated behaviors that are close - to behavioral observations, whereas a standard Q-Learning model without sensitivity is rejected for almost all rats. This model reproducing the main phenotype suggests that frequent outcomes are treated separately from rare and extreme ones through different weights in Decision-Making.
Publication HAL Google Scholar
Résumé We provide a novel way to correct the effective reproduction number for the time-varying amount of tests, using the acceleration index (Baunez et al., 2021) as a simple measure of viral spread dynamics. Not correcting results in the reproduction number being a biased estimate of viral acceleration and we provide a formal decomposition of the resulting bias, involving the useful notions of test and infectivity intensities. When applied to French data for the COVID-19 pandemic (May 13, 2020-October 26, 2022), our decomposition shows that the reproduction number, when considered alone, characteristically underestimates the resurgence of the pandemic, compared to the acceleration index which accounts for the time-varying volume of tests. Because the acceleration index aggregates all relevant information and captures in real time the sizable time variation featured by viral circulation, it is a more parsimonious indicator to track the dynamics of an infectious disease outbreak in real time, compared to the equivalent alternative which would combine the reproduction number with the test and infectivity intensities.
Mots clés Virus testing, Pandemics, COVID 19, Public and occupational health, France, Acceleration, Diagnostic medicine, Public policy
Publication HAL Google Scholar
Résumé The interest rate at which US firms borrow funds has two features: (i) it moves in a countercyclical fashion and (ii) it is an inverted leading indicator of real economic activity: low interest rates today forecast future booms in GDP, consumption, investment, and employment. We show that a Kiyotaki–Moore model accounts for both properties when interest-rate movements are driven, in a significant way, by self-fulfilling belief shocks that redistribute income away from lenders and to borrowers during booms. The credit-based nature of such self-fulfilling equilibria is shown to be essential: the dynamic correlation between current loanable funds rate and future aggregate economic activity depends critically on the property that the interest rate is state-contingent. Bayesian estimation of our benchmark DSGE model on US data shows that the model driven by redistribution shocks results in a better fit to the data than both standard RBC models and Kiyotaki–Moore type models with unique equilibrium.
Mots clés Multiple equilibria, Redistribution shocks, State-contingent interest rate, Endogenous collateral constraints
Publication HAL Google Scholar
Résumé Comment mesurer le plus finement possible l'accélération ou la décélération d'une épidémie ?
HAL Google Scholar
Résumé An acceleration index is proposed as a novel indicator to track the dynamics of COVID-19 in real-time. Using data on cases and tests in France for the period between the first and second lock-downs-May 13 to October 25, 2020-our acceleration index shows that the pandemic resurgence can be dated to begin around July 7. It uncovers that the pandemic acceleration was stronger than national average for the [59-68] and especially the 69 and older age groups since early September, the latter being associated with the strongest acceleration index, as of October 25. In contrast, acceleration among the [19-28] age group was the lowest and is about half that of the [69-78]. In addition, we propose an algorithm to allocate tests among French "dé partements" (roughly counties), based on both the acceleration index and the feedback effect of testing. Our acceleration-based allocation differs from the actual distribution over French territories, which is population-based. We argue that both our acceleration index and our allocation algorithm are useful tools to guide public health policies as France might possibly enter a third lock-down period with indeterminate duration.
Mots clés France, Sub-national allocation of tests, Real-time Analysis, Acceleration Index, Indicator of epidemic dynamics, COVID-19
Publication HAL Google Scholar
Résumé Our analysis of US state-level data on an annual frequency, from 1976 to 2008, sheds new light on a plausible causal link between infrastructure investments, namely public spending on highways, and income inequality. This causal relationship is drawn out using the number of seats in the US House of Representatives Committee on Appropriations (HRCA) as an instrument to identify quasi-random variations in state-level spending on highways. An exogenous pattern which emerges when a state gains an additional member to the HRCA is that it is allocated with new federal grants. This increase in federal transfers for infrastructure financing results in slashing of expenditures on highways and a crowding-out effect of federal funding for state investments on highways. Spending cuts on highways produced by a new HRCA member being attained by a state can unwittingly cause income inequality to rise over a short 2-year time horizon. Similar challenges with decentralized development to finance infrastructure via federal transfers to state and sub-national governments may be encountered by other industrially advanced, emerging and low-income developing economies. US data over the mentioned period reveal a strong positive correlation with state spending on highways and wages paid for construction jobs. Suggestive evidence indicates that the construction sector also plays an important role in the transmission channel from a rise in state spending on highways to lowering income inequality, albeit during specific intervals, as opposed to on a long-term basis.
