Research

Publications

Reproduce to Validate: A Comprehensive Study on the Reproducibility of Economic Research (with H. Kingi, F. Stanchi and L.Vilhuber), Canadian Journal of Economics, 2024
[BdF WP] [Slides] [SUERF Policy Brief]

Working papers

State-Dependent Central Bank Communication with Heterogeneous Beliefs BdF WP 875 (Submitted)

This paper studies the optimal disclosure strategy of a Sender who wishes to influence heterogeneous Receivers’ expectations through public disclosure. I introduce heterogeneous priors in a standard bayesian persuasion model a la Gentzkow and Kamenica (2011) and characterize how the optimal disclosure depends on the heterogeneity of beliefs. I show that heterogeneity matters in two ways: (i) it is optimal to be send signals with positive error probabilities, contrarily to the homogeneous belief case; (ii) higher dispersion in beliefs brings the information authority to choose lower error probabilities. I apply the framework to a Central Bank communication problem in which the policy maker communicates about aggregate demand to distort firms’ investment decisions. I test the model’s predictions empirically by showing that FOMC unemployment rate forecasts are systematically biased in opposite directions in recessions and expansions, and the less so the higher the private sector disagreement is, in line with the model’s predictions.

When Does Monetary Policy Matter? Not All Policy Statements Are Alike (with P.Hubert and M.Le)

This paper investigates when monetary policy announcements matter for asset price dynamics. While there is substantial evidence for the key role of news about the future policy path, FOMC announcements explain only a limited fraction of asset price changes on these days. Using a simple but novel classification approach based on the interplay between signals about the current and future policy stance, we identify meetings with a strong forward-looking information content. We show that these statements – one-third of the total – drive most, if not all, of the effects of monetary policy on long-term interest rates. On these days, monetary surprises account for a large fraction of the variation in these rates. In contrast, statements about the present – half of all meetings – have no effect on long-term rates but do affect short-term rates, stock prices and risk measures. The strong effects on long-term rates appear to stem from investors gaining insights into long-run economic fundamentals.

Coordinating the Message: Media Coverage of Fed News and Market Reactions (with K.Istrefi, B.Sagna) BdF WP 983

This paper examines the homogeneity in media coverage of the Federal Reserve from 1998 to 2021 and its impact on financial markets. Using a dataset of 350,000 articles from major U.S. outlets, we document three key findings: (i) editorial specialization in Fed-related news; (ii) an increase in homogeneity of both topic and tone around significant Fed events and; (iii) a reduction in market volatility and sensitivity to monetary policy surprises when topic coverage becomes more homogeneous. Notably, this effect reverses when the dominant media focus shifts to stock market related topics.

Measuring and Comparing Consumption Inequality in France and the United States (joint with A.Accardo, C.Jude and A.Penalver) BdF WP 904

This paper constructs an annual dataset of consumption by income quintiles for France since 1995 in order to make a granular comparison of consumption inequality with the United States. We first match consumption data with the national accounts and then use a Kalman filter to interpolate missing observations so as to obtain yearly data. We validate this technique by applying it to a US dataset with pseudo-missing data comparable to our French data. Comparing consumption and income inequality across the two countries, we find consumption inequality to be higher in the US and overall not to mirror income inequality. Finally, based on the weights of the different consumption items, we construct annual price indices by quintile. We find that dispersion in inflation across income groups is less marked in France than the United States.

Econometric Analysis of Regime Switches and of Fiscal Multipliers OFCE WP 2014-01

In this paper, I extend the technique of vector autoregressions (VARs) to account for the possibility of a state-dependent fiscal multipliers for France, Germany, Italy and the United States. I estimate a non linear smooth transition vector autoregression, following Auerbach and Gorodnichenko (2012a). My results suggest that the output multiplier of government purchases is significantly higher in recessions than expansions.

Work in progress

The Effect of Monetary Policy on Consumption Inequality (joint with A.Accardo, C.Jude and A.Penalver)

The Signaling Effect of State-Dependent Communication

Are Internal and External Communication Strategies of Central Banks Consistent? (with K.Istrefi and G.Sestieri)

State-Dependent Central Bank Communication: a DSGE approach

Older work

The Pass-through of the Sovereign Debt Crisis to Bank Lending in the Eurozone: a Narrative Approach

Layoffs and Wage Rigidity (joint with C.Huckfeldt)

Blog, Policy

Towards more clarity in central bank communication, Banque de France Econ Notepad, with K.Istrefi and G.Sestieri [Link]

Why can sovereign and corporate borrowers borrow at negative rate? Banque de France Econ Notepad 212, with A.Penalver and MS Pagliari [Link]

Economists: not enough transparency? Evidence from a reproducibility exercise of a top economic journal. SUERF Policy Brief 288 (joint with L.Vilhuber) [Link]

Discussions

Reactions of household inflation expectations to a symmetric inflation target and high inflation (Galati et al., 2022), ESCB Research Cluster 2022, Slides

Good Policy or Learning Evolution? A Markov-Switching approach to Understanding the Determinants of Fed policy (Best and Hur 2022), WEAI, Slides

Fiscal Policy and Inflation Expectations (Mello et Ponce 2022), CEMLA-ECB-NY FED conference Slides

Consumer Behavior at Low and Negative Interest Rates: Evidence for a Savings’ Reversal (Felici et al. 2021), ESCB Research Cluster 2021 Slides

Reading Between the Line: Using Text Analysis to Estimate the Loss Function of the ECB (Paloviita et al. 2020) - ESCB Research Cluster 2020 Slides

Fireside Chats: Communication and Consumers’ Expectations in the Great Depression (Mathieu Pedemonte), Columbia University - Young Economist Symposium, 2019 Slides

Money Flow in a Dynamic Economy (Larry Marsh), Midwest Economic Association, 2019 Slides

Measuring ECB’s Communication: a Media-based Automated Approach (Francesco Pesci), Conference on the New Challenges of Central Bank Communication, UC Louvain, 2018 Slides