AURAY Stephane

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We introduce heterogeneous mark-ups through Bertrand competition in a two-country model with endogenous firms’ entry and tradability `a la Ghironi and Melitz (2005). Bertrand competition generates a distribution of mark-ups according to which firms that are larger and more productive charge lower prices, attract larger market shares and extract larger mark-ups. First, we characterize first-best allocations and their implementation. We find that they are inde- pendent from the degree of mark-ups’ heterogeneity, suppress the dispersion of mark-ups and imply zero distortions on labor as well as substantial subsidies to preserve firm’s incentives to enter. Second, second-best alternative policies with a restricted number of instruments and a balanced budget significantly reduce the potential welfare gains from fiscal policies. Third, the total welfare losses from passive policies are lower under heterogeneous mark-ups than under homogeneous mark-ups: while the dispersion of mark-ups has negative effects on the intensive margin, output per firm, it also raises expected profits for potential entrants and raises the ex- tensive margin, the number of firms in both domestic and export markets, pushing them closer to their efficient levels. Fourth, we also investigate the dynamic properties of allocations under passive and optimal policies considering aggregate productivity shocks and trade liberalization experiments.

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The inception of the euro allowed countries from the periphery to experience a large fall in the cost of borrowing. Lower nominal rates were only partially offset by lower inflation rates. We rationalize this real interest rate reversal using a two-region model of a monetary union where, consistently with real interest rate data, discount factors are initially heterogeneous, leading the periphery to be borrowing-constrained. We model the inception of the euro as a partial convergence process in inflation rates and a slow rise in the discount factor of the periphery, relaxing the borrowing constraint. This simple setup accounts for the bulk of post-euro fluctuations in both regions. In particular, it replicates very well the observed joint dynamics of current accounts and terms of trade.

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In this paper, we investigate the causes and consequences of “unclaimed” unemployment insurance (UI) benefits. A search model is developed where the costs to collecting UI benefits include both a traditional “fixed” administrative cost and an endogenous cost arising from worker and firm interactions. Experience rated taxes give firms an incentive to challenge a worker’s UI claim, and these challenges are costly for the worker. Exploiting data on improper denials of UI benefits across states in the U.S. system, a two-way fixed effects analysis shows a statistically significant negative relationship between the improper denials and the UI take-up rate, providing empirical support for our model. We calibrate the model to elasticities implied by the two-way fixed effects regression to quantify the relative size of these UI collection costs. The results imply that on average the costs associated with firm challenges of UI claims account for 41% of the total costs of collecting, with improper denials accounting for 8% of the total cost. The endogenous collection costs imply the unemployment rate responds much slower to changes in UI benefits relative to a model with fixed collection costs. Finally, removing all eligibility requirements and allowing workers to collect UI benefits without cost shows these costs to be 4,5% of expected output net of vacancy costs. Moreover, this change has minimal impact on the unemployment rate.

We propose a model with involuntary unemployment, incomplete markets, and nominal rigidity, in which the effects of government spending are state-dependent. An increase in government purchases raises aggregate demand, tightens the labor market and reduces unemployment. This in turn lowers unemployment risk and thus precautionary saving, leading to a larger response of private consumption than in a model with perfect insurance. The output multiplier is further amplified through a composition effect, as the fraction of high-consumption households in total population increases in response to the spending shock. These features, along with the matching frictions in the labor market, generate significantly larger multipliers in recessions than in expansions. As the pool of job seekers is larger during downturns than during expansions, the concavity of the job-finding probability with respect to market tightness implies that an increase in government spending reduces unemployment risk more in the former case than in the latter, giving rise to countercyclical multipliers.

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Asubstantial share of severance payments derives from private contracts or collective agreements. In this paper, we study the determination of these payments. We analyze joint bargaining over wages and severance payments in a search-and-matching model with risk-averse workers. Individual bargaining results in levels of severance pay that provide full insurance, but also depend on unemployment benefits and job-finding rates. Unions also choose full insurance. Because their higher wage demands reduce job creation, this requires higher severance pay. Severance pay observed in eight European countries, to which we calibrate the model, lies between predictions from the bargaining and union scenarios.

