Séminaires de recherche

The Federal Reserve’s dollar swap lines and the European Central Bank in the 2007–2009 crisis

Mardi | 2018-10-23
Salle des thèses 17h – 18h20

Laurent LE MAUX – Emmanuel CARRé

Although the literature has analyzed the role of the Federal Reserve as the global lender of last resort in 2007-2009, many aspects of the Dollar Swap Lines to the European Central Bank need further exploration. Using data from both central banks and transcripts of the Federal Open Market Committee’s meetings, we provide original evidence about alloted amounts and interest rates on dollar provision by the Federal Reserve and the European Central Bank. We explore the relation between the Federal Reserve’s dollar swap lines and the European Central Bank’s dollar provision with regard to the auction formats, the alloted amounts, and the interest rates. We find evidence that there was a financial dilemma creating tension in dollar liquidity needed and the interest rate set by the European Central Bank, and that the Federal Reserve’s announcement on October 13, 2008 turned dramatically from one horn of the financial dilemma to the other. Finally, we revisit the literature on the international lender of last resort and enlighten the nature of the relationship of the Federal Reserve with the other central banks in general, and the European Central Bank in particular.

Les canaux de transmission de la politique monétaire dans la CEMAC : Une approche vectorielle à facteurs

Mercredi | 2018-10-18
Salle B103 – 12h00

Robert Christian Serge MEBENGA M’ENAM

Dans ce travail, nous procédons à une évaluation des canaux de transmission de la politique monétaire dans la CEMAC à l?aide d?un modèle FAVAR (Factor Augmented Vector Auto Regressive) sur données trimestrielles. Les simulations effectuées sur les taux d?intérêt font apparaître de faibles impacts sur l?activité et les prix. Seules les innovations de masse monétaire présentent de réels effets sur ces variables. Nous exploitons ensuite les propriétés relatives au volume d?informations de la spécification FAVAR pour analyser l?impact des chocs de politique monétaire sur une cinquantaine de variables couvrant différents secteurs d?activité. Les résultats obtenus suggèrent un faible impact des taux d?intérêt et une certaine intensité des réponses aux innovations de masse monétaire.

Long-Horizon Expectations: a lab experiment

Mardi | 2018-10-09
Salle des thèses 16h – 17h20

Isabelle SALLE – Cars HOMMES – Bruce MCGOUGH – George EVANS

We consider boundedly rational agents who do not plan over the infinite future but make trading plans at a finite, arbitrary horizon. We investigate the role of that horizon in the price dynamics of an asset in a Lucas tree model. We then design a laboratory experiment to confront our theoretical predictions to the behaviors of human subjects. Short-horizon markets may be prone to substantial deviations from the rational expectations. By contrast, markets populated by long-horizon forecasters converge towards the fundamental value, and a modest share of those is sufficient to ensure convergence. Longer-horizon forecasts display more heterogeneity, which prevents the coordination of subjects on wrong anchors or trends that is responsible for mispricing in short-horizon markets and favors adaptive learning that delivers convergence to the REE.

Macroprudential and Monetary Policies: Friends or Foes?

Mercredi | 2018-10-05
Salle B103 – 12h00

Jose David GARCIA REVELO – Yannick LUCOTTE – Florian PRADINES-JOBET

The Great Recession during the late 2000s and early 2010s has led to a strengthening of macroprudential policies over the world in order to address systemic risk concerns. However, the effectiveness of those measures remains unclear. The existing literature fails to demonstrate clearly that macro-prudential policies address effectively financial vulnerabilities. Moreover, the impact of these policies is often assessed regardless of the monetary policy stance, which is another main determinant of financial stability. This empirical paper aims to fill this gap by at least two ways. Based on a sample of 45 countries covering the period from 2000Q1 to 2014Q4, we first propose to re-evaluate the effectiveness of the macro-prudential policies to limit excessive credit growth by considering different measures accounting for the macroprudential policy stance. Second, we also test whether the impact of prudential policies is strengthened by the monetary policy stance, measured through the Taylor gap. Our results indicate that changes in macro-prudential policies effectively reduce the credit growth, but there is a transmission delay approximately of one year to be effective. Interestingly, this delay fell to one quarter when macro-prudential and monetary policies move in the same direction simultaneously which is a new finding.

Separated Under the Same Roof: Political Fragmentation and Public Policies

Mardi | 2018-10-02
Salle des thèses 16h – 17h20

Paolo ROBERTI – Matteo CERVELLATI – Giorgio GULINO

This work studies the effect of the political fragmentation in a ruling coalition on fiscal policies. In more fragmented coalitions parties have an incentive to overspend, free riding on deficit. At the same time, a larger political fragmentation reduces the incentives of parties to tax their constituents, therefore decreasing total taxation. Using data on Italian municipalities, the paper exploits the random allocation of parties on the ballot as instrument for political fragmentation. In a context where municipalities cannot run deficits, empirical results show that a larger fragmentation reduces revenues and spending. Moreover, an RD design shows that mayors that receive more than 50% votes in the election, with respect to run-off elected mayors, increase taxes when facing a larger fragmentation, reducing the negative effect of fragmentation on revenues.

