Submitted Papers
- Green Asset Pricing,
with G Benmir (LSE) & I Jaccard (ECB Research).
ECB Working Paper Slides
Media Coverage: Bloomberg – Central Banking– Keynote speech by Christine Lagarde
2021 European Finance Association Best Paper in Responsible Finance.
Abstract: This paper studies the design of a carbon tax when environmental factors, such as air carbon-dioxide emissions (CO2), directly affect agents’ marginal utility of consumption. Our first result is that the optimal tax is determined by the shadow price of CO2 emissions. We then use asset-pricing theory to estimate this implicit price in the data and find that the optimal tax is pro-cyclical. It is therefore optimal to use the carbon tax to “cool down” the economy during booms and stimulate it in recessions. The optimal policy not only generates large welfare gains, it also reduces risk premiums and raises the average risk-free real rate. The effect of the tax on asset prices and welfare critically depends on the emission-abatement technology
- Social Learning about Monetary Policy at the Effective-Lower Bound,
with J Arifovic (Vancouver Uni), A Grimaud Amsterdam Uni), & I Salle (Bank of Canada & Amsterdam Uni).
Revise and Resubmit Journal of Money, Credit and Banking.
Bank of Canada Working PaperAbstract: The first contribution of this paper is to develop a model that jointly accounts for the missing disinflation in the wake of the Great Recession and the subsequently observed inflation-less
recovery. The key mechanism works through heterogeneous expectations that may durably lose their anchorage to the central bank (CB)’s target and coordinate on particularly persistent below-target paths. We jointly estimate the structural and the learning parameters of the model by matching moments from both macroeconomic and Survey of Professional Forecasters data. The welfare cost associated with those dynamics may be reduced if the CB communicates to the agents its target or its own inflation forecasts, as communication helps anchor expectations at the target. However, the CB may lose its credibility whenever its announcements become decoupled from actual inflation, for instance in the face of large and unexpected shocks.
- Environmental Subsidies to Mitigate Transition Risk,
with E Jondeau (HEC Lausanne), G Levieuge (Banque de France), JG Sahuc (Banque de France).
Paper SlidesAbstract: We explore the role of public subsidies in mitigating the transition risk associated with a climate-neutral objective by 2060. We develop and estimate an environmental dynamic stochastic general equilibrium model for the world economy featuring an endogenous market structure for green products. We show that public subsidies, financed by a carbon tax, are an efficient instrument to promote firm entry into the abatement goods sector by fostering competition and lowering the selling price of such products. We estimate that the subsidy, optimally distributed between startups at 60% and existing companies at 40%, will save nearly $2.9 trillion in GDP each year by 2060.
In Progress
- Optimal Monetary Policy in a Pandemic with G Benmir (LSE) and I Jaccard (ECB).
- Endogenous trends.
- Unemployment-driven Borrowing Limits in the Housing Market, w/ J Rastouil (Bordeaux Uni).
- Financial Factors and the Natural Rate of Interest Puzzle, w/ J Roman (Dauphine Uni).
Publications (5)
- Weather Shocks (2020).
European Economic Review , w/ E Gallic. pdf file online appendix dynare 4.5 code
dynare 4.6+ code - Global Banking and the Conduct of Macroprudential Policy in a Monetary Union (2017)
Journal of Macroeconomics, w/ JC Poutineau. pdf Appendix dynare code
Published in a Special issue on Banking in Macroeconomic Theory and Policy - A Welfare Analysis of Macroprudential Policy Rules in the Euro Area (2017)
Revue d’Economie Politique 127(2), 191-226 w/ JC Poutineau. pdf file dynare file Data - Financial Frictions and the Extensive Margin of Activity (2015)
Research in Economics, 69(4), 525-554 w/ JC Poutineau. pdf file dynare file data - Cross-border Banking Flows Spillovers in the Eurozone: Evidence from an Estimated DSGE Model (2015)
Journal of Economic Dynamics and Control, 51, 378-403 w/ JC Poutineau. pdf dynare file Technical Appendix
Articles Publiés de Vulgarisation (2)
- The analytics of the 3-equation New Keynesian Model (2015)
Economics and Business Review 2015, vol. 15, no. 2 w/ JC Poutineau & K Sobczak. dynare file - A Primer on Macroprudential Policy (2015)
Journal of Economic Education, 46(1), 1-15, w/ JC Poutineau. pdf file
French Papers (3)
- L’impact de la crise financière sur la performance de la politique monétaire conventionnelle de la zone Euro ASAP 2017
Revue Economique w/ JC Poutineau & E Gallic [pdf] - Quelle prise en compte des caractéristiques nationales dans les mesures macro-prudentielles en zone euro? (2015)
Revue Française d’Economie w/ JC Poutineau. - Intégration bancaire et conjoncture macroéconomique dans une union monétaire hétérogène (2013)
Brussels Economic Review, vol. 56(3-4), pages 241-260 w/ JC Poutineau. [technical appendix] [CEPR’s english version]
Conferences
2019201820172016201520142013
- Workshop, CEPR-IMFS, Goethe University, Frankfurt (Germany), June.
