Anne Duquerroy

Deputy Head of Microeconomics Research Division - Banque de France

 Research Interests: Corporate Finance, Banking and Financial Intermediation, Political Economy

Contact Information

Banque de France - 31, rue Croix des petits Champs - 75001 Paris, FRANCE

Link to Professional Site

Curriculum Vitae


What Individual Data Tells us about the Covid-19 Impact on Corporate Liquidity in 2020 (with B. Bureau, J. Giorgi, S. Scott and F. Vinas)  - Economics and Statistics 2022

Using rich granular data for over 645 000 French firms in 2020, this paper builds a micro-simulation model to assess the impact of the Covid-19 crisis on corporate liquidity. Going beyond the aggregate picture, we document that while net debt has been fairly stable at the macroeconomic level, individual heterogeneity is widespread. Significant dispersion in changes in net debt prevails both between and within industries, before as well as after public support. We show that the probability to experience a negative liquidity shock − as well as the intensity of this shock − are negatively correlated with the initial credit quality of the firm (based on Banque de France internal ratings). Our model also finds that public support dampens significantly the impact of Covid on the dispersion of liquidity shocks and brings back the distribution of liquidity shocks closer to its pre-crisis path but with fatter tails.  

Corporate activity in France amid the Covid-19 crisis. A granular data analysis (with B. Bureau, J. Giorgi, S. Scott and F. Vinas)  - Economics and Statistics 2022

Taking advantage of detailed firm-level data on VAT returns, we estimate the monthly impact of the Covid-19 crisis on the turnover of more than 645,000 French firms. Our approach, based on a micro-simulation model, is innovative in a triple way. Firstly, we quantify the activity loss with respect to a counterfactual situation in which the crisis would not have hit. Secondly, we estimate this shock at the firm level, enabling a thorough analysis of activity loss heterogeneity throughout the crisis. In particular, we shade light on the dispersion of the shock both within and between industries. We show that the industry the firm operates in explains up to 48% of the monthly activity shocks’ variance weighted by employment, a much larger share than in a normal year. Finally, we leverage our monthly firm-level data on sales to show how corporate activity has evolved along four distinct trajectories throughout 2020. The main determinant of belonging to a given profile of activity is the firm industry – defined at a very granular level. Conditional on industry, the activity trajectory is also correlated with the ability to adapt some firms have demonstrated during the crisis in terms of organization and production. 

Corporate liquidity during the Covid-19 crisis: the trade credit channel (with Benjamin Bureau and Frédéric Vinas), Review of Corporate Finance Studies 2024

We show both theoretically and empirically how trade credit financing may magnify the impact of activity shocks on corporate liquidity. Using unique daily data on payment defaults on suppliers in France, we quantify the economic magnitude of the short-term cyclical liquidity stress induced by trade payment obligations, exploiting the Covid-19 crisis as an exogenous shock. A one standard deviation increase in the net trade credit position of the average firm increases its monthly probability of default by 10% during the lockdown, with more severe repercussions for downstream sectors – up to 30% in the retail trade sector – and financially constrained firms, and a contraction in investment of exposed firms.

Presentations: EFA, Corporations and Covid-19 Workshop of the European Corporate Governance Institute, Banque de France

Unconventional Monetary Policy  Transmission and Bank Lending Relationships (with Christophe Cahn and William Mullins) (Accepted at Management Science)

Firms with only one bank relationship make up the majority of firms in many economies. This paper explores whether policy-driven lending is differentially transmitted to singlebank firms in comparison to the multi-bank firms that are the focus of the literature. Using unique variation in the ECB’s Very Long-Term Refinancing Operations (VLTROs), which affected lending to firms discontinuously across credit ratings but within banks, we find selective transmission of VLTRO liquidity to single-bank firms. Banks apply higher lending standards to single-bank firms, with banking relationships determining both new lending and lending maturity. By contrast, banks appear to transmit policy lending near-uniformly across multi-bank firms.  

