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Dufrénot

Publications

The changing role of house price dynamics over the business cycleJournal articleGilles Dufrénot and Sheheryar Malik, Economic Modelling, Volume 29, Issue 5, pp. 1960-1967, 2012

In this paper, we attempt to analyse the relationship between house price dynamics and the business cycle. Employing a time-varying transition probability Markov switching framework, we provide empirical evidence that house price growth may prove a useful leading indicator for turning point detection. Focusing on three countries, the US, UK and Spain, we furthermore provide evidence that although potentially informative from an overall perspective in business cycle modelling, the significance of signals contained in house prices may not be symmetric across the identified high growth and low growth states. In addition, we suggest a possible range of values for house price deflation which may trigger a recession the following period.
Macroeconomic and financial vulnerability indicators in advanced economies Summary of the conference of 13-14 September 2012 organised by the Banque de France and the University of StrasbourgJournal articleGilles Dufrénot, Carine Bouthevillain and Vladimir Borgy, Quarterly selection of articles - Bulletin de la Banque de France, Issue 28, pp. 101-109, 2012

On 13 and 14 September, the Banque de France and the University of Strasbourg co-organised a conference on macroeconomic and financial vulnerability indicators in advanced economies. The aim of the conference was to examine monitoring systems and vulnerability indicators designed to help anticipate crises and their propagation. This article summarises the main points developed in the presentations and discussions that took place during the conference.
Indicateurs de vulnérabilité macroéconomiques et financiers dans les économies avancées. Synthèse d'une conférence organisée à Strasbourg les 13 et 14 septembre 2012Journal articleGilles Dufrénot, Carine Bouthevillain and Vladimir Borgy, Bulletin de la Banque de France, Issue 190, pp. 135-142, 2012

Les 13 et 14 septembre, la Banque de France et l'université de Strasbourg ont coorganisé une conférence portant sur les indicateurs de vulnérabilité macroéconomiques et financiers dans les économies avancées. L'objet de la conférence était d'examiner les systèmes de surveillance et les indicateurs de vulnérabilité en vue d'aider à anticiper les crises et leurs mécanismes de propagation. Cet article résume les principaux points développés lors des présentations et des discussions qui ont eu lieu durant la conférence.
The effects of the subprime crisis on the Latin American financial markets: An empirical assessmentJournal articleGilles Dufrénot, Valérie Mignon and Anne Péguin-Feissolle, Economic Modelling, Volume 28, Issue 5, pp. 2342-2357, 2011

The aim of this article is to answer the following question: can the considerable rise in the volatility of the LAC stock markets in the aftermath of the 2007/2008 crisis be explained by the worsening financial environment in the US markets? To this end, we rely on a time-varying transition probability Markov-switching model, in which "crisis" and "non-crisis" periods are identified endogenously. Using daily data from January 2004 to April 2009, our findings do not validate the "financial decoupling" hypothesis since we show that the financial stress in the US markets is transmitted to the LAC's stock market volatility, especially in Mexico.
Les effets de la crise des subprimes sur le marché financier mexicainJournal articleGilles Dufrénot, Anne Péguin-Feissolle and Valérie Mignon, Revue Économique, Volume 62, Issue 3, pp. 461-470, 2011

The aim of this article is to study and quantify the transmission channels between the American and Mexican stock markets in the aftermath of the subprime crisis. To this end, we use a time-varying transition probability Markov-switching model, in which ?crisis? and ?non-crisis? periods are identified endogenously. Using daily data from January 2004 to April 2009, our findings do not validate the ?financial decoupling? hypothesis since we show that the financial stress in the us markets is transmitted to the Mexican stock market volatility. Classification JEL : C13, C22, G01, G15.
Are the effects of fiscal changes different in times of crisis and non crisis? The French caseJournal articleGilles Dufrénot and Carine Bouthevillain, Revue d'économie politique, Volume 121, Issue 3, pp. 371-407, 2011