Mots clés US state panel data, Public infrastructure, Instrument variable, Income inequality, Highways
Publication HAL Google Scholar
Résumé La recherche en sciences humaines et sociales (SHS), à qui l’on pose régulièrement la question de son « utilité », a été massivement mobilisée dans la première partie de l’année 2020, tant par les médias et les institutions. Elle s’est montrée d’une grande réactivité, en adaptant ses calendriers et ses objectifs, en modifiant ses formats d’interventions (wébinaires, cours en distanciel). Chercheuses et chercheurs, enseignant(e)s-chercheurs ont été présents, et ce malgré des inégalités générées par le confinement dans le travail de recherche, notamment en termes de genre. Le présent travail a pour ambition de proposer à son lecteur une analyse mobilisant les travaux des SHS dans leur ensemble. Sans prétendre à l’exhaustivité, il tisse les fils, à travers les questions qu’il aborde, d’une discipline à une autre, composant un ensemble dans lequel les SHS entrent en résonance les unes avec les autres, déploient leur complémentarité, et créent une analyse commune, qu’elles relèvent plutôt des sciences sociales ou des humanités. Il a pour objectif de rendre manifeste un capital scientifique des SHS en tant que telles, pour aborder les différents questionnements que suscite la pandémie de Covid-19. La recherche actuelle en SHS sur la pandémie, sa gestion politique, et ses enjeux, ne s’élabore pas ex nihilo. Tout en prenant la mesure de la spécificité des temps présents, elle s’appuie sur un ensemble de cadres théoriques, de méthodes, d’analyses élaborés dans d’autres contextes, remobilisés, réactualisés, enrichis à la lumière des problématiques associées à la pandémie de Covid 19. Par ailleurs, le parti-pris de ce travail a été de tenir compte d’emblée de la dimension mondiale de la pandémie, et de ne pas s’en tenir à la situation française. Ainsi, plusieurs contextes nationaux, voire continentaux sont explorés sur tel ou tel point et la dimension mondiale de la pandémie y est prise en compte en tant que telle. Enfin, ce document s’intéresse aussi à la manière même dont les sciences humaines et sociales se sont mobilisées, en France, dans le contexte de la pandémie de Covid 19, aux formes collaboratives, aux pratiques pluridisciplinaires particulièrement adoptées face à cette pandémie. Il se structure en cinq parties : la première porte sur la manière dont les SHS font de la crise une question et un objet de connaissance (A – Du cadrage de la crise dans l’espace public à la crise comme objet de connaissance - l’exemple de la France). La seconde aborde un point saillant des analyses élaborées au cours des derniers mois, qui envisagent la pandémie comme un révélateur, voire un amplificateur d’enjeux pré-existants (B). Puis, la troisième partie s’intéresse aux sociétés et aux gouvernements confrontés à la pandémie (C), autrement dit aux formes de la gestion de la crise par le pouvoir politique, à la mobilisation des sciences et à l’exercice du pouvoir, ainsi qu’aux mesures prises et aux attitudes des populations au regard de ces mesures. La quatrième partie présente la façon dont le temps de la pandémie a été traversé de questionnements pour le futur, questionnements qui à leur tour impriment des orientations pour la recherche en SHS (D. Se réinventer en temps de pandémie). Enfin, la cinquième et dernière partie invite le lecteur à découvrir comment les SHS se sont mobilisées en temps de pandémie, comment elles ont collaboré et entrepris de documenter à chaud la crise sanitaire tout en acceptant de voir se renouveler questions, objets, méthodes sous l’effet de cette crise (E. Quand la crise invite aux collaborations et à une réflexion sur le « transfert » des connaissances).
HAL Google Scholar
Résumé Tests are crucial to know about the number of people who have fallen ill with COVID-19 and to understand in real-time whether the dynamics of the pandemic is accelerating or decelerating. But tests are a scarce resource in many countries. The key but still open question is thus how to allocate tests across sub-national levels. We provide a data-driven and operational criterion to allocate tests efficiently across regions or provinces, with the view to maximize detection of people who have been infected. We apply our criterion to Italian regions and compute the shares of tests that should go to each region, which are shown to differ significantly from the actual distribution.
Mots clés COVID-19, Italy, Acceleration of harm, Deceleration of harm, Epidemic dynamics, Efficiency criterion, Sub-national allocation of tests, Real-time Analysis
HAL Google Scholar
Résumé This paper stresses a new channel through which global financial linkages contribute to the co‐movement in economic activity across countries. We show in a two‐country setting with borrowing constraints that international credit markets are subject to self‐fulfilling variations in the world real interest rate. Those expectation‐driven changes in the borrowing cost in turn act as global shocks that induce strong cross‐country co‐movements in both financial and real variables (such as asset prices, gross domestic product, consumption, investment, and employment). When firms around the world benefit from unexpectedly low debt repayments, they borrow and invest more, which leads to excessive supply of collateral and of loanable funds at a low interest rate, thus fueling a boom both at home and abroad. As a consequence, business cycles are synchronized internationally. Such a stylized model thus offers one way to rationalize both the existence of a world business‐cycle component, documented by recent empirical studies through dynamic factor analysis, and the factor's intimate link to global financial markets.
