Séminaires de recherche

How much should inflation targeters care about the exchange rate?

Mardi | 2011-09-27

Jorge E. RESTREPO – Scott ROGER – Carlos J. GARCIA

A DSGE model is used to examine whether including the exchange rate in the central bank’s policy rule can improve economic performance. Smoothing the exchange rate helps both financially robust economies and financially-vulnerable emerging economies in handling risk premium shocks and, given a small weight placed on the exchange rate, the effects on inflation and output volatility are minimal with demand and cost-push shocks. Financially vulnerable economies are especially likely to benefit from exchange rate smoothing due to perverse movements of the exchange rate they experience when hit by demand shocks and being more prone to risk premium shocks.

Welfare gains from illiquid annuities

Mardi | 2011-06-07
B103 – 16h20

Hippolyte D’ALBIS

In this article, we challenge the common thought that the annuity contract proposed by Yaari in his seminal 1965’s paper is optimal. We indeed show, in a standard neo-classical framework, that another contract, which actually resembles much more to the contracts that are proposed in the  » real world » , may be preferred by rational individuals. According to this contract, the annuities are an illiquid asset and the premium is age independent. In an overlapping-generation economy, we show that Yaari’s annuities are preferred only if the equilibrium is dynamically inefficient. Alternatively, an equilibrium displaying a positive demand for illiquid annuities is efficient. We conclude byshowing how to implement an illiquid annuities market in an efficient economy.

Spatial frictions (Article non disponible)

Mardi | 2011-05-24

Kristian BEHRENS – Giordano MION – Yasusada MURATA – Jens SÜDEKUM

The spatial structure of an economy is determined by the trade-off between agglomerationand dispersion forces. This trade-off crucially depends on spatial frictions – trade frictions for shipping goods across cities and urban frictions for concentrating people and firms in cities. Little is known to date about the quantitative importance of those frictions. To fill this gap, we develop a model that allows for the joint determination of city sizes and their aggregate productivities, wages, markups, and the distribution and number of firms. We quantify it structurally for the US using its general equilibrium conditions, a gravity equation for trade flows, and logit probabilities for consumers’ location choices. The quantified model is then used to assess the importance of trade and urban frictions for the US spatial distribution of economic activity, its productivity, and markups. Eliminating trade frictions leads to substantialaggregate productivity gains and markup reductions, while eliminating urban frictions leads to similar but smaller changes. In both cases, the gains are very unevenly spread across cities, and the city size distribution remains very stable despite population movements of about 4–10million people.

Adaptive Estimation of Vector Autoregressive Models with Time-Varying Variance: Application to Testing Linear Causality in Mean

Mardi | 2011-05-17

Valentin PATILEA – Hamdi RAÏSSI – libre

Linear Vector AutoRegressive (VAR) models where the innovations could beunconditionally heteroscedastic and serially dependent are considered. Thevolatility structure is deterministic and quite general, including breaks ortrending variances as special cases. In this framework we propose OrdinaryLeast Squares (OLS), Generalized Least Squares (GLS) and Adaptive LeastSquares (ALS) procedures. The GLS estimator requires the knowledge ofthe time-varying variance structure while in the ALS approach the unknownvariance is estimated by kernel smoothing with the outer product of the OLSresiduals vectors. Different bandwidths for the different cells of the timevaryingvariance matrix are also allowed. We derive the asymptotic distributionof the proposed estimators for the VAR model coefficients and compare theirproperties. In particular we show that the ALS estimator is asymptoticallyequivalent to the infeasible GLS estimator. This asymptotic equivalence isobtained uniformly with respect to the bandwidth(s) in a given range andhence justifies data-driven bandwidth rules. Using these results we build Waldtests for the linear Granger causality in mean which are adapted to VARprocesses driven by errors with a non stationary volatility. It is also shownthat the commonly used standard Wald test for the linear Granger causalityin mean is potentially unreliable in our framework (incorrect level and lowerasymptotic power). Monte Carlo and real-data experiments illustrate the useof the different estimation approaches for the analysis of VAR models withtime-varying variance innovations.

The Macroeconomic Performance of the Inflation Targeting Policy: An approach based on the Evolutionary Co-Spectral Analysis

Mardi | 2011-05-03


This paper proposes a new methodology to check the economic performance of a monetary policy and in particular the inflation targeting policy (ITP). The main idea of this work is to consider the ITP as economically efficient when it generates a stable monetary environment. The latter is considered as stable when a long-run equilibrium exists to which the paths of economic variables (inflation rate, interest rate and GDP growth) converge. The convergence of the variables’ paths implies that these variables are more predictable and implies a less uncertainty in the economic environment. To measure the degree of convergence between economic variables, we propose, in this paper, a dynamic time-varying variable presented in the frequency approach named cohesion. This variable is estimated from the evolutionary cospectral theory as defined by Priestley and Tong (1973) and Priestley (1969, 1981, 1988, 1996). We apply this theory to the measure of cohesion presented by Croux et al. (2001) to obtain a dynamic time-varying measure. In the last step of the study, we apply the Bai and Perron test (1998, 2003a,b) to determine the change in the cohesion path. The results show that the implementation of the ITP generates a high degree of convergence between economic series that implies less uncertainty into the monetary environment. We conclude that the inflation targeting generates a stable monetary environment. This result allows us to conclude that the ITP is relevant in the case of industrialized countries. © 2009

Identification of Macroeconomic Factors in Large Panels

Mardi | 2011-04-19


This paper presents a dynamic factor model where the extracted factorsand shocks are given a clear economic interpretation. The economic inter-pretation of the factors is obtained by means of a set of over-identifyingloading restrictions, while the structural shocks are estimated followingstandard practices in the SVAR literature. Estimators based on the EMalgorithm are developed. We apply this framework to a large panel of USmonthly macroeconomic series. In particular, we identify …ve macroeco-nomic factors and discuss the economic impact of monetary policy shocks.The results are theoretically more plausible than those implied by standardSVAR models and indicate a signi…cant role for monetary policy shocks inmacroeconomic dynamics.

Concurrence bancaire et coût du crédit : une analyse empirique sur un échantillon d’entreprises françaises

Mercredi | 2011-04-14


Cet article étudie à partir d’un échantillon de 277 entreprises françaises entre 2006 et 2010, l’incidence de la concurrence bancaire sur le coût du crédit. Nous montrons l’existence d’une relation négative entre les marges appliquées aux crédits accordés aux entreprises, et le niveau de la concurrence entre les établissements de crédit mesurée par le nombre de banques en relation avec l’entreprise. Les résultats obtenus semblent indiquer que la multibancarité représente une solution efficace permettant aux entreprises de faire baisser leur coût de financement et dans le même temps, éviter leur capture informationnelle.

Labor Market Frictions and the Balassa-Samuelson Model

Mardi | 2011-04-12

Romain RESTOUT – Olivier CARDI

This paper addresses the role of labor market frictions in the transmission process of sectoral productivities shocks to the relative price of nontradables. The Balassa-Samuelson model based on frictionless labor markets predicts (i ) proportionality between relative prices and the cross-sectoralproductivity differential and (ii ) wage equalization across sectors. Using panel cointegration and unit root tests applied to a panel of fourteen OECD economies, our empirical evidence does not support these implications. This paper shows that these puzzles can be successfully explained by a two-sector model with labor market frictions. In particular, this paper considers two types of rigidities: labor reallocation costs across sectors and matching frictions similar to those found in the Mortensen-Pissarides model of unemployment.