This paper shows that the impact of changes in budgetary variables on real GDP, investment, consumption and employment varies in sign and magnitude in times of crisis and non-crisis. To this end, a regime-switching process is embedded in standard macroeconomic equations in order to take into account different budgetary regimes. We find evidence of asymmetric effects for both the multiplier of government expenditure and the fiscal multiplier, with differing effects during the phases of crisis and non-crisis depending upon the level of debt, of the unemployment rate, of the outputgap.
L'impact des fondamentaux macroéconomiques sur les spreads souverains de la zone euro est-il influencé par les réformes financières ?Journal articleGilles Dufrénot, Olivier Damette and Philippe Frouté, Revue Économique, Volume 62, Issue 6, pp. 1135-1145, 2011

Dans cet article, nous examinons si le poids accordé aux anticipations des variables macroéconomiques pour évaluer le risque des obligations souveraines a été plus important après l’adoption des nouvelles règles prudentielles de Bâle 2, c’est-à-dire autour des années 2005-2006 (années à partir desquelles ces règles ont commencé à être appliquées dans les pays d’Europe). À titre illustratif, nous comparons trois pays de la zone euro, à savoir l’Allemagne, la France et la Grèce. Pour ce faire, nous estimons un modèle Markov-switching avec probabilités de transition variables. Nos résultats révèlent des comportements différents entre pays, au moins à court terme.
New Challenges for Public Debt in Advanced EconomiesJournal articleGilles Dufrénot, Carine Bouthevillain and Pierre Jaillet, Revue Économique, Volume 62, Issue 6, pp. 971-974, 2011

No abstract is available for this item.
Les comportements d'emprunt des régions françaises. Quel degré d'hétérogénéité ?Journal articleGilles Dufrénot, Philippe Frouté and Christophe Shalck, Revue Économique, Volume 62, Issue 5, pp. 919-840, 2011

This paper provides empirical evidence of the heterogeneous borrowing behaviours of French regions, despite a common accountability constraint that forces them to balance their budget and to borrow only to finance investment expenditure (golden rule). To this end, we conduct a quantile regression analysis. The heterogeneity is very pronounced when the regions face a negative shock on debt, for instance a tightening of financial conditions. Our findings may be due to the fact that the Golden rule can be thought of as a « soft » rule if some local administrations believe that a financial rescue from the central government is automatic. Hence, in the French case the bailing-out hypothesis cannot be rejected. Classification JEL : H74, E62, K34, R5
Monetary autonomy in the West African countries: What do the policy rules tell us?Journal articleGilles Dufrénot, Journal of International Development, Volume 23, Issue 1, pp. 63-81, 2011

This paper provides an empirical assessment about how the monetary policy has been made in a group of Sub-Saharan African countries that are members of the CFA Franc zone. We question the argument that being a member of the CFA zone has always implied the loss of monetary policy autonomy. We use two definitions of monetary autonomy. In a first sense, we consider the African central bank's' ability to set their policy instruments endogenously, in regard to the local economic situations prevailing in the CFA zone, and not only in accordance with the monetary policy followed by the anchor zone. In a second sense, we interpret autonomy in a narrow sense, meaning that money creation is backed by the inflow of foreign exchange reserves as is usually the case for a currency board. These two definitions are used alternatively to test the hypothesis of monetary autonomy through the estimations of an interest rate and credit growth rules. We focus our attention on the West African Economic and Monetary Union (WAEMU) countries, where the upholding of the CFA zone is today passionately debated among the economists. Our results suggest a mixed evidence of autonomy. On the one hand, by considering the interest rate instrument, we provide some evidence that the BCEAO did not completely import its interest rate policy from France and the Euro zone, up until the 1994 devaluation. In addition to the Bank of France's discount rate and the inflation differential with Europe, the domestic interest rate has also been fixed in regard to variables such as growth, the real exchange rate and changes in foreign reserves. Until 1994, there seems however to be strong signs of loss of autonomy. On the other hand, we examine the responsiveness of credit planning to changes in foreign reserves and conclude against the hypothesis of autonomy over the whole period. Even more, credit policy has become more restrictive since the 1994 devaluation. Copyright (C) 2009 John Wiley & Sons, Ltd.