2017 Colorado Winter Finance Summit Best Paper Award

Presentations: R.H.Smith Maryland Finance Brownbag, 2017 WEAI Santiago, IFABS 2017 (Oxford), 25th Finance Forum (Universitat Pompeu Fabra), BdF-BdI Workshop on Corporate Finance, Banque de France seminar, FDIC 17th Bank Research Conference, ECB non-standard Monetary Policy Workshop, JFI-Olin Conference, Séminaire Fourgeaud (French Ministry of Finance), USC Finance seminar, 2017 Colorado Winter Finance Summit, MFA 2018, 11th Swiss Winter conference on Financial Intermediation, FIRS 2018, SFS Cavalcade 2018, WFA 2018, 2018 Wharton Conference on Liquidity and Financial Fragility, CEPII seminar, 2018 Oesterreichische Nationalbank  seminar, 2019 Workshop Empirical Monetary Economics, 2019 Paris Eurofidai.

Tracing Banks’ Credit Allocation to their Funding Costs  (with Adrien Matray and Farzad Saidi)  CEPR Discussion Paper No. DP17072 (submitted)

We quantify how banks' funding costs affect their lending behavior directly, and indirectly by feeding back to their net worth. For identification, we exploit banks' heterogeneous liability structure and the existence of regulated deposits in France whose rates are set by the government. Using administrative credit-registry and regulatory bank data, we find that a one-percentage-point increase in funding costs reduces credit by 17%. To insulate their profits, banks reach for yield and rebalance their lending towards smaller and riskier firms. These changes are not compensated for by less affected banks at the aggregate city level, with repercussions for firms' investment. 
Presentations:  ASSA Meetings 2024, New York Fed / NYU Stern Conference on Financial Intermediation, 2023 BdF-TSE Workshop, 2022 CEPR OFCE Sciences Po EME, 2021 MFA Annual Meeting,  10th MoFiR Workshop on Banking, CESF 2021, Boston Fed, German Economic Association, ESMT Berlin, Bonn University, Frankfurt School of Finance & Management, the CU Boulder Finance in the cloud, EFA 2020, CEPR EABCN 2020, USC FiFi 2020, Vienna Graduate School of Finance, Banca d’Italia, Banque de France

Bank Local Specialization (with Clément Mazet-Sonilhac, Jean-Stéphane Mésonnier and Daniel Paravisini ) (submitted)

Using micro-data of the universe of bank-SME relationships in France, we show that banks specialize locally (at the branch level) by industry, and that this specialization shapes the equilibrium amount of borrowing by small firms. For identification, we exploit the reallocation of local clients from closed down branches to nearby branches of the same bank, which induced quasi-random variation in the match between a firm’s industry and the industry of specialization of the lending branch. We show that branch reallocation leads, on average, to a substantial and permanent decline in small firm borrowing. This decline is twice larger for firms whose accounts are reallocated from branches less specialized in their industry than the original one.
Presentations: Boconi University, FDIC spring seminar 2022, EFA 2020, Sciences Po, LSE, OFCE, Collège de France, ESCB workshop on "Financial stability, macroprudential regulation and microprudential supervision"

Interest Rate Uncertainty and Euro Area Firm Dynamics (with Klodiana Istrefi and Sarah Mouabbi) CEPR Discussion Paper No. 18722 (submitted)

We examine the effects of uncertainty regarding the path of interest rates on firms decisions in the euro area. In the presence of heightened short-term interest rate uncertainty, firms tend to decrease their future investments and hiring activities. They also adopt a more cautious approach by hoarding cash and cutting dividend payments. Firm heterogeneity is crucial, as the negative effect on future investment is magnified when firms are ex-ante exposed to interest rate risk, face financial constraints or lack hedging strategies. These effects operate mainly through a financing and cash flow channel, highlighting the presence of a Finance-Interest-Rate-Uncertainty multiplier, whereby the effects of this uncertainty are amplified by the presence of financial constraints. Conversely, we find no significant effects of long-term interest rate uncertainty on firm decisions. 
Presentations: ECB seminar 2023, ESCB Research Cluster on Monetary Economics, IAAE 2022, EABCN and Deutsche Bundesbank Conference 2022 