Mots clés World interest rate, International co-movement, Self-fulfilling equilibria
Publication HAL Google Scholar
Résumé This paper develops a simple business-cycle model in which financial shocks have large macroeconomic effects when private agents are gradually learning the uncertain environment. Agents update their beliefs about the reduced-form structure of the economy. Because the persistence of leverage is overestimated by adaptive learners, the responses of output, investment, and other aggregates under adaptive learning are significantly larger than under rational expectations. In our benchmark case calibrated using US data on leverage, debt-to-GDP and land value-to-GDP ratios for 1996Q1–2008Q4, learning amplifies leverage shocks by a factor of about three, relative to rational expectations. When fed with actual leverage innovations observed over that period, the learning model predicts that the persistence of leverage shocks is increasingly overestimated after 2002 and that a sizeable recession occurs in 2008–2010, while its rational expectations counterpart predicts a counter-factual expansion. In addition, we show that procyclical leverage reinforces the amplification due to learning and, accordingly, that macro-prudential policies that enforce countercyclical leverage dampen the effects of leverage shocks.
Mots clés Adaptive learning, Collateral constraints, Financial shocks, Great recession
Publication HAL Google Scholar
Résumé Under uncertainty, mean growth of, say, wealth is often defined as the growth rate of average wealth, but it can alternatively be defined as the average growth rate of wealth. We argue that stochastic stability points to the latter notion of mean growth as the theoretically relevant one. Our discussion is cast within the class of continuous-time AK-type models subject to geometric Brownian motions. First, stability concepts related to stochastic linear homogeneous differential equations are introduced and applied to the canonical AK model. It is readily shown that exponential balanced-growth paths are not robust to uncertainty. In a second application, we evaluate the quantitative implications of adopting the stochastic-stability-related concept of mean growth for the comparative statics of global diversification in the seminal model due to Obstfeld (1994).
Mots clés Mean growth, Global diversification, Stochastic stability, Endogenous stochastic growth, AK model
Publication HAL Google Scholar
Résumé This paper aims at clarifying the analytical conditions under which financial globalization originates welfare gains in a simple endogenous growth setting. We focus on an open-economy AK model in which the capital-deepening effect of financial globalization boosts growth in a in permanent but entails an entry cost in order to access international credit markets. We show that constrained borrowing triggers substantial welfare gains, even at small levels of international financial integration, provided that the autarkic growth rate is larger than the world interest rate. Such conditional welfare benefits boosted by stronger growth—long-run gain—arise in our preferred model without investment commitment and they range, relative to autarky, from about 2% in middle-income countries to about 13% in OECD-type countries under international financial integration. Sizeable benefits emerge despite the fact that consumption initially falls—short-run pain—which is, however, shown not to dwarf positive growth changes.
Publication HAL Google Scholar
Résumé The real interest rate at which US firms borrow funds to finance their investment and other expenses has two striking features. It is low when GDP is high (and vice versa) and it is an inverted leading indicator of real economic activity. Low interest rates today forecast future booms in GDP, consumption, investment, and employment. This Rue de la Banque shows that inherent to such correlations is a redistribution channel through which resources typically flow from lending entities to borrowing firms during expansions. Such a redistribution channel is driven by expectations about future levels of the borrowing cost, which accounts for a large share of the volatility of output, investment and other macroeconomic variables during business cycles.
HAL Google Scholar
Résumé The value of land in the balance sheet of French firms correlates positively with their hiring and investment flows. To explore the relationship between these variables, we develop a macroeconomic model with firms that are subject to both credit and labor market frictions. The value of collateral is driven by the forward-looking dynamics of the land price, which reacts endogenously to fundamental and non-fundamental (sunspot) shocks. We calibrate the model to French data and find that land price shocks give rise to significant amplification and hump-shaped responses of investment, vacancies and unemployment that are in line with the data. We show that both the endogenous movements in the firms׳ discount factor and the sluggish response of the land price are key elements that drive the results.
Mots clés Labor market frictions, Financial shocks, Financial shocks
Publication HAL Google Scholar
Résumé The fluctuations of the value of land held by French firms present a very similar pattern to those of both investment and employment. This Rue de la Banque presents a model in which firms face imperfect labour and credits markets. Due to a collateral constraint for credit, the market value of land in firms’ balance sheets plays an important role in determining how much they can borrow, and thus affects their investment levels and hiring decisions. The empirical results confirm the predictions of the theoretical model. Fluctuations in land prices had an impact on the business cycle and on the dynamics of the labour market in France.
Mots clés Economie quantitative
HAL Google Scholar
Résumé We consider a small-open, collateral-constrained AK economy. We show that the combination of CARA preferences and uncertainty on capital inflows generates long-term growth while the deterministic counterpart does not: long-term growth is entirely driven by precautionary savings, and the asymptotic growth rate of the expected capital stock is increasing in both the risk magnitude and the Arrow–Pratt absolute risk aversion parameters.
