Centre d'études prospectives et d'informations internationales (CEPII)
113, rue de Grenelle
75007 Paris, FRANCE

  I am currently an economist at CEPII, a French research center in international economics based in Paris, FRANCE.

New Papers
Publications Social Media Other Writings
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New Papers



Do Uncertainty Shocks Always Matter for Business Cycles? (2016) with F. Tripier
[Local copy]  [CEPII Working Paper]
The answer to the title question is no. Fitting a Markov-switching structural vector autoregression to U.S. data, we show that uncertainty affects real economy di fferentially depending on the state of financial markets; e.g., an adverse shock that causes a 10 percentage points increase in the VIX index implies a one percent output decline in a regime of financial stress, but e ffects that are close to zero in tranquil regime. We use this evidence to estimate key parameters of a business cycle model, in which agents are aware of the possibility of regime switches in the transmission mechanism. We show that the diff erences in dynamics across regimes do not only result from changes in the degree of  financial frictions, but also on agents' expectations around these changes. Pessimistic expectations about future financial conditions amplify contractionary eff ects of uncertainty shocks on aggregate activity.


Optimal Sustainable Monetary Policy (2016) with J. Barthelemy and E. Mengus
Version coming soon!


Financial Instability and Euro Area Macroeconomic Dynamics (2014)
[Local copy]
Fitting a Markov-switching structural vector autoregression to euro area data, we show that the periods of financial distress (9/11 terrorist attacks, Dot-com bubble, corporate scandals, and the recent economic crisis) have been characterized by changes, not only in the variances of structural shocks, but also in the "systematic part" of the financial sector; i.e., equation coefficients describing the financial behavior. Our best-fit model implies that a financial shock that causes a 25 basis points increase in the credit spread implies a 1.50 percent output decline in a regime of financial distress, but effects that are three times less than that in tranquil regime. Our counterfactual analyses suggest that changes in the systematic part of the financial sector accounted for up to two and four percentage point drops in output growth during the downturn in 2001-2003 and the two recessions, respectively. As a result, our evidence supports theory that financial markets act as an amplification mechanism.


Publications in Refereed Journals


On the Stability of Calvo-style Price-Setting Behavior with M. Zabelina
Journal of Economic Dynamics and Control (2015)
[Local copy]  [Online appendix]  [Link to Journal]  [Program and data files]
An increasing literature has been concerned that the dynamics of the economy keeps switching and that, in particular, it is important to allow time variation in the degree of Calvo stickiness. We investigate this with a Markov-switching Dynamic Stochastic General Equilibrium model and show that there is little gain when allowing for such time variation. As a result we recommend to use a constant Calvo stickiness parameter, even when allowing for regime shifts elsewhere.


The Regime-switching Volatility of Euro Area Business Cycles
Macroeconomic Dynamics (forthcoming)
[Local copy]
  [CEPII Working Paper]  [Link to Journal]  [Program and data files]
We document the strong evidence of time variation in the volatility of euro area business cycles since 1970. Then, we provide the quantitative sources of these changes by using a medium-scale DSGE model allowing time variation in structural disturbance variances. We show that: 1) The size of diff erent types of shock oscillates, in a synchronized manner, between two regimes over time, with the high-volatility regime prevailing predominantly in the 1970s, sporadically in the 1980s and 1990s, and during the Great Recession. 2) Their relative importance remains, however, unchanged across regimes, where neutral technology shocks and marginal efficiency of investment shocks are the dominant sources of business cycle fluctuations; and 3) These investment shocks, which aff ect the transformation of savings into productive capital, can be interpreted as an indicator of credit conditions.


Social Media


Should we fear the Brexit uncertainty? IMF versus Krugman  with F. Tripier
CEPII Blog

[english version] [french version] [LaTribune.fr]
August 19, 2016


Le changement de stratégie d'exit de la Fed devrait profiter aux pays émergents avec A. Cheysson et F. Tripier
CEPII Blog
[french version] [LaTribune.fr]
June 20, 2016


Through the lenses of the natural rate of interest, European monetary policy appears to be too loose since 2015
CEPII Blog
[english version] [french version] [LaTribune.fr]
May 27, 2016


Business Cycles in Europe since 1970
CEPII Blog
[english version] [french version]
December 10, 2015


The exit from the U.S. zero interest-rate policy should be done gradually  with F. Tripier
CEPII Blog
[english version] [french version] [LaTribune.fr]
September 22, 2015


Back to the Great Moderation? 
CEPII Blog
[english version] [french version] [LaTribune.fr]
April 30, 2015


January 24, 2015

Other Writings


L'impact du resserement monétaire américain sur les économies émergentes avec A. Cheysson et F. Tripier
La Lettre du CEPII
[version française] [interactive website]
June, 2016


Last modified: 29/06/2016 05:48:00