Papers by Jean-christophe Poutineau
Research Papers in Economics, 2015
ABSTRACT This article introduces macroprudential policy using a static New Keynesian Macroeconomi... more ABSTRACT This article introduces macroprudential policy using a static New Keynesian Macroeconomics model with financial frictions. The authors analyze two related questions: First, they show how the procyclicality of financial factors, captured by the financial accelerator, amplifies the transmission of supply and demand shocks and impacts the intuition they get from a basic intermediate macroeconomics. Second, adopting an optimal policy perspective, they show how a policymaker may use macroprudential policy to complete monetary policy measures. Following the Mundellian Policy Assignment principle, macroprudential policy should be specialized to address the procyclicality problem to suppress welfare losses associated with the building of financial imbalances, thus helping monetary policy to concentrate on the output inflation tradeoff.
Research Papers in Economics, 2014
Au cours des 15 dernieres annees, l'integration financiere au sein de la zone euro s'est ... more Au cours des 15 dernieres annees, l'integration financiere au sein de la zone euro s'est effectuee en partie a travers le developpement de flux bancaires transfrontaliers. Cet article etudie lesconsequences macroeconomiques des prets transfrontaliers a l'aide d'un modele DSGE decrivant une union monetaire a deux pays estime sur donnees allemandes et francaises. On observe que cesflux transfrontaliers affectent de maniere significative la transmission internationale des chocsasymetriques. Ce canal transfrontalier a eu plus d'impact sur la France que sur l'Allemagne et arenforce la diffusion des chocs financiers entre les deux pays. Enfin, les variations du taux directeurde la BCE sont devenues plus sensibles aux chocs de nature financiere aux depends des chocs reels.
A. The optimizing programs of the model and other technical details (pages 1-7) B. Short-run and ... more A. The optimizing programs of the model and other technical details (pages 1-7) B. Short-run and long-run equilibria in the DSGE model with endogenous entry and exit (pages 8-12) C. Average productivity (pages 13-15) D. Data and measurement equations (pages 16 and 17) E. The loglinearized equation for short-run fluctuations of critical productivity, zcr (pages 18 and 19) F. Aggregation (pages 20-24) G. The overall resources constraint (pages 25 and 26) H. Estimated shock decomposition for US data (pages 27-31) I. The sources of fluctuations in the Great Recession (pages 32-37).
This paper describes a DSGE model where the extensive margin of activity —the number of varieties... more This paper describes a DSGE model where the extensive margin of activity —the number of varieties available for consumption—, depends on micro-founded decisions of entry and exit in the goods market. Both the extended model and a more conventional version have been estimated with US data during the Great Moderation period. Our main findings are two. First, the role of technology shocks for business cycle fluctuations increases significantly due to the flows of entry and exit. Second, the extensive margin of activity explains most of the business cycle reactions to supply-side shocks, whereas the intensive margin (firm-level output) takes most of the adjustment after demand-side shocks.
This paper seeks to find the optimal design of macroprudential policies in the Eurozone by testin... more This paper seeks to find the optimal design of macroprudential policies in the Eurozone by testing different levels of implementation: federal or national, in a coordinated way or not. Using Bayesian techniques, we estimate an asymmetric two-country DSGE model that allows for cross-border loan facilities where monetary and macroprudential policies can play a role in mitigating the risk of the financial system. We divide the dataset of the Euro Area between core and peripheral countries to take into account the recent structural divergences of business and credit cycles. First, introducing macroprudential policy clearly increases welfare from 0.004% and 0.376% of unconditional consumption. Greater welfare gains are observed for the coordination scheme with national implementation. Second, cross-border loans are not a critical feature to assess the systemic risk at the national level. Finally concerning the interactions between monetary and macroprudential policy, we find that the imp...
Journal of Economic Dynamics and Control, 2020
We report empirical evidence indicating that US net business formation has recently turned more v... more We report empirical evidence indicating that US net business formation has recently turned more volatile, procyclical and persistent. To study these stylized facts, we estimate a DSGE model with endogenous entry and exit. Business units feature heterogeneous productivity and they shut down if the present value of expected future dividends falls below the current liquidation value. The model provides a better fit than a constant exit rate model with the fluctuations of US business formation. The introduction of the extensive margin amplifies the effects of technology and risk-premium shocks, and reduces the procyclicality of firm-level production. The main sources of variability of the US aggregate fluctuations during the Great Recession are countercyclical technology shocks, persistent adverse risk-premium shocks, and expansionary monetary policy shocks.
The Journal of Economic Education, 2018
HAL is a multidisciplinary open access archive for the deposit and dissemination of scientific re... more HAL is a multidisciplinary open access archive for the deposit and dissemination of scientific research documents, whether they are published or not. The documents may come from teaching and research institutions in France or abroad, or from public or private research centers. L'archive ouverte pluridisciplinaire HAL, est destinée au dépôt et à la diffusion de documents scientifiques de niveau recherche, publiés ou non, émanant des établissements d'enseignement et de recherche français ou étrangers, des laboratoires publics ou privés.
Revue économique, 2017
remercions deux référés anonymes ainsi que Pierre Morin qui nous ont permis, par leurs remarques,... more remercions deux référés anonymes ainsi que Pierre Morin qui nous ont permis, par leurs remarques, d'améliorer de manière notable cet article.