Mots clés Precautionary savings, Growth, Financial liberalization, Collateral constraints, CARA preferences, CARA preferences
Publication HAL Google Scholar
Résumé Investment booms and asset "bubbles" are often the consequence of heavily leveraged borrowing and speculations of persistent growth in asset demand. We show theoretically that dynamic interactions between elastic credit supply (due to leveraged borrowing) and persistent credit demand (due to consumption habit) can generate a multiplier-accelerator mechanism that transforms a one-time productivity or financial shock into large and long-lasting boom-bust cycles. The predictions are consistent with the basic features of investment booms and the consequent asset-market crashes led by excessive credit expansion. (Copyright: Elsevier)
Mots clés Multiplier-accelerator, Investment boom, Elastic credit supply, Borrowing constraints, Asset bubble
Publication HAL Google Scholar
Résumé In this paper, we apply two optimization methods to solve an optimal control problem of a linear neutral differential equation (NDE) arising in economics. The first one is a variational method, the second follows a dynamic programming approach. Due to the infinite dimensionality of the NDE, the second method requires the reformulation of the latter as an ordinary differential equation in an appropriate abstract space. It is shown that the resulting HJB equation admits a closed-form solution, allowing for a much finer characterization of the optimal dynamics compared to the alternative variational method. The latter is clearly limited by the nontrivial nature of asymptotic analysis of NDEs.
Mots clés INFINITE DIMENSION, Dynamic programming, Calculus of variations, Optimal control, Economic dynamics, Neutral differential equations
HAL Google Scholar
Résumé We assess the stabilizing effect of progressive income taxes in a monetary economy with constant returns to scale. It is shown that tax progressivity reduces, in parameter space, the likelihood of local indeterminacy, sunspots and cycles. However, considering plausibly low levels of tax progressivity does not ensure saddle- point stability and preserves as robust the occurrence of sunspot equilibria and endogenous cycles. It turns out that increasing progressivity, through its impact on after-tax income, makes labor supply more inelastic. However, even when large, tax progressivity does not neutralize the effects of expected inflation on current labor supply which may lead to expectation-driven business fluctuations.
Mots clés Stabilization, Progressive Income Taxes, Business Cycles, Sunspots, Stabilization
Publication HAL Google Scholar
Résumé It has been shown that progressive income taxes may lead to saddle-point convergence when the marginal tax rate is assumed to be a continuously increasing function of income. This note shows that linearly progressive taxes may also immunize the economy against indeterminacy and sunspot equilibria. Therefore, our analysis suggests that exemption thresholds, as featured by prevailing tax codes, may help to stabilize the economy.
Mots clés Business Cycles, Progressive Income Taxes, Sunspots
Publication HAL Google Scholar
Résumé We provide a novel way to correct the effective reproduction number for the time-varying amount of tests, using the acceleration index (Baunez et al., 2021) as a simple measure of viral spread dynamics. Not correcting results in the reproduction number being a biased estimate of viral acceleration and we provide a formal decomposition of the resulting bias, involving the useful notions of test and infectivity intensities. When applied to French data for the COVID-19 pandemic (May 13, 2020 - October 26, 2022), our decomposition shows that the reproduction number, when considered alone, characteristically underestimates the resurgence of the pandemic, compared to the acceleration index which accounts for the time-varying volume of tests. Because the acceleration index aggregates all relevant information and captures in real time the sizable time variation featured by viral circulation, it is a more parsimonious indicator to track the dynamics of an infectious disease outbreak in real time, compared to the equivalent alternative which would combine the reproduction number with the test and infectivity intensities
Mots clés COVID-19, Reproduction Number, TESTING, Acceleration Index, Real-time Analysis, France
Télécharger HAL Google Scholar
Résumé The interest rate at which US firms borrow funds has two features: (i) it moves in a countercyclical fashion and (ii) it is an inverted leading indicator of real economic activity: low interest rates today forecast future booms in GDP, consumption, investment, and employment. We show that a Kiyotaki-Moore model accounts for both properties when interest-rate movements are driven, in a significant way, by self-fulfilling belief shocks that redistribute income away from lenders and to borrowers during booms. The credit-based nature of such self-fulfilling equilibria is shown to be essential: the dynamic correlation between current loanable funds rate and future aggregate economic activity depends critically on the property that the interest rate is state-contingent. Bayesian estimation of our benchmark DSGE model on US data shows that the model driven by redistribution shocks results in a better fit to the data than both standard RBC models and Kiyotaki-Moore type models with unique equilibrium.
Mots clés Multiple equilibria, Redistribution shocks, Endogenous collateral constraints, State-contingent interest rate
Télécharger HAL Google Scholar
Résumé Objectives: This note provides an assessment of COVID-19 acceleration among groups with different vaccine status in France. Methods: We assess viral acceleration using a novel indicator introduced in Baunez et al. (2021). The acceleration index relates the percentage change of tests that have been performed on a given day to the percentage change in the associated positive cases that same day. We compare viral acceleration among vaccinated and unvaccinated individuals in France over the period May 31st-August 29, 2021. Results: Once the state of the epidemic within each groups is accounted for, it turns out that viral acceleration has since mid-July converged to similar levels among vaccinated and unvaccinated individuals in France, even though viral speed is larger for the latter group compared to the former. Conclusion: Our results call for an increasing testing effort for both vaccinated and unvaccinated individuals, in view of the fact that viral circulation is currently accelerating at similar levels for both groups in France.