Measuring Comovement by a Smooth Transition Simultaneous Equation Model

Mardi | 2018-09-26
Salle des thèses 16h – 17h20

Anjeza KADILLI – Jaya KRISHNAKUMAR

This article develops a flexible econometric framework to investigate the comovement between two endogenous variables within a nonlinear simultaneous equation model. The model controls also for indirect dependence which intervenes through common observed and unobserved factors. The comovement is modeled as a smooth and potentially asymmetric function of the magnitude of the endogenous variable. The threshold at which a shock is transmitted is estimated with the other parameters of the model. We investigate the properties of an accurate estimation method which takes into account endogeneity, and a testing procedure for simultaneity in the presence of nuisance parameters under the null hypothesis. In a two-equation setup, we study the conditions on the parameters which ensure the uniqueness of the implicit reduced form of the model. Multiple equilibria have important drawbacks such as the unsuitability of the model for forecasting. We illustrate the methodology by studying the impact of the recent crises on the comovement between the sovereign and banking sectors for eight developed countries.

Is National Environmental Legislation Affecting Emissions?

Mardi | 2018-09-18
Salle des thèses 16h – 17h20

Thais NUNEZ-ROCHA – Inmaculada MARTıNEZ-ZARZOSO

In this paper, we built an environmental regulation index for a panel of countries over the period 1996-2008. The index, based on regulatory-intensity variables specific to a number of environmental topics, is used to investigate the effect of environmental laws on pollution. Three pollutants are considered, namely, PM 2.5, SO2 and NO2. A panel data model is estimated taking into account the determinants of environmental quality and the simultaneity between environmental regulation and emissions. The identification strategy consists on using other type of laws as an instrument for environmental regulation. The main results indicate that the intensity of environmental regulation has a decreasing effect on local pollution. This effect varies by pollutant and it is also heterogeneous across countries.

Trade in environmental goods: empirical exploration of direct and indirect effects on pollution by country’s trade status

Mardi | 2018-09-11
Salle des thèses 16h – 17h20

Natalia ZUGRAVU-SOILITA

Based on panel data covering 114 countries, this study investigates the direct, indirect and total effects of trade flows in environmental goods (EGs) on total CO2 and SO2 emissions. Our multiple-equation GMM estimations reveal positive direct scale – [between-industry] composition effects prevailing on the negative direct technique – [within-industry] composition effects (if any), as well as compensating the significant indirect technique effects channelled by the stringency of environmental regulations and per capita income. If the net importers of EGs (namely from the APEC54 and WTO26 lists) are recurrently found to face increased pollution (in particular CO2 emissions) due to direct scale-composition effects of trade in EGs, the EGs’ net exporters are more likely to see their pollution to decrease, in particular thanks to income-induced effects. We show that the direct, indirect and total effects of trade in EGs depend on the country’s net trade status, the EGs’ classification and the pollutant considered. For instance, only trade in EGs from ‘renewable energy’ category is found to decrease both CO2 and SO2 emissions in both EGs’ net exporting and net importing countries. Surprisingly, trade in EGs from ‘air pollution control’ category appears to have no effect on air pollution.

Dynamics of Perceived Bank Lending Policy and Credit Market Experience: Evidence from a Firm Survey

Mardi | 2018-07-10
Salle des thèses 15h – 16h20

Jarko FIDRMUC – Christa HAINZ – Werner HöLZL

Bank lending policy has gained importance since the financial crisis. We study the determinants of firms’ perceived bank lending policy using panel data from the Austrian Business Climate Survey between 2011 and 2016. Our results show that firms’ perceptions of aggregate lending policy depend on their individual credit market experience. Different categories of negative experience, ranging from worse conditions to loan rejections, have strongly negative, persistent and surprisingly similar effects on perceptions. Moreover, firms that do not need a loan are more likely to perceive lending policy as standard and are less likely to revise their perceptions. Our results are in line with theories on sticky information, rational inattention and pessimism bias.

Migration and OECD service exports: an institutional perspective

Mardi | 2018-07-03
Salle des thèses 16h – 17h20

Isabelle RABAUD – Thierry BAUDASSE – Thierry MONTALIEU

The relation between trade and migration is the subject of many controversies. Are substitutions or complementarities at stake? This paper aims to analyze the links between exports of services and immigration. Our sample concerns immigration from 191 countries towards 20 OECD countries in 2000, 2005 and 2010. We show that a higher share of individual country immigrants in the population tend to increase bilateral exports of services, showing a complement effect between immigration and trade in services. This effect shows up in particular for immigrants originating from countries with weak quality of regulations and respect of rule of law. Thanks to their deep knowledge of the habits of local markets of their origin countries, immigrants’ skills are complement to natives’ ones. A trade cost channel seems at stake insofar as the presence of immigrants decreases the information gap between partner countries and ease trade relations.