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A tractable incomplete-market model with unemployment, sticky prices, and a fiscal side is used to quantify the macroeconomic effects of lockdown policies and the miti-gating effects of raising government spending and implementing UI benefit extensions. We find that the effects of lockdown policies, although we are relatively conservative about the size of the lockdown, are huge: unemployment doubles on impact and al-most triples even for relatively short lockdown durations. Output falls dramatically and debt-output ratios increase by several tens of percentage points. In addition, the surge in unemployment risk triggers a rise in precautionary savings that make such shocks Keynesian supply shocks: aggregate demand falls by more than aggregate supply, and lockdown policies are deflationary. Unfortunately, we find that raising public spending and extending UI benefits stimulate aggregate demand or improve risk-sharing but has little effects on output and unemployment, although they do alleviate the welfare losses of lockdown policies for the households.

Following the Great Recession, U.S. government debt levels exceeded 100% of output. We develop a macroeconomic model to evaluate the role of various shocks during and after the Great Recession. labor market shocks have the greatest impact on macroeconomic activity. We then evaluate the consequences of using alternative fiscal policy instruments to implement a fiscal austerity program to return the debt-output ratio to its pre-Great Recession level. Our welfare analysis reveals that there is not much difference between applying fiscal austerity through government spending, the labor income tax, or the consumption tax. using the capital income tax is welfare-reducing.

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We develop a two-country model with an explicitly microfounded interbank market and sovereign default risk. Calibrated to the core and the periphery of the Euro Area, the model gives rise to a debt-banks-credit loop that substantially amplifies the effects of financial shocks, especially for the periphery. We use the model to investigate the effects of a stylized public asset purchase program at the steady state and during a crisis. We find that it is more effective in stimulating the economy during a crisis, in particular for the periphery.

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Following the Great Recession, U.S. government debt levels exceeded 100% of output. We develop a macroeconomic model to evaluate the role of various shocks during and after the Great Recession. labor market shocks have the greatest impact on macroeconomic activity. We then evaluate the consequences of using alternative fiscal policy instruments to implement a fiscal austerity program to return the debt-output ratio to its pre-Great Recession level. Our welfare analysis reveals that there is not much difference between applying fiscal austerity through government spending, the labor income tax, or the consumption tax. using the capital income tax is welfare-reducing.

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We develop a model with financial frictions and sovereign default risk where the maturity of public debt is allowed to be larger than one period. When the debt portfolio has longer average maturities, public debt increases less in the event of a crisis, reducing the size of the subsequent fiscal consolidation through distorsionary taxes or public spending, with positive effects on welfare. In addition, we provide some results suggesting that optimized fiscal responses to a crisis depend on the average maturity of the debt portfolio. Abstract We develop a model with financial frictions and sovereign default risk where the maturity of public debt is allowed to be larger than one period. When the debt portfolio has longer average maturities, public debt increases less in the event of a crisis, reducing the size of the subsequent fiscal consolidation through distorsionary taxes or public spending, with positive effects on welfare. In addition, we provide some results suggesting that optimized fiscal responses to a crisis depend on the average maturity of the debt portfolio.

We analyze the effects of world wars on the macroeconomic dynamics of the U.S., France, Germany, and the UK, by means of an estimated open-economy model. The model allows wars to affect the economy through capital depreciation, sovereign default, a military draft, household preferences, and spillovers on other exogenous processes (productivity, investment, trade, policy variables). If the bulk of fluctuations during war episodes can be explained by the rise in government spending in the U.S., other factors are crucial in other countries. We also discuss the size and state-dependence of public spending multipliers, and a counterfactual welfare exercise.

We quantify the effects of competitive tax reforms within a two-country monetary union model with endogenous entry and endogenous tradability. As expected, their effects on output , consumption, hours worked and the terms of trade are positive. Extensive margins provide additional transmission mechanisms that turn the response of foreign output from negative to positive and yields larger aggregate welfare gains compared to alternative models. These positive spillovers are due to the positive effect of the reform on variety creation in both countries and change our vision of this type of reform from beggar-thy-neighbor to prosper-thy-neighbor.