Mots clés COVID-19, Vaccine Status, Viral Acceleration, Acceleration Index, France
Télécharger HAL Google Scholar
Résumé An acceleration index is proposed as a novel indicator to track the dynamics of COVID-19 in real-time. Using data on cases and tests in France for the period between the first and second lock-downs-May 13 to October 25, 2020-our acceleration index shows that the pandemic resurgence can be dated to begin around July 7. It uncovers that the pandemic acceleration was stronger than national average for the [59-68] and especially the 69 and older age groups since early September, the latter being associated with the strongest acceleration index, as of October 25. In contrast, acceleration among the [19-28] age group was the lowest and is about half that of the [69-78]. In addition, we propose an algorithm to allocate tests among French "dé partements" (roughly counties), based on both the acceleration index and the feedback effect of testing. Our acceleration-based allocation differs from the actual distribution over French territories, which is population-based. We argue that both our acceleration index and our allocation algorithm are useful tools to guide public health policies as France might possibly enter a third lock-down period with indeterminate duration.
Mots clés France, Sub-national allocation of tests, Real-time Analysis, Acceleration Index, Indicator of epidemic dynamics, COVID-19
Publication Télécharger HAL Google Scholar
Résumé Even though much has been learned about the new pathogen SARS-CoV-2 since the beginning of the COVID-19 pandemic, a lot of uncertainty remains. In this paper we argue that what is important to know under uncertainty is whether harm accelerates and whether health policies achieve deceleration of harm. For this, we need to see cases in relation to diagnostic effort and not to look at indicators based on cases only, such as a number of widely used epidemiological indicators, including the reproduction number, do. To do so overlooks a crucial dimension, namely the fact that the best we can know about cases will depend on some welldefined strategy of diagnostic effort, such as testing in the case of COVID-19. We will present a newly developed indicator to observe harm, the acceleration index, which is essentially an elasticity of cases in relation to tests. We will discuss what efficiency of testing means and propose that the corresponding health policy goal should be to find ever fewer cases with an ever-greater diagnostic effort. Easy and low-threshold testing will also be a means to give back people’s sovereignty to lead their life in an “open” as opposed to “locked-down” society.
Mots clés Uncertainty, Acceleration Index, Anti-fragility, Reproduction factor, Test strategy, Sovereignty
Télécharger HAL Google Scholar
Résumé We show that the acceleration index, a novel indicator that measures acceleration and deceleration of viral spread (Baunez et al. 2020a,b), is essentially a test-controlled version of the reproduction number. As such it is a more accurate indicator to track the dynamics of an infectious disease outbreak in real time. We indicate a discrepancy between the acceleration index and the reproduction number, based on the infectivity and test rates and we provide a formal decomposition of this difference. When applied to French data for the ongoing COVID-19 pandemic, our decomposition shows that the reproduction number consistently underestimates the resurgence of the pandemic since the summer of 2020, compared to the acceleration index which accounts for the time-varying volume of tests. Because the acceleration index aggregates all the relevant information and captures in real time the sizeable time variation featured by viral circulation, it is a sufficient statistic to track the pandemic’s propagation.
Mots clés COVID-19, Reproduction Number, Lock-down, Acceleration Index, Real-time Analysis, France
Télécharger HAL Google Scholar
Résumé This note provides an early assessment of the reinforced measures to curb the COVID-19 pandemic in France, which include a curfew of selected areas and culminate in a second COVID-19-related lock-down that started on October 30, 2020 and is still ongoing. We analyse the change in virus propagation across age groups and across départements using an acceleration index introduced in Baunez et al. (2020). We find that while the pandemic is still in the acceleration regime, acceleration decreased notably with curfew measures and this more rapidly so for the more vulnerable population group, that is, for people older than 60. Acceleration continued to decline under lock-down, but more so for the active population under 60 than for those above 60. For the youngest population aged 0 to 19, curfew measures did not reduce acceleration but lock-down does. This suggests that if health policies aim at protecting the elderly population generally more at risk to suffer severe consequences from COVID-19, curfew measures may be effective enough. However, looking at the departmental map of France, we find that curfews have not necessarily been imposed in départements where acceleration was the largest.
Mots clés COVID-19, Effects of curfew and lock-down, Acceleration Index, Real-time Analysis, France
Télécharger HAL Google Scholar
Résumé An acceleration index is proposed as a novel indicator to track the dynamics of the COVID-19 in real-time. Using French data on cases and tests for the period following the first lock-down-from May 13, 2020, onwards-our acceleration index shows that the ongoing pandemic resurgence can be dated to begin around July 7. It uncovers that the pandemic acceleration has been stronger than national average for the [59 − 68] and especially the 69 and older age groups since early September, the latter being associated with the strongest acceleration index, as of October 25. In contrast, acceleration among the [19 − 28] age group is the lowest and is about half that of the [69 − 78], as of October 25. In addition, we propose an algorithm to allocate tests among French départements, based on both the acceleration index and the feedback effect of testing. Our acceleration-based allocation differs from the actual distribution over French territories, which is population-based. We argue that both our acceleration index and our allocation algorithm are useful tools to guide public health policies as France enters a second lock-down period with indeterminate duration.
