International audienceThe Royal Swedish Academy of Sciences awarded the Sveriges Riksbank Prize i... more International audienceThe Royal Swedish Academy of Sciences awarded the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel 2011 to Thomas Sargent and Christopher Sims “for their empirical research on cause and effect in the macroeconomy”. In this article we present the contribution for which Sims was awarded. In order to overcome the limitations of Keynesian Macroeconometric models, Sims (1980) made the famous Sims critique and proposed a multivariate model which has deeply influenced economic sciences. After presenting the main contributions of this approach, we conclude with an outlook of the academic researches generated by the Sims’ pioneering work.L’Académie royale des sciences de Suède a attribué le prix 2011 de la Banque de Suède en sciences économiques institué en mémoire d’Alfred Nobel à Thomas Sargent et Christopher Sims "pour leurs recherches empiriques sur la cause et l’effet en macroéconomie". Cet article se propose de présenter les travaux pour lesquels Sims a été primé. Face aux insuffisances des modèles macroéconométriques d’inspiration keynésienne, Sims (1980) émet la fameuse critique de Sims et propose une modélisation multivariée qui va profondément influencer la science économique. Après avoir retracé les principaux apports de cette approche, nous proposons un panorama des nombreuses recherches suscitées par les travaux pionniers de Sims
This article studies the impact on Europe of the main external shocks that occurred in the 2000s,... more This article studies the impact on Europe of the main external shocks that occurred in the 2000s, such as rising oil prices, the fall in the US interest rate, stock market bubbles in the United States, and rising global imbalances. We estimate an SVAR model with exogeneity constraints, together with contemporary and long-term restrictions, in order to measure the impact of these shocks on the euro area and its member countries, as well as on the United Kingdom. The findings show that external shocks during the 2000s help to explain Europe's relatively sluggish growth, the appreciation of the euro, and widening current account deficits within the euro area.
Cette etude s'attache a evaluer dans quelle mesure la provision forfaitaire contribue a atten... more Cette etude s'attache a evaluer dans quelle mesure la provision forfaitaire contribue a attenuer la procyclicite de la profitabilite bancaire et a determiner l'impact de ce dispositif sur les recettes fiscales de l'Etat. Cette provision represente certes un manque a gagner en termes de recettes fiscales a court terme, mais celui-ci est provisoire etant donne qu'elle est incorporee au resultat de la banque et, in fine, taxee. Les resultats des estimations indiquent que la provision forfaitaire suit une evolution oppose aux cycles financier et reel lorsque ceux-ci sont approximes, respectivement, par les ecarts a la tendance de long terme du prix de l'immobilier residentiel et du PIB luxembourgeois. Elle contribute egalement a lisser le profit des banques et, par la meme, elle lisse les recettes fiscales et contribute a la stabilisation du solde budgetaire a la suite d'un retournement du cycle. La provision forfaitaire permet donc de mieux couvrir les pertes at...
Apres avoir analyse les avantages et les inconvenients des obligations indexees sur le PIB, les a... more Apres avoir analyse les avantages et les inconvenients des obligations indexees sur le PIB, les auteurs identifient un interet general a developper ce type de produits. Ils en evaluent les benefices potentiels pour les pays emetteurs et les investisseurs, determinant une liste de pays pour lesquels ces gains sont les plus eleves.
This article studies the impact on Europe of the main external shocks that occurred in the 2000s,... more This article studies the impact on Europe of the main external shocks that occurred in the 2000s, such as rising oil prices, the fall in the US interest rate, stock market bubbles in the United States, and rising global imbalances. We estimate an SVAR model with exogeneity constraints, together with contemporary and long-term restrictions, in order to measure the impact of these shocks on the euro area and its member countries, as well as on the United Kingdom. The findings show that external shocks during the 2000s help to explain Europe's relatively sluggish growth, the appreciation of the euro, and widening current account deficits within the euro area.
le 10 octobre 2011, l'Académie Royale des Sciences de Suède a attribué le prix Nobel d'éc... more le 10 octobre 2011, l'Académie Royale des Sciences de Suède a attribué le prix Nobel d'économie à Thomas Sargent et Christopher Sims " pour leurs recherches empiriques sur la cause et l'effet en macroéconomie ". Cet article se propose de présenter les travaux pour lesquels Sims a été primé. Pour commencer, nous retraçons son parcours académique. Nous présentons ensuite de
Purpose – This article aims to provide insight into the future of financial markets and regulatio... more Purpose – This article aims to provide insight into the future of financial markets and regulation in order to define what would be the best strategy for Europe. Design/methodology/approach – First the authors define the potential changes in financial markets and then the tools available for the regulator to tame them. Finally, they build five scenarios according to the main evolutions observed on the financial markets and on the tools used by the regulator to modify these trends. Findings – Among the five scenarios defined, two present highly unstable features since the regulator refuses to choose between financial opening and independently determining how to regulate finance in order to preserve financial stability. Three of them achieve financial stability. However, they are more or less efficient or feasible. In terms of market efficiency, the multi-polar scenario is the best and the fragmentation scenario is the worst, since gains of integration depend on the size of the new ca...