Economic Modelling, 2018
This paper analyses how long credit policy measures should last to restore a normal functionning ... more This paper analyses how long credit policy measures should last to restore a normal functionning of the loan market. We build a DSGE model where financial intermediaries and non financial agents face balance sheet constraints. Our results are two. First, we find that a credit policy has an intertemporal effect as it smoothes the negative shock along a greater number of periods. It dampens the inital negative consequences of financial shocks at the expense of a higherlength of the uncoventional period. Second, accounting for the joint effect of shocks on the length of the starurated period and on the fluctuation of activity in the transitory period back to the steady state situation, we find that the positive effect of this policy requires some qualification. For the benchmark calibration, conducting such a policy affects activity positively. However, for a high value of firm's leverage we find that unconventional monetary policy can be counterproductive. Ignoring credit policy will generate higher short run losses in activity but the transition to the steady state would be quicker, implying lower short run activity losses than those encountered with a credit policy where the transition to the steady state would last longer.
Revue d'économie politique, 2017
In an estimated DSGE model of the European Monetary Union that accounts for financial differences... more In an estimated DSGE model of the European Monetary Union that accounts for financial differences between core and peripheral countries, we find that country-adjusted macroprudential measures lead to significant welfare gains with respect to a uniform macroprudential policy rule that reacts to union-wide financial developments. However, peripheral countries are the winners from the implementation of macroprudential measures while core countries incur welfare losses, thus questioning the interest of adopting coordinated macroprudential measures with peripheral countries.
Journal of Macroeconomics, 2017
This paper questions the role of cross-border lending in the definition of national macroprudenti... more This paper questions the role of cross-border lending in the definition of national macroprudential policies in the European Monetary Union. We build and estimate a two-country DSGE model with corporate and interbank cross-border loans, Core-Periphery diverging financial cycles and a national implementation of coordinated macroprudential measures based on Countercyclical Capital Buffers. We get three main results. First, targeting a national credit-to-GDP ratio should be favored to federal averages as this rule induces better stabilizing performances in front of important divergences in credit cycles between core and peripheral countries. Second, policies reacting to the evolution of national credit supply should be favored as the transmission channel of macroprudential policy directly impacts the marginal cost of loan production and, by so, financial intermediaries. Third, the interest of lifting up macroprudential policymaking to the supra-national level remains questionable for admissible value of international lending between Eurozone countries. Indeed, national capital buffers reacting to the union-wide loan-to-GDP ratio only lead to the same stabilization results than the one obtained under the national reaction if cross-border lending reaches 45%. However, even if cross-border linkages are high enough to justify the implementation of a federal adjusted solution, the reaction to national lending conditions remains remarkably optimal.
Economics and Business Review, 2015
This paper aims at providing a self-contained presentation of the ideas and solution procedure of... more This paper aims at providing a self-contained presentation of the ideas and solution procedure of New Keynesian Macroeconomics models. Using the benchmark "3 equation model", we introduce the reader to an intuitive, static version of the model before incorporating more technical aspects associated with the dynamic nature of the model. We then discuss the relative contribution of supply, demand and policy shocks to the fluctuations of activity, inflation and interest rates, depending on the key underlying parameters of the economy.
This paper describes a DSGE model where the extensive margin of activity-the number of varieties ... more This paper describes a DSGE model where the extensive margin of activity-the number of varieties available for consumption-, depends on micro-founded decisions of entry and exit in the goods market. Both the extended model and a more conventional version have been estimated with US data during the Great Moderation period. Our main findings are two. First, the role of technology shocks for business cycle fluctuations increases significantly due to the flows of entry and exit. Second, the extensive margin of activity explains most of the business cycle reactions to supply-side shocks, whereas the intensive margin (firm-level output) takes most of the adjustment after demand-side shocks.
Research in Economics, 2015
This paper evaluates the role of financial intermediaries, such as banks, on the extensive margin... more This paper evaluates the role of financial intermediaries, such as banks, on the extensive margin of activity. We build a DSGE model that combines the endogenous determination of the number of firms operating on the goods market with financial frictions through a financial accelerator mechanism. We more particularly account for the fact that the creation of a new activity partly requires loans to finance spendings during the setting period. This model is estimated on US data between 1993Q1 to 2012Q3. We get three main results. First, financial frictions play a key role in determining the number of new firms. Second, in contrast with real macroeconomic shocks (where investment in existing production lines and the creation of new firms move in the opposite direction), financial shocks have a cumulative effect on the two margins of activity, amplifying macroeconomic fluctuations. Third, the critical role of financial factors is mainly observed in the period corresponding to the creation of new firms. In the long run, the variance of the effective entry share is almost explained by supply shocks.
Au cours des 15 dernières années, l'intégration financière au sein de la zone euro s'est effectué... more Au cours des 15 dernières années, l'intégration financière au sein de la zone euro s'est effectuée en partie à travers le développement de flux bancaires transfrontaliers. Cet article étudie les conséquences macroéconomiques des prêts transfrontaliers à l'aide d'un modèle DSGE décrivant une union monétaire à deux pays estimé sur données allemandes et françaises. On observe que ces flux transfrontaliers affectent de manière significative la transmission internationale des chocs asymétriques. Ce canal transfrontalier a eu plus d'impact sur la France que sur l'Allemagne et a renforcé la diffusion des chocs financiers entre les deux pays. Enfin, les variations du taux directeur de la BCE sont devenues plus sensibles aux chocs de nature financière aux dépends des chocs réels.
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Papers by Jean-christophe Poutineau