- Conference, CEF in Carlton University, Ottawa (Canada), June.
- Seminar, Stockholm School of Economics in Riga, Riga (Latvia), April.
- Seminar, Latvia Central Bank, Riga (Latvia), April.
- Seminar, University Dauphine (France), May.
- Seminar, University of Utrecht (Netherlands), April.
- Seminar, University of Evry, Evry (France), March.
- Conference, Computational Economics, New-York (US), June.
- Conference, T2M, Lisbon (Portugal), March.
- Workshop, University of Rennes, Rennes (France), December.
- Conference, Computational Economics Conference, Bordeaux (France), June.
- Seminar, University of Caen, Caen (France).
- Workshop, International Spillovers and Extensive Margin, Rennes (France), 3-4th December.
- Seminar, University Paris-Dauphine, Paris (France), 16th November.
- Conference, European Economic Association, Mannhein (Germany), 25-27th August.
- Conference, French Economic Association, Rennes (France), 22-24th June.
- Seminar, University of Bordeaux, Bordeaux (France), 5th June.
- Seminar, Poznan University of Economics, Poznan (Poland), 13th March.
- Seminar, Paris-Dauphine, Paris (France), 13th March.
- Conference, ADRES in Paris I Sorbonne University, Paris (France), 28th February.
- Seminar, Bank of England, 29th January 2015.
- Seminar, Banque de France, 23th January 2015.
- Workshop, 1st Macro-Economics International Workshop, hosted by the University of Rennes 1, 4-5th December 2014.
- Conference, Conference in Computational Economics (CEF) hosted by the Norge Central Bank in Oslo, June 2014.
- Conference, MacroFi Network, hosted by Sciences Po Aix-en-Provence, April 2014.
- Conference, 3rd Ph.D Student Conference in International Macroeconomics and Financial Econometrics, organized by Paris Ouest Nanterre, 19th March 2014.
- Workshop, CEPR Workshop on the Economic of Cross-Border Banking, organized by the Banque de France and the Federal Reserve of New-York, 12-13 December 2013.
- Seminar, Internal seminars, hosted by the University of Rennes 1, 19 September 2013.
- Conference, International Symposium on Money, Banking and Finance (GDRE), hosted by the University of Poitiers (France), 27-28 june 2013.
- Poster, Poster presentation at Saint Malo for the CREM CNRS annual meeting, 18 June 2013.
- Conference, Association Française de Sciences Economiques (AFSE), organized by the University of Orléans (France), 16-17 May 2013.
Discussions (6)
- Demand, Supply and Markup Fluctuations (2017). T2M in Lisbon, March 2017. [pdf]
- Explaining International Business Cycle Synchronization (2016). Intenational Macroeconomics Conference held in Rennes, December 2016. [pdf]
- Risk sharing in a world economy with uncertainty shocks by Robert Kollmann (2015). Intenational Macroeconomics Conference held in Rennes, December 2015. [pdf]
- Monetary and Macroprudential Policy with Multi-Period Loans by Michal Brzoza-Brzezina, Paolo Gelain and Marcin Kolasa (2014). Intenational Macroeconomics Conference held in Rennes, December 2014. [pdf]
- International Trade and Growth: does the causality really exist ? (in French) by Xuan Tran (2014). Doctoral Conference hold in Rennes, February 2014. [pdf]
- Non Linear Relationship Between Global Liquidity and Asset Prices : Evidence from a Panel Threshold Model by Sophie Brana & Stéphanie Prat (2013) [pdf]