Sevestre

Publications

Identifying Price Reviews by Firms: An Econometric ApproachJournal articleMark N. Harris, Hervé Le Bihan et Patrick Sevestre, Journal of Money, Credit and Banking, Volume 52, Issue 2-3, pp. 293-322, 2020

Price reviews are a potentially costly activity. A significant fraction of unchanged prices may stem from firms not reviewing prices, rather than from obstacles to changing prices per se, such as menu costs. In this paper, we disentangle these two causes of price stickiness by estimating an inflated ordered probit model on a panel of French manufacturing firms. The results point to a low frequency of price reviews, suggestive of the relevance of information costs as a determinant of the observed price stickiness. In view of the “inattentive producers” literature, pointing that the source of price rigidity matters, this is suggestive of a large real effect of monetary policy.

The Determinants of Consumer Price Dispersion: Evidence from French SupermarketsBook chapterNicoletta Berardi, Patrick Sevestre et Jonathan Thébault, In: The Econometrics of Multi-Dimensional Panels: Theory and Applications, L. Matyas (Eds.), 2017, Volume 50, pp. 427-449, Springer Verlag, 2017

In this chapter, we characterize the dispersion of grocery prices in France based on a large original data set of prices in more than 1500 supermarkets across the country. On average across products, the 90 th percentile of relative prices is 17 percentage points higher than the 10 th . The mean absolute deviation from quarterly average product prices is 5% on average in the French retail sector, and the standard deviation of relative prices is 7%.We show that temporary sales and promotions offer a limited explanation of the observed price dispersion, while the permanent component of price dispersion largely dominates. We find that in France price dispersion across stores essentially results from persistent heterogeneity in retail chains’ national pricing. Indeed, consumer prices are largely determined at a national level by retail groups’ bargaining power with producers and by retail chains’ positioning. We also show, however, that local conditions regarding demand and local competition between supermarkets do explain prices observed in local markets, though to a much lower extent.

The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crisesJournal articleSanvi Avouyi-Dovi, Guillaume Horny et Patrick Sevestre, Journal of Banking & Finance, Volume 79, Issue C, pp. 74-94, 2017

We analyse the dynamics of the pass-through of banks’ marginal cost to bank lending rates over the 2008 crisis and the euro area sovereign debt crisis in France, Germany, Greece, Italy, Portugal and Spain. We measure banks’ marginal cost by their rate on new deposits, contrary to the literature that focuses on money market rates. This allows us to account for banks’ risks. We focus on the interest rate on new short-term loans granted to non-financial corporations in these countries. Our analysis is based on an error-correction approach that we extend to handle the time-varying long-run relationship between banks’ lending rates and banks’ marginal cost, as well as stochastic volatility. Our application is based on a harmonised monthly database from January 2003 to October 2014. We estimate the model within a Bayesian framework, using Markov Chain Monte Carlo methods (MCMC).We reject the view that the transmission mechanism is permanent over time. The long-run relationship moved with the sovereign debt crises to a new one, with a slower pass-through and higher bank lending rates. Its developments are heterogeneous from one country to the other. Impediments to the transmission of monetary rates depend on the heterogeneity in banks marginal costs and therefore, its risks. We also find that rates to small firms increase compared to large firms in a few countries. Using a VAR model, we show that overall, the effect of a shock on the rate of new deposits on the unexpected variances of new loans has been less important since 2010. These results confirm the slowdown in the transmission mechanism.

The impact of a ‘soda tax’ on prices: evidence from French micro dataJournal articleNicoletta Berardi, Patrick Sevestre, Marine Tépaut et Alexandre Vigneron, Applied Economics, Volume 48, Issue 41, pp. 3976-3994, 2016

Based on an original data set of more than 500,000 non-alcoholic beverage price records, we evaluate the impact on consumer prices of the ?soda tax?, an excise on drinks with added sugar or sweetener, introduced in France in January 2012. We adopt a difference in differences approach and find that the tax was gradually passed through to the prices of the taxed beverages. After 6 months of its introduction, it was fully shifted to soda prices and almost fully shifted to the prices of fruit drinks, while the pass-through for flavoured waters was incomplete. We also find that the pass-through was heterogeneous across brands and retail groups.