L’Académie royale des sciences de Suède a attribué le prix 2011 de la Banque de Suède en sciences... more L’Académie royale des sciences de Suède a attribué le prix 2011 de la Banque de Suède en sciences économiques institué en mémoire d’Alfred Nobel à Thomas Sargent et Christopher Sims « pour leurs recherches empiriques sur la cause et l’effet en macroéconomie ». Cet article se propose de présenter les travaux pour lesquels Sims a été primé. Face aux insuffisances des modèles macroéconométriques d’inspiration keynésienne, Sims (1980) émet la fameuse critique de Sims et propose une modélisation multivariée qui va profondément influencer la science économique. Après avoir retracé les principaux apports de cette approche, nous proposons un panorama des nombreuses recherches suscitées par les travaux pionniers de Sims.
Quarterly selection of articles - Bulletin de la Banque de France, 2016
GDP-indexed bonds in current values (GIBs) are a type of bonds that stabilises the debt ratio in ... more GDP-indexed bonds in current values (GIBs) are a type of bonds that stabilises the debt ratio in the economic cycle and thus provides the issuing countries with countercyclical room for manoeuver. To date, only GDP-linked bonds with detachable warrants that yield a compensation bonus beyond some real growth thresholds have been issued and solely associated with debt restructuring. However, interest in GIBs has grown in the context of the broad current work on the contingent debt instruments which aim at strengthening the global financial safety nets by transferring part of the macroeconomic risk to private investors. This article quantifies the gains and identifies the challenges associated with GIBs. Firstly, the debt ratios of issuing countries are stabilised. Secondly, investors benefit from the catching-up in emerging economies and can deal with currency risk that extends beyond the maturities usually covered by financial markets. On this basis, we identify countries that would ...
This article studies the emergence of global imbalances. A periodisation is made up using precise... more This article studies the emergence of global imbalances. A periodisation is made up using precise statistical tools. Imbalances are then studied using three original indicators. The first underlines their recent concentration. The second shows that Europe is the only great economic zone not to have important imbalances these last years. The last highlight impact of the financial liberalization and financiarization on the composition of international financial imbalances.This re-examination of past leads us to several conclusions. If these imbalances reached such extent today, it is because they grow faster than GDP since the fall of Bretton Woods. The current logic of imbalances appears at the early 1980's with the return to the foreground of the great economic zones, the growth of portfolio investments financing and the polarization of imbalances.
During the 2000s, we observed the accumulation of global imbalances resulting primarily from mass... more During the 2000s, we observed the accumulation of global imbalances resulting primarily from massive current account imbalances in the USA and in Asia. This paper studies the impact of external shocks on East Asian countries in order to determine if these can account for the Asian side of global imbalances. To this end, we estimate a structural vector autoregression (VAR) model with block exogeneity using Bayesian inference. The three external shocks are an oil shock, a US monetary shock and a US financial shock. Our main findings are as follows: (i) external shocks account for the current account surplus in Korea, Malaysia, the Philippines, Singapore, and Thailand and, to a lesser extent, in Japan and Indonesia; (ii) the oil shock and the US monetary shock seem to have influenced current account balances through real and monetary channels, and the US financial shock through the financial channel.
In this paper we study the long-run determinants of current account balances in 21 OECD countries... more In this paper we study the long-run determinants of current account balances in 21 OECD countries. We define long-run targets to determine whether actual current account balances are in line with their equilibrium values and find that, following the crisis, the United States, Japan and Spain returned towards their targets but that much remains to be done in Austria, Greece and Germany. Using linear and asymmetric panel VECM models, we find that the speed of convergence of external imbalances is much faster in deficit countries than in surplus ones. These results suggest that the adjustment of intra-European imbalances has to take place in both surplus and deficit countries and should be particularly substantial in the former. This revived the old debate of how to get the surplus countries to adjust.
