Banque de France Research Paper Series最新文献

{"title":"Web Scraping Housing Prices in Real-time: the Covid-19 Crisis in the UK","authors":"Jean-Charles Bricongne, Baptiste Meunier, Sylvain Pouget","doi":"10.2139/ssrn.3916196","DOIUrl":"https://doi.org/10.2139/ssrn.3916196","url":null,"abstract":"While official statistics provide lagged and aggregate information on the housing market, extensive information is available publicly on real-estate websites. By web scraping them for the UK on a daily basis, this paper extracts a large database from which we build timelier and highly granular indicators. One originality of the dataset is to provide the sellers’ perspective, allowing to compute innovative indicators of the housing market such as the numb er of new posted offers or how prices fluctuate over time for existing offers. Matching selling prices in our dataset with transacted prices from the notarial database using machine learning techniques allows us to measure the negotiation margin of buyers – an innovation to the literature. During the Covid-19 crisis, these indicators demonstrate the freezing of the market and the “wait-and-see” behaviour of sellers. They also show that prices have been increasing in rural regions after the lockdown but experienced a continued decline in London.","PeriodicalId":101534,"journal":{"name":"Banque de France Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2022-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125282093","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Firms’ Inflation Expectations: New Evidence from France","authors":"Frédérique Savignac, E. Gautier, Y. Gorodnichenko, Olivier Coibion","doi":"10.3386/w29376","DOIUrl":"https://doi.org/10.3386/w29376","url":null,"abstract":"Using a new survey of firms’ inflation expectations in France, we provide novel evidence about the measurement and formation of inflation expectations on the part of firms. First, French firms report inflation expectations with a smaller, but still positive, bias than households and display less disagreement. Second, we characterize the extent and manner in which the wording of questions matters for the measurement of firms’ inflation expectations. Third, we document whether and how the position of the respondent within the firm affects the provided responses. Fourth, because our survey measures firms’ expectations about aggregate and firm-level wage growth along with their inflation expectations, we are able to show that expectations about wages are even more condensed than firms’ inflation expectations and almost completely uncorrelated with them, indicating that firms perceive little link between price and wage inflation. Finally, an experimental treatment indicates that an exogenous change in firms’ inflation expectations has no effect on their aggregate wage expectations.","PeriodicalId":101534,"journal":{"name":"Banque de France Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116460546","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Does one (Unconventional) Size Fit All? Effects of the ECB's Unconventional Monetary Policies on the Euro Area Economies","authors":"M. Pagliari","doi":"10.2139/ssrn.3918378","DOIUrl":"https://doi.org/10.2139/ssrn.3918378","url":null,"abstract":"This paper aims at assessing the macroeconomic impact of unconventional monetary policies (UMPs) that the ECB has put in place in the euro area after the 2007 financial crisis. With this purpose, we first document how the relative importance of the main transmission channels of such measures has changed over time, with the portfolio rebalancing being generally more impactful than the signaling channel after the “Whatever it takes” speech in July 2012. However, we also provide evidence of a great degree of heterogeneity across core and peripheral economies, as well as over time. We then adopt a time-varying SVAR with stochastic volatility to account for such heterogeneity, by identifying UMP shocks via “dynamic” sign restrictions. By means of counterfactual experiments, we provide evidence of how a different stance on the part of the ECB would have led to a significantly different economic performance of euro area economies. For instance, if the ECB had not put in place the measures adopted between 2014 and 2017, annual output growth would have been, on average, 0.67 percentage points lower in peripheral countries.","PeriodicalId":101534,"journal":{"name":"Banque de France Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126134241","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Downward Interest Rate Rigidity","authors":"Grégory Levieuge, Jean‐Guillaume Sahuc","doi":"10.2139/ssrn.3918372","DOIUrl":"https://doi.org/10.2139/ssrn.3918372","url":null,"abstract":"Empirical evidence suggests that bank lending rates are downward rigid: banks tend to adjust their rates more slowly and less completely to short-term market rates decreases than to increases. We investigate the macroeconomic consequences of this downward interest rate rigidity by introducing asymmetric bank lending rate adjustment costs in a macrofinance dynamic stochastic general equilibrium model. Calibrating the model to the euro area economy, we find that the difference in the initial