Political Uncertainty and Corporate Investment: the Real Effects of Checks and Balances

This article explores the economic effects of checks and balances on corporate investment and employment. I use U.S. gubernatorial election results from 1978 to 2010 as a source of exogenous variation in whether the party controls both the executive and the legislative branch (unified government) or not (divided government), which determines its ability to implement its political agenda. I find that both public and private firms respond to the political cycle by reducing investment and hiring when government becomes unified. Investment drops by three to five percent in the year following an election resulting in unified government, while stock returns volatility is three percent higher. The findings support the hypothesis that moving from divided to unified government raises policy uncertainty by increasing the probability of future policy changes. Consistent with a real option channel, the effect is stronger for capital intensive firms with lower asset redeployability. 

2019 MFA Outstanding Paper Award

Presentations: 2022 OFCE seminar, Maryland Political Economy working group, Banque de France Aghion seminar, 2018 AFSE , 2018 26th Finance Forum (Santander), MFA 2019 (Chicago), Royal Economic Society 2019  (Warwick).

Policy publications

The highly heterogeneous impact of the Covid-19 crisis on French firms (with B. Bureau, J. Giorgi, M. Lé, S. Scott),The European Money and Finance Forum, Suerf brief, October 2021 

The outbreak of the COVID-19 pandemic in 2020 and the restrictive sanitary measures taken to contain it had a major impact on the activity of non-financial corporations. In this policy brief, we present the main findings of two recent studies (Bureau et al. 2021a & 2021b). These studies estimate the activity shock experienced by French firms in 2020 by leveraging granular real-time observed data, and evaluate the success of policy responses in mitigating the liquidity shock induced by plummeting revenues. We show that the public measures implemented in 2020 have substantially reduced negative cash flow shocks while leaving acute liquidity stress on some firms. In addition, we shed light on the highly heterogeneous impact of both activity and liquidity shocks between but also within sectors. These findings may be useful in public policy approaches, as the sector cannot be the sole criterion used to define policies to exit the crisis. As the economy fully re-opens and fiscal support is revised downwards, the heterogeneity and diversity of firms’ situations calls for a fine-tuning of policy tapering. 

Activity shocks: the amplifier effect of trade credit 

Blog Banque de France, Eco Notepad, November 2023 (with B. Bureau and F.Vinas)

Accomodation and food services activities during the 2020 health crisis

INSEE Références, December 2021. (with B. Bureau, J. Giorgi, M. Lé, S.Scott)

What Individual Data Tells us about the Covid-19 Impact on Corporate Liquidity in 2020 

Banque de France Working Paper n°824, July 2021. (with B. Bureau, J. Giorgi, M. Lé, S.Scott, F.Vinas)

Corporate activity in France amid the Covid-19 crisis. A granular data analysis. 

Banque de France Working Paper n°823, July 2021. (with B. Bureau, J. Giorgi, M. Lé, S.Scott, F.Vinas)

Funding shock: how will the investment of large French firms be affected?

Bulletin de la Banque de France n°229,  May 2020. (with C. Mazet-Sonilhac)

Unconventional monetary policy: what impact on small and medium-sized enterprises financing?

Banque de France, Rue de la Banque n°65, June 2018 (with C. Cahn) 

Central bank collateral policy and bank lending

Blog Banque de France, Eco Notepad, May 2018 (with C.Cahn, JS.Mésonnier, C.O’Donnell, O.Toutain)

Credit Default Swaps and Financial Stability: Risks and Regulatory Issues

Financial Stability Review 13, The future of financial regulation, pp.75-78, September 2009. (with M.Gex and N.Gauthier)

Assessment and Outlook for Sovereign Wealth Funds

Focus Banque de France 1, November 2008.

Les Crédits aux Sociétés Non Financières en France: Evolutions Récentes

Bulletin de la Banque de France 174, pp.31-41, August 2008. (with J. Demuynck and P. Rousseaux)

Evolutions Récentes du Crédit aux Ménages en France

Bulletin de la Banque de France 169, pp.61-67, January 2008. (with J. Demuynck and T. Yon)