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

Uncertainty, Financial Frictions, and Agents' Beliefs with F. Tripier
Version coming soon!
Fitting a Markov-switching structural vector autoregression to U.S. data, we show that uncertainty affects real economy differentially 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 distress, but effects 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 financial markets. We show that the differences in dynamics across states do not only result from changes in the degree of financial frictions, but also on agents' beliefs around these changes. Optimistic beliefs about future financial conditions dampen contractionary effects of uncertainty shocks on aggregate activity.

Optimal Sustainable Monetary Policy at the Zero Lower Bound with J. Barthelemy and E. Mengus
Version coming soon!

Financial Instability and Euro Area Macroeconomic Dynamics (2014)
[Local copy]
This paper revisits the issue of whether business cycles with financial crises are di fferent in the euro area since 1999. Using a Markov-switching structural vector autoregression, we show that fi nancial crises have been characterized by changes not only in the variances of structural shocks, but also in the "systematic part" of the fi nancial sector; i.e, equation coefficients describing the fi nancial behavior. We then examine the role of the financial sector in financial crises and standard business-cycle fluctuations. The evidence indicates that the relative importance of fi nancial shocks ("non systematic part") is signifi cantly higher in periods of financial distress than in non-distress periods; however, the transmission of these shocks to the economy appears linear over time. Counterfactual analyses suggest that the systematic part of the fi nancial 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.

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]
  [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

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

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

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

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

January 24, 2015

Other Writings

The Impact of U.S. Tightening Monetary Policy on Emerging Countries with A. Cheysson and F. Tripier
La Lettre du CEPII
Version coming soon!
 June, 2016

Last modified: 27/05/2016 05:22:00