International audienceThe Royal Swedish Academy of Sciences awarded the Sveriges Riksbank Prize i... more International audienceThe Royal Swedish Academy of Sciences awarded the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel 2011 to Thomas Sargent and Christopher Sims “for their empirical research on cause and effect in the macroeconomy”. In this article we present the contribution for which Sims was awarded. In order to overcome the limitations of Keynesian Macroeconometric models, Sims (1980) made the famous Sims critique and proposed a multivariate model which has deeply influenced economic sciences. After presenting the main contributions of this approach, we conclude with an outlook of the academic researches generated by the Sims’ pioneering work.L’Académie royale des sciences de Suède a attribué le prix 2011 de la Banque de Suède en sciences économiques institué en mémoire d’Alfred Nobel à Thomas Sargent et Christopher Sims "pour leurs recherches empiriques sur la cause et l’effet en macroéconomie". Cet article se propose de présenter les travaux pour lesquels Sims a été primé. Face aux insuffisances des modèles macroéconométriques d’inspiration keynésienne, Sims (1980) émet la fameuse critique de Sims et propose une modélisation multivariée qui va profondément influencer la science économique. Après avoir retracé les principaux apports de cette approche, nous proposons un panorama des nombreuses recherches suscitées par les travaux pionniers de Sims
This article studies the impact on Europe of the main external shocks that occurred in the 2000s,... more This article studies the impact on Europe of the main external shocks that occurred in the 2000s, such as rising oil prices, the fall in the US interest rate, stock market bubbles in the United States, and rising global imbalances. We estimate an SVAR model with exogeneity constraints, together with contemporary and long-term restrictions, in order to measure the impact of these shocks on the euro area and its member countries, as well as on the United Kingdom. The findings show that external shocks during the 2000s help to explain Europe's relatively sluggish growth, the appreciation of the euro, and widening current account deficits within the euro area.
Cette etude s'attache a evaluer dans quelle mesure la provision forfaitaire contribue a atten... more Cette etude s'attache a evaluer dans quelle mesure la provision forfaitaire contribue a attenuer la procyclicite de la profitabilite bancaire et a determiner l'impact de ce dispositif sur les recettes fiscales de l'Etat. Cette provision represente certes un manque a gagner en termes de recettes fiscales a court terme, mais celui-ci est provisoire etant donne qu'elle est incorporee au resultat de la banque et, in fine, taxee. Les resultats des estimations indiquent que la provision forfaitaire suit une evolution oppose aux cycles financier et reel lorsque ceux-ci sont approximes, respectivement, par les ecarts a la tendance de long terme du prix de l'immobilier residentiel et du PIB luxembourgeois. Elle contribute egalement a lisser le profit des banques et, par la meme, elle lisse les recettes fiscales et contribute a la stabilisation du solde budgetaire a la suite d'un retournement du cycle. La provision forfaitaire permet donc de mieux couvrir les pertes at...
Apres avoir analyse les avantages et les inconvenients des obligations indexees sur le PIB, les a... more Apres avoir analyse les avantages et les inconvenients des obligations indexees sur le PIB, les auteurs identifient un interet general a developper ce type de produits. Ils en evaluent les benefices potentiels pour les pays emetteurs et les investisseurs, determinant une liste de pays pour lesquels ces gains sont les plus eleves.
This article studies the impact on Europe of the main external shocks that occurred in the 2000s,... more This article studies the impact on Europe of the main external shocks that occurred in the 2000s, such as rising oil prices, the fall in the US interest rate, stock market bubbles in the United States, and rising global imbalances. We estimate an SVAR model with exogeneity constraints, together with contemporary and long-term restrictions, in order to measure the impact of these shocks on the euro area and its member countries, as well as on the United Kingdom. The findings show that external shocks during the 2000s help to explain Europe's relatively sluggish growth, the appreciation of the euro, and widening current account deficits within the euro area.
le 10 octobre 2011, l'Académie Royale des Sciences de Suède a attribué le prix Nobel d'éc... more le 10 octobre 2011, l'Académie Royale des Sciences de Suède a attribué le prix Nobel d'économie à Thomas Sargent et Christopher Sims " pour leurs recherches empiriques sur la cause et l'effet en macroéconomie ". Cet article se propose de présenter les travaux pour lesquels Sims a été primé. Pour commencer, nous retraçons son parcours académique. Nous présentons ensuite de
Purpose – This article aims to provide insight into the future of financial markets and regulatio... more Purpose – This article aims to provide insight into the future of financial markets and regulation in order to define what would be the best strategy for Europe. Design/methodology/approach – First the authors define the potential changes in financial markets and then the tools available for the regulator to tame them. Finally, they build five scenarios according to the main evolutions observed on the financial markets and on the tools used by the regulator to modify these trends. Findings – Among the five scenarios defined, two present highly unstable features since the regulator refuses to choose between financial opening and independently determining how to regulate finance in order to preserve financial stability. Three of them achieve financial stability. However, they are more or less efficient or feasible. In terms of market efficiency, the multi-polar scenario is the best and the fragmentation scenario is the worst, since gains of integration depend on the size of the new ca...