Mots clés COVID-19, Indicator of epidemic dynamics, Acceleration Index, Real-time Analysis, Sub-national allocation of tests, France
Télécharger HAL Google Scholar
Résumé This paper investigates how different monetary policy designs alter the effect of carry trades on a host small open economy. Capital inflows are expansionary, leading the central bank to raise the interest rate, increasing carry trades' returns, and generating further capital inflows (carry trades' vicious circle). This paper shows how monetary authorities can mitigate or suppress this vicious circle, when agents do not have full information about the central bank's objectives. The best way to deal with the destabilizing effect of carry trades is to target both inflation and capital inflows.
Mots clés Inflation targeting JEL classification E44, E52, E58, F31, G15, Vicious circle, Interest rate differential, Carry trades, Index terms-Capital inflows
Télécharger HAL Google Scholar
Résumé Tests are crucial to know about the number of people who have fallen ill with COVID-19 and to understand in real-time whether the dynamics of the pandemic is accelerating or decelerating. But tests are a scarce resource in many countries. The key but still open question is thus how to allocate tests across sub-national levels. We provide a data-driven and operational criterion to allocate tests efficiently across regions or provinces, with the view to maximize detection of people who have been infected. We apply our criterion to Italian regions and compute the shares of tests that should go to each region, which are shown to differ significantly from the actual distribution.
Mots clés COVID-19, Italy, Acceleration of harm, Deceleration of harm, Epidemic dynamics, Efficiency criterion, Sub-national allocation of tests, Real-time Analysis
Télécharger HAL Google Scholar
Résumé Our analysis of US state-level data on an annual frequency, from 1976 to 2008, sheds new light on a plausible causal link between infrastructure investments, namely public spending on highways, and income inequality. This causal relationship is drawn out by using the number of seats in the US House of Representatives Committee on Appropriations (HRCA) as an instrument to identify quasi-random variations in state-level spending on highways. An exogenous pattern which emerges when a state gains an additional member to the HRCA is that it is allocated with new federal grants. This increase in federal transfers for infrastructure financing results in slashing of expenditures on highways and a crowding-out e˙ect of federal funding for state investments on highways. Spending cuts on highways produced by a new HRCA member being attained by a state can unwittingly cause income inequality to rise over a short two-year time horizon. Similar challenges with decentralized development to finance infrastructure via federal transfers to state and sub-national governments may be encountered by other industrially advanced, emerging and low-income developing economies. US data over the mentioned period reveal a strong positive correlation with state spending on highways and wages paid for construction jobs. Suggestive evidence indicates that the construction sector also plays an important role in the transmission channel from a rise in state spending on highways to lowering income inequality, albeit during specific intervals, as opposed to on a long-term basis.
Mots clés Public infrastructure, Highways, Income inequality, US state panel data, Instrument variable
Télécharger HAL Google Scholar
Résumé Tests are crucial to know about the number of people who have fallen ill with COVID-19 and to understand in real-time whether the dynamics of the pandemic is accelerating or decelerating. But tests are a scarce resource in many countries. The key but still open question is thus how to allocate tests across sub-national levels. We provide a data-driven and operational criterion to allocate tests efficiently across regions or provinces, with the view to maximize detection of people who have been infected. We apply our criterion to Italian regions and compute the shares of tests that should go to each region, which are shown to differ significantly from the actual distribution.
Mots clés Sub-national allocation of tests, Real-time Analysis, COVID-19, Epidemic dynamics, Acceleration of harm, Deceleration of harm, Italy, Efficiency criterion
Télécharger HAL Google Scholar
Résumé The radical uncertainty around the current COVID19 pandemics requires that governments around the world should be able to track in real time not only how the virus spreads but, most importantly, what policies are effective in keeping the spread of the disease under check. To improve the quality of health decision-making, we argue that it is necessary to monitor and compare acceleration/deceleration of confirmed cases over health policy responses, across countries. To do so, we provide a simple mathematical tool to estimate the convexity/concavity of trends in epidemiological surveillance data. Had it been applied at the onset of the crisis, it would have offered more opportunities to measure the impact of the policies undertaken in different Asian countries, and to allow European and North-American governments to draw quicker lessons from these Asian experiences when making policy decisions. Our tool can be especially useful as the epidemic is currently extending to lower-income African and South American countries, some of which have weaker health systems.