Editorial to the special issue in memory of Jean-Pierre HuibanJournal articleCarl Gaigné, Bertrand Schmitt, Patrick Sevestre et Michel Simioni, Review of Agricultural, Food and Environmental Studies, Volume 97, Issue 2, pp. 85-87, 2016
Did the crisis induce credit rationing for French SMEs?Journal articleElizabeth Kremp et Patrick Sevestre, Journal of Banking & Finance, Volume 37, Issue 10, pp. 3757-3772, 2013

This paper focuses on the access of independent French SMEs to bank lending and analyzes whether the observed evolution of credit to SMEs over the recent period was "demand driven" as a result of the decrease in firms' activity and investment projects or was "supply driven" with an increase in credit "rationing" stemming from a more cautious behavior of banks. Based on a sample of around 60,000 SMEs, we come to the conclusion that, despite the stronger standards used by banks when granting credit, French SMEs do not appear to have been strongly affected by credit rationing since 2008. This result goes against the common view that SMEs suffered from a strong credit restriction during the crisis but is perfectly in line with the results of several surveys about the access to finance of SMEs recently conducted in France.

Where there is a will, there is a way? Assessing the impact of obstacles to innovationJournal articlePierre Blanchard, Jean-Pierre Huiban, Antonio Musolesi et Patrick Sevestre, Industrial and Corporate Change, Volume 22, Issue 3, pp. 679-710, 2013

The aim of this article is to assess the impact of obstacles to innovation on firms' propensity to innovate. We show that distinguishing between firms that do not innovate because they do not intend to and firms that try but fail or give up because of insurmountable obstacles is key for properly measuring the impact of the barriers to innovation. Estimating an innovation production function on appropriately defined subsamples allows obtaining consistent results, i.e. a significant and negative impact of the obstacles to innovation on firms' propensity to innovate. These results are robust to the definition of these subsamples, to the way "obstacles to innovation" are defined, as well as to the distinction between financial and nonfinancial obstacles. Copyright 2013 The Author 2012. Published by Oxford University Press on behalf of Associazione ICC. All rights reserved., Oxford University Press.

Costs, Demand, and Producer Price ChangesJournal articleClaire Loupias et Patrick Sevestre, The Review of Economics and Statistics, Volume 95, Issue 1, pp. 315-327, 2013

Using business survey data, we estimate an ordered probit model to explain the occurrence of producer price increases and decreases in the French manufacturing industry. Our results show that changes in intermediate input prices are the main driver of producer price changes. Changes in firms' labor costs, their production level, or the producer price index of their industry contribute less to the occurrence of price changes. Moreover, when they face a change in their costs, firms adjust their prices upward more often and more rapidly than they do it downward, especially when the shock is perceived as permanent. © 2013 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.

18th International Panel Data Conference: a Brief SynthesisJournal articleDenis Fougère et Patrick Sevestre, Quarterly selection of articles - Bulletin de la Banque de France, Issue 26, pp. 65-78, 2012

What was the impact of the crisis on fi rms' fi nancing and company defaults? A conference on this topic hosted by the Banque de France and OSEO in February 2012 brought together economists from academia, banking institutions and statistical institutes.

Firms' financing and default risk during and after the crisis (Summary of a conference hosted by the Banque de France and OSEO on 9 and 10 February 2012)Journal articleGuillaume Horny, Frédérique Savignac et Patrick Sevestre, Quarterly selection of articles - Bulletin de la Banque de France, Issue 26, pp. 79-82, 2012

On 5 and 6 July 2012, the Banque de France hosted the 18th International Panel Data Conference where around 180 researchers presented and discussed research papers covering a broad spectrum of theoretical and applied panel data research. This conference also provided the opportunity to show central banks' interest in academic and empirical research as a necessary tool for policy decisions.