L’Académie royale des sciences de Suède a attribué le prix 2011 de la Banque de Suède en sciences... more L’Académie royale des sciences de Suède a attribué le prix 2011 de la Banque de Suède en sciences économiques institué en mémoire d’Alfred Nobel à Thomas Sargent et Christopher Sims « pour leurs recherches empiriques sur la cause et l’effet en macroéconomie ». Cet article se propose de présenter les travaux pour lesquels Sims a été primé. Face aux insuffisances des modèles macroéconométriques d’inspiration keynésienne, Sims (1980) émet la fameuse critique de Sims et propose une modélisation multivariée qui va profondément influencer la science économique. Après avoir retracé les principaux apports de cette approche, nous proposons un panorama des nombreuses recherches suscitées par les travaux pionniers de Sims.
Quarterly selection of articles - Bulletin de la Banque de France, 2016
GDP-indexed bonds in current values (GIBs) are a type of bonds that stabilises the debt ratio in ... more GDP-indexed bonds in current values (GIBs) are a type of bonds that stabilises the debt ratio in the economic cycle and thus provides the issuing countries with countercyclical room for manoeuver. To date, only GDP-linked bonds with detachable warrants that yield a compensation bonus beyond some real growth thresholds have been issued and solely associated with debt restructuring. However, interest in GIBs has grown in the context of the broad current work on the contingent debt instruments which aim at strengthening the global financial safety nets by transferring part of the macroeconomic risk to private investors. This article quantifies the gains and identifies the challenges associated with GIBs. Firstly, the debt ratios of issuing countries are stabilised. Secondly, investors benefit from the catching-up in emerging economies and can deal with currency risk that extends beyond the maturities usually covered by financial markets. On this basis, we identify countries that would ...
This article studies the emergence of global imbalances. A periodisation is made up using precise... more This article studies the emergence of global imbalances. A periodisation is made up using precise statistical tools. Imbalances are then studied using three original indicators. The first underlines their recent concentration. The second shows that Europe is the only great economic zone not to have important imbalances these last years. The last highlight impact of the financial liberalization and financiarization on the composition of international financial imbalances.This re-examination of past leads us to several conclusions. If these imbalances reached such extent today, it is because they grow faster than GDP since the fall of Bretton Woods. The current logic of imbalances appears at the early 1980's with the return to the foreground of the great economic zones, the growth of portfolio investments financing and the polarization of imbalances.
During the 2000s, we observed the accumulation of global imbalances resulting primarily from mass... more During the 2000s, we observed the accumulation of global imbalances resulting primarily from massive current account imbalances in the USA and in Asia. This paper studies the impact of external shocks on East Asian countries in order to determine if these can account for the Asian side of global imbalances. To this end, we estimate a structural vector autoregression (VAR) model with block exogeneity using Bayesian inference. The three external shocks are an oil shock, a US monetary shock and a US financial shock. Our main findings are as follows: (i) external shocks account for the current account surplus in Korea, Malaysia, the Philippines, Singapore, and Thailand and, to a lesser extent, in Japan and Indonesia; (ii) the oil shock and the US monetary shock seem to have influenced current account balances through real and monetary channels, and the US financial shock through the financial channel.
In this paper we study the long-run determinants of current account balances in 21 OECD countries... more In this paper we study the long-run determinants of current account balances in 21 OECD countries. We define long-run targets to determine whether actual current account balances are in line with their equilibrium values and find that, following the crisis, the United States, Japan and Spain returned towards their targets but that much remains to be done in Austria, Greece and Germany. Using linear and asymmetric panel VECM models, we find that the speed of convergence of external imbalances is much faster in deficit countries than in surplus ones. These results suggest that the adjustment of intra-European imbalances has to take place in both surplus and deficit countries and should be particularly substantial in the former. This revived the old debate of how to get the surplus countries to adjust.
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Papers by Jean-Baptiste Gossé