In the first chapter, we analyze the interactions between the interbank market and sovereign default risk in a two-country general equilibrium model, focusing on the transmission of the recent financial crisis and unconventional monetary policy.In the second chapter, the effects of fiscal devaluation on macroeconomic indicators and welfare are analyzed using a two-country model in a monetary union where goods varieties and trade are endogenous.In the third chapter, the impact of the demographic factor on the growth of the service sector in the long run is highlighted.In the fourth chapter, the effects of labor mobility and capital mobility in a monetary union are studied.

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This thesis investigates the distortions and frictions that create capital misallocation in emerging economies, i.e. heterogeneous capital accumulation between the private and public sectors, excessive savings (by households and firms), and the slowdown of investment in certain sectors. The first chapter shows, through a dynamic general equilibrium model including different types of firms, that in the Chinese economy, the allocation of household savings to state-owned enterprises (SOEs) by the banking system has both a domestic and an international scope. First of all, it helps to explain to a large extent the configuration of capital flows in China: despite the strong growth of its total factor productivity, China observes a strong accumulation of foreign exchange reserves while the inflow of Foreign Direct Investment (FDI) is important. Moreover, by channelling household savings into SOEs, this allocation of capital also explains, in this model, the fall in consumption (which is a major current problem in China's transition). Additional frictions are introduced in the model, such as privatization, capital expropriation, moral hazard and capital controls, also playing a significant role in the appearance of imbalances in the Chinese economy. The second chapter focuses on the distortion that played a key role in the misallocation of capital in the Chinese economy, the credit bias in favor of SOEs, and extends its analysis to other emerging countries by focusing on FDI inflows. The study is empirical with global and sectoral approaches, using different methodologies applied to two samples of emerging countries. The increase in the distribution of credit to SOEs, to the detriment of private firms, slows down the increase of FDI inflows, specifically in the manufacturing sectors. Indeed, the latter have a high dependence on external financing and the share of private enterprises is higher than in the tertiary sectors. In order to correct the imbalances of the Chinese economy analyzed in the theoretical framework of the first chapter, the third chapter proposes a tax system consisting of heterogeneous taxes between the different types of enterprises in China (SOEs, domestic and foreign private firms), as well as taxes on household income and on credit repayments. The reforms aim at reducing overinvestment by most firms, increasing consumption, and maximizing welfare. Some reforms impose higher taxes on state-owned enterprises, allowing for a reallocation of labor to private domestic and foreign firms. In addition, the adjustment of factor costs (labor and capital) between the private and public sectors, and between domestic and foreign firms, is sometimes necessary during the reforms applied in this model. These reforms to increase consumption and decrease investment bring welfare benefits to households, and the rebalancing of domestic demand does not necessarily require an adjustment in the external financial position. Finally, the thesis concludes with an extension of the previous model, with nominal rigidities and taxes on consumption of foreign and domestic goods applied during the consumption-increasing reforms.

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This paper deals with nonparametric estimation of conditional den-sities in mixture models in the case when additional covariates are available. The proposed approach consists of performing a prelim-inary clustering algorithm on the additional covariates to guess the mixture component of each observation. Conditional densities of the mixture model are then estimated using kernel density estimates ap-plied separately to each cluster. We investigate the expected L 1 -error of the resulting estimates and derive optimal rates of convergence over classical nonparametric density classes provided the clustering method is accurate. Performances of clustering algorithms are measured by the maximal misclassification error. We obtain upper bounds of this quantity for a single linkage hierarchical clustering algorithm. Lastly, applications of the proposed method to mixture models involving elec-tricity distribution data and simulated data are presented.

Publisher's summary: "The United States has a unique system for financing unemployment insurance: the amount of contributions, paid by employers only, depends on the layoff history of each firm ... more precisely, on the number of layoffs it has made in recent years and on the number of laid-off employees who have chosen to receive unemployment benefits. This system of modulating contributions, or "bonus-malus," which is regulated at the federal level, varies from state to state, making the United States an ideal laboratory for analyzing its effects on labour market performance. Does it encourage employers to lay off less? Does it discourage them from hiring? How does it affect the decisions of employees and the unemployed to use or not use unemployment insurance? Reviewing the numerous studies on these questions, the authors highlight the benefits to be expected from the transposition of such a system in Europe - while cautioning against overly simplistic approaches. They suggest ways to reform the financing of the French unemployment insurance system.

