Banque de France

About: Banque de France is a other organization based out in Paris, France. It is known for research contribution in the topics: Monetary policy & Interest rate. The organization has 528 authors who have published 1789 publications receiving 46560 citations.

Notes on CEPII’s Distances Measures: The GeoDist Database

Abstract: GeoDist makes available the exhaustive set of gravity variables used in Mayer and Zignago (2005). GeoDist provides several geographical variables, in particular bilateral distances measured using citylevel data to assess the geographic distribution of population inside each nation. We have calculated different measures of bilateral distances available for most countries across the world (225 countries in the current version of the database). For most of them, different calculations of “intra-national distances” are also available. The GeoDist webpage provides two distinct files: a country-specific one (geo_cepii) and a dyadic one (dist_cepii) including a set of different distance and common dummy variables used in gravity equations to identify particular links between countries such as colonial past, common languages, contiguity. We try to improve upon the existing similar datasets in terms of geographical coverage, quality of measurement and number of variables provided.

Systemic risk: A survey

Abstract: This paper develops a broad concept of systemic risk, the basic economic concept for the understanding of financial crises. It is claimed that any such concept must integrate systemic events in banking and financial markets as well as in the related payment and settlement systems. At the heart of systemic risk are contagion effects, various forms of external effects. The concept also includes simultaneous financial instabilities following aggregate shocks. The quantitative literature on systemic risk, which was evolving swiftly in the last couple of years, is surveyed in the light of this concept. Various rigorous models of bank and payment system contagion have now been developed, although a general theoretical paradigm is still missing. Direct econometric tests of bank contagion effects seem to be mainly limited to the United States. Empirical studies of systemic risk in foreign exchange and security settlement systems appear to be non-existent. Moreover, the literature surveyed reflects the general difficulty to develop empirical tests that can make a clear distinction between contagion in the proper sense and joint crises caused by common shocks, rational revisions of depositor or investor expectations when information is asymmetric ("information-based" contagion) and "pure" contagion as well as between "efficient" and "inefficient" systemic events. currency crises

The Pricing Behaviour of Firms in the Euro Area: New Survey Evidence

Abstract: This study investigates the pricing behaviour of firms in the euro area on the basis of surveys conducted by nine Eurosystem national central banks, covering more than 11,000 firms. The results, robust across countries, show that firms operate in monopolistically competitive markets, where prices are mostly set following markup rules and where price discrimination is common. Around one-third of firms follow mainly time-dependent pricing rules while two-thirds allow for elements of state-dependence. The majority of firms take into account past and expected economic developments in their pricing decisions. Price stickiness is mainly driven by customer relationships - explicit and implicit contracts - and coordination failure. Firms adjust prices asymmetrically in response to shocks: while cost shocks have a greater impact when prices have to be raised than when they have to be reduced, reductions in demand are more likely to induce a price change than increases in demand.

Price Setting in the Euro Area : Some Stylised Facts from Individual Producer Price Data

Abstract: This paper documents producer price setting in 6 countries of the euro area: Germany, France, Italy, Spain, Belgium and Portugal. It collects evidence from available studies on each of those countries and also provides new evidence. These studies use monthly producer price data. The following five stylised facts emerge consistently across countries. First, producer prices change infrequently: each month around 21% of prices change. Second, there is substantial cross-sector heterogeneity in the frequency of price changes: prices change very often in the energy sector, less often in food and intermediate goods and least often in non-durable non-food and durable goods. Third, countries have a similar ranking of industries in terms of frequency of price changes. Fourth, there is no evidence of downward nominal rigidity: price changes are for about 45% decreases and 55% increases. Fifth, price changes are sizeable compared to the inflation rate. The paper also examines the factors driving producer price changes. It finds that costs structure, competition, seasonality, inflation and attractive pricing all play a role in driving producer price changes. In addition producer prices tend to be more flexible than consumer prices.