Mots clés Acceleration, Convexity, COVID-19, Data Dashboard, Detection of Infectious Diseases, Public Health Policy, Sensitivity
Télécharger HAL Google Scholar
Résumé This paper stresses a new channel through which global financial linkages contribute to the co-movement in economic activity across countries. We show in a two-country setting with borrowing constraints that international credit markets are subject to self-fulfilling variations in the world real interest rate. Those expectation-driven changes in the borrowing cost in turn act as global shocks that induce strong cross-country co-movements in both financial and real variables (such as asset prices, GDP, consumption, investment and employment). When firms around the world benefit from unexpectedly low debt repayments, they borrow and invest more, which leads to excessive supply of collateral and of loanable funds at a low interest rate, thus fueling a boom in both home and abroad. As a consequence, business cycles are synchronized internationally. Such a stylized model thus offers one way to rationalize both the existence of a world business-cycle component, documented by recent empirical studies through dynamic factor analysis, and the factor’s intimate link to global financial markets.
Mots clés World interest rate, International co-movement, Self-fulfilling equilibria
Télécharger HAL Google Scholar
Résumé Through utilizing US state-level data at annual frequency from 1976 to 2008, this paper documents a causal effect of infrastructure investments, specifically public spending on highways, on income inequality. The number of seats in the US House of Representatives Committee On Appropriations serves as a valid instrument to identify quasi-random variations in state-level spending on highways. When a given state gains an additional committee member, which is rather exogenous, new federal grants are allocated to that state, resulting in the state government slashing its investment expenditures on highways. In other words, a crowding-out effect of federal funding for state investment in highways is at play. The main contribution of this paper is to show that such committee-driven cuts in spending on highways cause an increase in income inequality within a two-year horizon. In addition, we show that wages paid for construction jobs correlate positively and strongly with spending on highways at the state level. This further provides suggestive evidence that the construction sector plays an important role in the transmission channel from a rise in state spending on highways to a reduction in income inequality.
Mots clés Public infrastructure, Highways, Income inequality, US state panel data, Instrument variable
Télécharger HAL Google Scholar
Résumé Under uncertainty, mean growth of, say, wealth is often defined as the growth rate of average wealth, but it can alternatively be defined as the average growth rate of wealth. We argue that stochastic stability points to the latter notion of mean growth as the theoretically relevant one. Our discussion is cast within the class of continuous-time AK-type models subject to geometric Brownian motions. First, stability concepts related to stochastic linear homogenous differential equations are introduced and applied to the canonical AK model. It is readily shown that exponential balanced-growth paths are not robust to uncertainty. In a second application, we evaluate the quantitative implications of adopting the stochastic-stability-related concept of mean growth for the comparative statics of global diversification in the seminal model due to Obstfeld (1994).
Mots clés Stochastic stability, AK model, Global diversification, Endogenous stochastic growth, Mean growth
Télécharger HAL Google Scholar
Résumé This paper develops a simple business-cycle model in which financial shocks have large macroeconomic effects when private agents are gradually learning the uncertain environment. When agents update their beliefs about the parameters that govern the unobserved process driving financial shocks to the leverage ratio, the responses of output, investment, and other aggregates under adaptive learning are significantly larger than under rational expectations. In our benchmark case calibrated using US data on leverage, debt-to-GDP and land value-to- GDP ratios for 1996Q1-2008Q4, learning amplifies leverage shocks by a factor of about three, relative to rational expectations. When fed with actual leverage innovations observed over that period, the learning model predicts that the persistence of leverage shocks is increasingly overestimated after 2002 and that a sizeable recession occurs in 2008-10, while its rational expectations counterpart predicts a counter-factual expansion. In addition, we show that procyclical leverage reinforces the amplification due to learning and, accordingly, that macro-prudential policies that enforce countercyclical leverage dampen the effects of leverage shocks.
Mots clés Collateral constraints, Learning, Financial shocks, Great recession
Télécharger HAL Google Scholar
Résumé This paper aims at clarifying the analytical conditions under which financial globalization originates welfare gains in a simple endogenous growth setting. We focus on an open-economy AK model in which the capital-deepening effect of financial globalization boosts growth in a in permanent but entails an entry cost in order to access international credit markets. We show that constrained borrowing triggers substantial welfare gains, even at small levels of international financial integration, provided that the autarkic growth rate is larger than the world interest rate. Such conditional welfare benefits boosted by stronger growth - long-run gain - arise in our preferred model without investment commitment and they range, relative to autarky, from about 2% in middle-income countries to about 13% in OECD-type countries under international financial integration. Sizeable benefits emerge despite the fact that consumption initially falls - short-run pain - which is however shown not to dwarf positive growth changes.
Mots clés Growth Breaks, Collateral-Constrained Borrowing, International financial integration, Endogenous growth, Welfare Gains
Télécharger HAL Google Scholar
Résumé In this paper, we revisit the question of how domestic and foreign risks affect growth through the lens of an AK small-open economy model with risky borrowing/lending and global diversification. Wealth is allocated between domestic and foreign assets and the optimal allocation depends on both the difference in deterministic returns and the relative magnitude and correlation of domestic and foreign risks. Depending on parameters, the small-open economy may choose to either borrow from abroad, despite the fact that this is risky, or lend. In contrast to standard N-country models, whether growth is faster or slower (and whether growth is more or less volatile) compared to autarky is not entirely driven by relative risk aversion but also depends on the return and risk characteristics of domestic and foreign assets. We also show that growth volatility and mean growth have typically nonmonotonic relationships with the the levels and correlation of domestic and foreign risks. We argue that these results are in line with, and lay down some theoretical foundations for explaining the conflicting empirical results regarding the impact of international financial integration on growth and in particular threshold effects.