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An annual sequence of wages in England starting in 1245 is used. It is shown that a standard AK-type growth model with capital externality and stochastic productivity shocks is unable to explain important features of the data. Random returns to scale are then considered. Moderate episodes of increasing returns to scale and growth are shown to be compatible with convergence of wage's process towards a unique stationary distribution. This holds true for other relevant values such as GDP and/or capital stock. Furthermore, random returns to scale generate heteroskedasticity, a feature common to macroeconomic time series. Finally, the limit distribution of real wages displays fat tails if returns to scale are episodically increasing. Several inference results supporting randomness of returns to scale are provided.

In this paper, we bridge economic data and climatic time series to assess the vulnerability of a pre-industrial economy to changes in climatic conditions. We propose an economic model to extract a measure of total productivity from English data (real wages and land rents) in the pre-industrial period. This measure of total productivity is then related to temperatures and precipitations. We find that lower (respectively higher) precipitations (resp. temperatures) enhance productivity. Further, temperatures also have non-linear effects on productivity : large temperature variations lower productivity. We perform counterfactual exercises and quantify the effects of large increases in temperatures on productivity, GDP and welfare.

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In this paper, we formulate and solve a real life coal blending problem using a Column Generation Approach. The objective of the model is to prescribe optimal mixes of coal to produce coke. The problem is formulated as a mixed integer program. It involves various types of constraints arising from technical considerations of the blending process. The model also incorporates nonlinear constraints. It results in a large-scale problem that cannot be solved by classical operations research methods. Defining three heuristic methods based on column generation techniques, this paper proposes reasonable solutions for the industry.

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The figures published by Dares on January 27, 2014 confirm that 2013 did not end with the hoped-for inversion of the unemployment curve. On the contrary, the indicators studied are not improving. Unemployment is still on the rise and affects all age groups and genders, with the exception of the unemployment rate for men aged 1524, for which a reduction is observed in the first two quarters of 2013. Of particular concern is the steady growth in long-term unemployment. The monthly exit rate from unemployment remained very low and stable around 10% in 2013. Thus, there is hope for a stabilization of unemployment for early 2014, but a significant reversal of the curve seems unlikely in the short term. The job offers collected and satisfied by Pôle emploi have steadily decreased since January 2012, except for the last six months when the situation has slightly improved in terms of offers collected, which suggests a possible recovery if the trend continues. Finally, in 2013, the rate of employment growth was down or stable in almost all sectors of activity.

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We show that welfare can be lower under complete financial markets than under autarky in a monetary union with home bias, sticky prices and asymmetric shocks. Such a monetary union is a second-best environment in which the structure of financial markets affects risk-sharing but also shapes the dynamics of inflation rates and the welfare costs from nominal rigidities. Welfare reversals arise for a variety of empirically plausible degrees of price stickiness when the Marshall-Lerner condition is met. These results carry over a model with active fiscal policies, and hold within a medium-scale model, although to a weaker extent.

In this thesis, the objective of my research, in line with the literature that gives a prominent role to financial intermediaries in macroeconomic models, is to understand the mechanisms that allowed imperfect and perfect financial intermediation to affect the dynamics of the economy and the transmission of monetary policy, and to provide a new theoretical formulation for the evaluation of unconventional monetary policy. To do so, I first considered the impact of financial intermediation on the analysis of the effects of central bank transparency (chapter 2). In chapter 3, I focus on the role played by imperfect financial intermediation and financial frictions in the transmission of shocks: by what mechanisms does the presence of balance sheet-constrained financial intermediaries affect the impact of shocks on the macroeconomy? Finally, in the fourth chapter, I construct a theoretical model to analyze an important issue: the transmission mechanism of the effects of large-scale central bank purchases of leveraged securities, which has not been done in the existing literature.

We formulate and solve an industrial coal blending problem using the column generation technique. The objective of the model is to prescribe to the industrialist, a steel group, the optimal coal blends at each coking plant, as well as the optimal coal purchases. The problem takes into account a large number of constraints coming from the industrial blending process. It is formulated as a nonlinear integer problem. Three heuristics based on the column generation method are proposed to solve the problem. At the master problem level, the demand is distributed among the plants, the production level of each plant, as well as the coal purchase and transportation plan are determined. At the sub-problem level, the optimal mixtures are determined, respecting all the technical constraints of the industrial process. The price information is passed from the master problem to the sub-problems using the dual variables of coal availability constraints. The sub-problems return the optimal coal mixtures in return. The proposed heuristic approach solved the problem submitted by the steel group.

