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Assessing the macroeconomic effects of LTROS.
Cahn, C.; Matheron, J.; Sahuc, J-G. - Banque de France - 2014
In response to the 2008-2009 crisis, faced with distressed financial intermediaries, the ECB embarked in long-term refinancing operations (LTROs). Using an estimated DSGE model with a frictional banking sector, we find that such liquidity injections can have large macroeconomic effects, with...
Persistent link: https://www.econbiz.de/10011098470
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Technological Standardization, Endogenous Productivity and Transitory Dynamics
Baron, J.; Schmidt, J. - Banque de France - 2014
positive and immediate reaction of stock market variables to the identified technology shock. …
Persistent link: https://www.econbiz.de/10010885204
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The Shimer puzzle(s) in a New Keynesian framework.
Pizzo, A. - Banque de France - 2014
shock in the [search and matching] model.” On the other, starting from Galì (1999) empirical evidence about the reaction of … employment to a neutral positive technological shock seems to indicate a recessionary effect in the short term, thus casting … presents two distinctive features: employment decreases after a positive technological shock and the calibration strategy in …
Persistent link: https://www.econbiz.de/10010933106
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Monetary Policy Inertia or Persistent Shocks?
Carrillo, J.; Fève, P.; Matheron, J. - Banque de France - 2006
In this paper, we propose a simple econometric framework to disentangle the respective roles of monetary policy inertia and persistent shocks in interest rate rules. The procedure exploits the cross-equation restrictions provided by a DSGE model which is confronted to a monetary SVAR. We show...
Persistent link: https://www.econbiz.de/10005082518
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The European way out of recession
Bec, F.; Bouabdallah, O.; Ferrara, L. - Banque de France - 2012
This paper proposes a two-regime Bounce-Back Function augmented Self-Exciting Threshold AutoRegression (SETAR) which allows for various shapes of recoveries from the recession regime. It relies on the bounce-back effects first analyzed in a Markov-Switching setup by Kim, Morley and Piger [2005]...
Persistent link: https://www.econbiz.de/10009651279
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A Pitfall with DSGE-Based, Estimated, Government Spending Multipliers
Fève, P.; Matheron, J.; Sahuc, J.G. - Banque de France - 2012
This paper examines issues related to the estimation of the government spending multiplier (GSM) in a Dynamic Stochastic General Equilibrium context. We stress a potential source of bias in the GSM arising from the combination of Edgeworth complementarity/substitutability between private...
Persistent link: https://www.econbiz.de/10010544322
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State-Dependent Probability Distributions in Non Linear Rational Expectations Models
Barthélemy, J.; Marx, M. - Banque de France - 2011
In this paper, we provide solution methods for non-linear rational expectations models in which regime-switching or the shocks themselves may be "endogenous", i.e. follow state-dependent probability distributions. We use the perturbation approach to find determinacy conditions, i.e. conditions...
Persistent link: https://www.econbiz.de/10009352244
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Assessing the losses in euro area potential productivity due to the financial crisis.
Chouard, V.; Fuentes Castro, D.; Irac, D.; Lemoine, M. - Banque de France - 2013
In this paper, we show that the recent financial crisis has significantly affected the potential total factor productivity (TFP) of the four largest euro area economies, as well as that of the rest of the euro area. We used a reduced-form equation of TFP, based on an approach recently developed...
Persistent link: https://www.econbiz.de/10010815948
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Learning Leverage Shocks and the Great Recession.
Pintus, P. A.; Suda, J. - Banque de France - 2013
This paper develops a simple business-cycle model in which financial shocks have large macroeconomic effects when private agents are gradually learning their economic environment. When agents update their beliefs about the unobserved process driving financial shocks to the leverage ratio, the...
Persistent link: https://www.econbiz.de/10010815952
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Financial Shocks and the Cyclical Behavior of Skilled and Unskilled Unemployment.
Lopez, J.I.; Moppett, V. Olivella - Banque de France - 2014
We study the effect of financial shocks in labor market dynamics. We build a model with two types of labor, two types of capital and both search and financial frictions. We find that financial shocks, modeled as exogenous disturbances to the borrowing constraint of firms, can generate realistic...
Persistent link: https://www.econbiz.de/10010815961