Mots clés International financial integration, Endogenous growth, Small open economy, Domestic and foreign risks
Télécharger HAL Google Scholar
Résumé We examine the issue of stability of stochastic endogenous growth. First, stochastic stability concepts are introduced and applied to stochastic linear homogenous differential equations to which several stochastic endogenous growth models reduce. Second, we apply the mathematical theory to two models, starting with the stochastic AK model. It's shown that in this case exponential balanced paths, which characterize optimal trajectories in the absence of uncertainty, are not robust to uncertainty: the economy may almost surely collapse at exponential speed even though productivity is initially arbitrarily high. Finally, we revisit the seminal global diversification endogenous growth model (Obstfeld, 1994): taking into account stochastic stability calls for a redefinition of the mean growth concept, which leads to revisit the established wisdom on the growth effect of global diversification.
Mots clés Endogenous growth, Stochastic growth, Stochastic stability, AK model, Global diversification
Télécharger HAL Google Scholar
Résumé In a seminal article, Obstfeld (1994) showed that growth and welfare gains from international risk-sharing arise in a continuous-time stochastic AK model. More precisely, he proved that a portfolio shift from safe and low-return capital to riskier and high-return capital triggers an unambiguous increase in growth. In this note I stress necessary and sufficient conditions ensuring stochastic stability of the exponential balanced-growth path, an issue that has not been addressed by Obstfeld. Not surprisingly, stability requires the average of the wealth growth rate to be positive, which makes clear how mean growth should be defined. Differently, Obstfeld defines mean growth as the growth rate of average wealth, which is smaller than the mean growth rate of wealth under the maintained assumption that wealth is log-normally distributed, because the latter growth concept is risk-adjusted. The two notions of mean growth have very different comparative statics properties both for economies that hold some risk-free capital and for economies that fully specialize in risky capital. Different from Obstfeld’s results, international financial integration increases the stability-related mean growth rate for both complete and incomplete specialization, if risk aversion takes on moderate values and provided that the intertemporal substitution elasticity is smaller than one. Although the welfare computations presented by Obstfeld are preserved, because they ultimately depend on parameter values, this note shows that stochastic stability sheds new light on the mechanisms that trigger growth changes under financial integration and underlines the intuition behind them.
Mots clés Stochastic stability, Endogenous growth, International financial integration
Télécharger HAL Google Scholar
Résumé The value of land in the balance sheet of French firms correlates positively with their hiring and investment flows. To explore the relationship between these variables, we develop a macroeconomic model with firms that are subject to both credit and labor market frictions. The value of collateral is driven by the forward-looking dynamics of the land price, which reacts endogenously to fundamental and non-fundamental (sunspot) shocks. We calibrate the model to French data and find that land price shocks give rise to significant amplification and hump-shaped responses of investment, vacancies and unemployment that are in line with the data. We show that both the endogenous movements in the firm’s discount factor and the sluggish response of the land price are key elements that drive the results.
Mots clés Labor market frictions, Financial shocks
Télécharger HAL Google Scholar
Résumé We derive testable conditions ensuring that the income tax is optimal when agents are ex-ante identical but face idiosyncratic income risk. The optimal tax depends positively on both absolute risk aversion and risk variance and negatively on labor supply elasticity and absolute prudence. The comparison with the formula of the optimal non-linear income tax provides the restrictions on both the preferences and the income distribution conditional on effort ensuring that the optimal tax is indeed linear. In general it requires that the ratio of absolute prudence to absolute risk aversion be no less than two; if the income density has a linear likelihood ratio, it requires a (generalized) logarithmic consumption utility. Under HARA utility and linear or logarithmic likelihood ratios, explicit solutions for the optimal non-linear income tax are derived.
Mots clés Optimal Income Taxation, Income risk, Linear and nonlinear income tax
Télécharger HAL Google Scholar
Résumé We consider a small-open, collateral-constrained AK economy. We show that the combination of CARA preferences and uncertainty on capital inflows in such an economy generates long-term (expected) growth while the deterministic counterpart does not. In this framework, long-term growth is entirely driven by precautionary savings. In particular, we show that the asymptotic growth rate of the expected capital stock is an increasing function of both the risk parameter and the Arrow-Prat absolute risk aversion parameter. The model also predicts that economies that are more financially integrated through international borrowing experience lower consumption growth volatility relative to output growth volatility.
Mots clés CARA preferences, Growth, Financial liberalization, Collateral constraints, Precautionary savings
Télécharger HAL Google Scholar