In this paper, we propose a theoretical framework to investigate the impact of conflicts and wars on key macroeconomic aggregates and welfare. Using a panel data with 9 countries from 1870 onwards, we first show that the consumption-to-output ratio is minimal during WWII for participants. While this can be explained by an increase in public spending in the USA, this cannot be the case in other countries that participated in WWII, as they experience a large fall in output during wartime. To account for this, we build a variation of a Real Business Cycle model first proposed by Hercowitz and Sampson (1991). We extend the initial model to account for specific shocks that destroy private and public capital stocks – as conflicts do – by assuming an (exogenously) time-varying parameter in the law of capital accumulation. In addition, the model imbeds generalized TFP shocks capturing standard technological factors as well as the potential effects of war on the labor force. The model is estimated and used (i) to assess the importance of capital shocks during war episodes, and (ii) to quantify the welfare effects of conflicts. We show that capital shocks are crucial to account for the macroeconomic dynamics of countries that have experienced large war-related destruction, and that the welfare losses from fluctuations can be quite large when considering data samples that include major war episodes.

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The development of a hydrogen economy will need a transportation infrastructure to deliver hydrogen from production sites to end users. For the specific case of hydrogen, pipelines networks compete with other hydrogen carriers: compressed gas trucks and liquid cryogenic trucks. In this paper, we deal with the determination of the temporal deployment of a new hydrogen transportation infrastructure. Starting from the expected final horizon pipelines network, we propose a backward heuristic approach. The proposed approach is illustrated on a French regional hydrogen transportation network tacking into account two scenarios for hydrogen penetration into the fuel markets. We showed that for the mid term perspective and low market share, the trucks are the most economical options. However, for the long term, the pipeline option is considered as an economical viable option as soon as the hydrogen energy market share for the car fueling market reaches 10%.

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The introduction of the Euro in 1999 was a major economic event for European countries. The financial crisis of 2007, followed by the sovereign debt crisis in 2010, has led to question the sustainability of the Eurozone, and the ability of some of its members to meet their commitments to the single currency. The austerity measures implemented within the Economic and Monetary Union in the current crisis context may constitute for some States an additional temptation to leave the single currency and recover their monetary and fiscal independence. An exit of Greece from the Eurozone, or even of other Member States in difficulty (Portugal, Ireland, Italy, and Spain) is today a scenario that can no longer be excluded. This thesis proposes to consider the question of the optimal monetary regime, flexible exchange rate regime or monetary union, for the 17 countries of the Eurozone, in the context of the financial and sovereign debt crises that currently affect them. The first chapter is general and aims to formally demonstrate the occurrence of a structural break due to the transition to the single currency in 1999. It shows that such a break did occur for the countries of the Euro zone around 1992, which marked the adoption of the Maastricht Treaty and the establishment of the convergence criteria for the adoption of the Euro. This break is not shared by the three European countries that have preserved their currency (United Kingdom, Sweden and Denmark). The second chapter constitutes the heart of this work. It presents the reference model used to compare the two monetary regimes considered for the Euro zone. It is a two-country model incorporating financial rigidities in the context of interbank transactions between member states. The model, once calibrated for the Eurozone, suggests that financial rigidities can play a considerable role in the dynamics of these states, as shocks affecting partner economies can contribute significantly to national dynamics. Preliminary numerical simulations of financial crises carried out on the model do not provide conclusive answers as to the performance of the two monetary regimes considered, with the flexible exchange rate regime appearing to lead to greater stability, whereas a monetary union allows for a more rapid recovery from the initial crisis. The final chapter has a dual purpose. First, it proposes a formal welfare criterion for evaluating the respective performances of the two regimes under consideration. It also develops a number of extensions to the reference model, in order to integrate sovereign debt and the credit policies (Covered Bonds Purchase Programme and Securities Markets Programme) implemented by the ECB since the beginning of the crisis. The results show that in the absence of interventionist policies by the European Central Bank, a large majority of Eurozone countries (15 out of 17) would benefit from a higher level of welfare in a flexible exchange rate regime. However, the conclusions are reversed under the Securities Markets Programme, where member states become overwhelmingly in favour of a monetary union regime. This suggests that the ECB has a role to play within the European monetary area that goes beyond its primary function of initiating monetary policy.