response of GDP to positive and negative economic shocks of similar amplitude can reach up to 25%. This means that a central bank would have to cut its policy rate much more to obtain a symmetric medium-run impact on GDP. We also show that downward interest rate rigidity is stronger when policy rates are stuck at their effective lower bound, further disrupting monetary policy transmission. These findings imply that neglecting asymmetry in retail interest rate adjustments may yield misguided monetary policy decisions.","PeriodicalId":101534,"journal":{"name":"Banque de France Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127269988","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Une année de crise COVID : impact sur la dynamique de l’activité des entreprises en France. Une évaluation sur données individuelles (Corporate Activity in France Amid the Covid-19 Crisis. A Granular Data Analysis)","authors":"B. Bureau, Anne Duquerroy, Julien Giorgi, Mathias Lé, Suzanne M. Scott, F. Vinas","doi":"10.2139/ssrn.3893653","DOIUrl":"https://doi.org/10.2139/ssrn.3893653","url":null,"abstract":"French Abstract: Nous étudions l’impact de la crise sanitaire sur l’activité de plus de 645 000 entreprises, à partir de données individuelles permettant d’estimer leur chiffre d’affaires à une fréquence mensuelle. Notre approche, fondée sur un modèle de micro-simulation, est innovante à triple titre. Premièrement, nous quantifions la perte d'activité par rapport à une situation contrefactuelle dans laquelle la crise n'aurait pas eu lieu. Deuxièmement, nous estimons ce choc au niveau individuel, permettant une analyse détaillée de l'hétérogénéité des chocs d’activité. Nous mettons en lumière la dispersion du choc à la fois entre secteurs et au sein des secteurs. Nous montrons que le secteur de l'entreprise explique jusqu'à 48% de la variance des chocs d'activité mensuels pondérés par l'emploi en 2020, soit une part beaucoup plus importante que lors d'une année normale. Enfin, nous identifions quatre profils de trajectoires, caractéristiques de l’évolution de l'activité en 2020. Le secteur est le principal déterminant d'appartenance à un profil donné. Conditionnellement au secteur, le profil de trajectoire est également corrélé à la capacité d'adaptation organisationnelle des entreprises.English Abstract: Taking advantage of detailed firm-level data on VAT returns, we estimate the monthly impact of the Covid-19 crisis on the turnover of more than 645,000 French firms. Our approach, based on a micro-simulation model, is innovative in a triple way. Firstly, we quantify the activity loss with respect to a counterfactual situation in which the crisis would not have hit. Secondly, we estimate this shock at the firm level, enabling a thorough analysis of activity loss heterogeneity throughout the crisis. In particular, we shade light on the dispersion of the shock both within and between industries. We show that the industry the firm operates in explains up to 48% of the monthly activity shocks’ variance weighted by employment, a much larger share than in a normal year. Finally, we leverage our monthly firm-level data on sales to show how corporate activity has evolved along four distinct trajectories throughout 2020. The main determinant of belonging to a given profile of activity is the firm industry – defined at a very granular level. Conditional on industry, the activity trajectory is also correlated with the ability to adapt some firms have demonstrated during the crisis in terms of organization and production.","PeriodicalId":101534,"journal":{"name":"Banque de France Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125197903","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Enrichment of the Banque de France’s monthly business survey: lessons from textual analysis of business leaders’ comments","authors":"Banque de France RPS Submitter, M. Ranvier, Mathilde Gerardin","doi":"10.2139/ssrn.3885553","DOIUrl":"https://doi.org/10.2139/ssrn.3885553","url":null,"abstract":"In the context of the Banque de France’s monthly business survey, this document presents<br>the main findings of the textual analysis of business leaders’ comments. First, the richness<br>of these data is illustrated via an elementary sentiment index and the identification of the<br>main social movements since 2009 by means of keywords. Then, the article presents two<br>statistical applications whose reproducibility is discussed. The first one, applied to the 2018<br>yellow vests and the 2019 strikes, aims to estimate the impact on GDP of an event whose<br>effect is unequivocal. The second, backed by the study of Brexit, aims to characterize,<br>using a supervised learning model and word vectors, the effects of a complex event with<br>multiple impacts.","PeriodicalId":101534,"journal":{"name":"Banque de France Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117320221","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Inflation tolerance ranges in the New Keynesian model","authors":"Banque de France RPS Submitter, Hervé le Bihan, M. Marx, J. Matheron","doi":"10.2139/ssrn.3885592","DOIUrl":"https://doi.org/10.2139/ssrn.3885592","url":null,"abstract":"A number of central banks in advanced countries use ranges, or