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In this note, we correct two typos contained in the published version of Auray et al. (2012), which affect the quantitative results, without modifying the qualitative results and then the message of the paper. In addition, we present a modified pricing rule for exported goods, and allow export prices to be sticky as well. This extension slightly improves the quantitative predictions of the model. Finally, predictions are made closer to the data when considering an alternative inflation target.

This work considers the problem of the optimal design of an hydrogen transmission network. This design problem includes the topology determina tion and the pipelines dimensioning problem. We define a local search method that simultaneously looks for the least cost topology of the network and for the optimal diameter of each pipe. These two problems were generally solved separately these last years. The application to the case of development of future hydrogen pipeline networks in France has been conducted at the local, regional and national levels. We compare the proposed approach with another using Tabu search heuristic.

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The objective of this thesis is to analyze the effect of globalization on inflation dynamics and monetary policy in a globalized world. In the first chapter, we focus on the impact of financial globalization on inflation targeting behavior in emerging countries, with a particular focus on the exchange rate: does the central bank respond to exchange rate movements? We use quarterly data from six emerging market countries that have been practicing inflation targeting from the date of its adoption until the last quarter of 2009 (2009 Q4). The study is based on a neo-Keynesian small open economy model à la Gali and Monacelli (2005). We use a multiple equation GMM estimator to analyze the relationship. The results show us that the central bank's response to the exchange rate is statistically significant in the case of Brazil, Chile, Mexico and Thailand. However, it is not significant for Korea and the Czech Republic. Theoretically, the result should not be significant even with flexible inflation targeting, where the central bank responds to inflation and output gaps. We believe that the particular characteristics of emerging countries, such as the fear of floating, the lack of development of the financial system and a lack of credibility of the central bank, explain this preoccupation of central banks with exchange rate variations. In the second chapter, we study empirically the relative importance of the transmission channels of monetary policy for Brazil, Chile and Korea. This part is based on monthly data from the adoption of inflation targeting until December 2009 (2009M12). We use a SVAR model, incorporating the main monetary transmission channels simultaneously instead of considering them separately. The empirical results indicate that the exchange rate channel as well as the asset price channel have a relatively higher importance than the traditional interest rate channel or the credit channel for industrial production. The results are very different in the case of inflation, with the exception of Korea. The high ranking of the exchange rate channel and the asset price channel are consistent with the results of Gudmundsson (2007): the exchange rate channel may have become increasingly important with the development of financial globalization.In the third chapter, we empirically study the role of openness - real and financial - on inflation dynamics in Brazil, Chile and South Korea. The study is based on monthly data, from the adoption of inflation targeting until December 2009. In this last chapter, we use Generalized Method of Moments (GMM). The ratio of imports to GDP is taken as the indicator of real openness. With respect to financial openness, we consider alternatively the Chinn and Ito (KAOPEN) index measuring the degree of liberalization of financial account transactions, and the indicator proposed by Lane and Milesi-Ferreti (2009).We conclude in this chapter that there is generally a positive relationship between real openness and inflation. With respect to financial openness, the results are less clear-cut and depend largely on the indicator used to measure financial openness.

This thesis aims to improve the understanding of the mechanisms at work in the monetary policy transmission mechanism. The approach adopted allows us to evaluate the interest of certain monetary transmission models and to understand the mechanisms of non-neutrality of money. The implementation of an original methodology in the first chapter makes it possible to estimate the hypothesis of habit persistence in household consumption behavior and to show that this hypothesis is relevant conditionally to monetary history. The second chapter shows that the introduction of habit persistence in a limited-participation model allows the reproduction of a persistent liquidity effect. Finally, in the last chapter, the habit formation hypothesis is considered within a model with prior cash constraints. It is shown that it is possible, depending on individuals' beliefs about money, to reproduce Keynesian effects, the transmission mechanism of monetary policy and the liquidity effect, within an originally and definitively neoclassical framework.