bands, around their inflation<br>target to formulate their monetary policy strategy. The adoption of such ranges has been<br>proposed by some policymakers in the context of the Fed and the ECB reviews of their<br>strategies. Using a standard New Keynesian macroeconomic model, we analyze the<br>consequences of tolerance range policies, characterized by a stronger reaction of the central<br>bank to inflation when inflation lies outside the range than when it is close to the target, ie<br>the central value of the band. We show that (i) a tolerance band should not be a zone of<br>inaction: the lack of reaction within the band endangers macroeconomic stability and leads<br>to the possibility of multiple equilibria; (ii) the trade-off between the reaction needed outside<br>the range versus inside seems unfavorable: a very strong reaction, when inflation is far from<br>the target, is required to compensate a moderately lower reaction within tolerance band; (iii)<br>these results, obtained within the framework of a stylized model, are robust to many<br>alterations, in particular allowing for the zero lower bound.","PeriodicalId":101534,"journal":{"name":"Banque de France Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116893822","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Job Polarization and the Flattening of the Price Phillips Curve","authors":"D. Siena, Riccardo Zago","doi":"10.2139/ssrn.3871002","DOIUrl":"https://doi.org/10.2139/ssrn.3871002","url":null,"abstract":"This paper shows that the change in the occupational composition of the labor market in favour of non-routine jobs -i.e. job polarization- flattens the price Phillips Curve (PC). Using data from the European Monetary Union and exploiting the fact that job polarization accelerates during recessions, we obtain two results. First, countries experiencing a bigger shift in the occupational structure during a downturn exhibit a flatter PC afterward. Second, the occupational shifts experienced during the Great Recession and the Sovereign Debt Crisis explain up to a forth of the flattening of the curve in the 2002-2018 period. We reconcile this evidence through a New Keynesian model with unemployment and search and matching frictions. Heterogeneity in the fluidity across segments of the labor market -i.e. differences in the separation and hiring rate across jobs- is the source of PC flattening.","PeriodicalId":101534,"journal":{"name":"Banque de France Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133952783","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Foreign Direct Investment and Domestic Private Investment in Sub-Saharan African Countries: Crowding-In or Out ?","authors":"Banque de France RPS Submitter, Diallo Askandarou, L. Jacolin, Isabelle Rabaud","doi":"10.2139/ssrn.3866402","DOIUrl":"https://doi.org/10.2139/ssrn.3866402","url":null,"abstract":"This paper investigates the relationship between FDI and private investment in Sub-Saharan Africa (SSA), using a sample of 40 countries over 1980-2017. To disentangle short term from long-term dynamics, our empirical analysis is based on Pooled Mean Group (PMG), Mean Group (MG) and Dynamic Full Effects (DFE) models. We find that FDI has little effect on private investment in the short run but significant crowding-in effects in the long-run: a one percentage point increase of the share of FDI in GDP leads to a 0.29% rise in private investment, in the long run. Our results also show that FDI interacts with public domestic investment to boost these positive effects. Finally, we show that the impact of FDI on domestic private investment is stronger in non-natural resource exporting diversified countries as opposed to non-diversified commodity exporters.","PeriodicalId":101534,"journal":{"name":"Banque de France Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115670390","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Welfare-Based Optimal Macroprudential Policy with Shadow Banks","authors":"Stefan Gebauer","doi":"10.2139/ssrn.3868955","DOIUrl":"https://doi.org/10.2139/ssrn.3868955","url":null,"abstract":"In this paper, I show that the existence of non-bank financial institutions (NBFIs) has implications for the optimal regulation of the traditional banking sector. I develop a New Keynesian DSGE model for the euro area featuring a heterogeneous financial sector allowing for potential credit leakage towards unregulated NBFIs. Introducing NBFIs raises the importance of credit stabilization relative to other policy objectives in the welfare-based loss function of the regulator. The resulting optimal policy rule indicates that regulators adjust dynamic capital requirements more strongly in response to macroeconomic shocks due to credit leakage. Furthermore, introducing non-bank finance not only alters the cyclicality of optimal regulation, but also has implications for the optimal steady-state level of capital requirements and loan-to-value ratios. Sector-specific characteristics such as bank market power and risk affect welfare gains from traditional and NBFI credit.","PeriodicalId":101534,"journal":{"name":"Banque de France Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124525382","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}