PUBLICATIONS
1. “Trade Openness and Connectedness of National Productions: Do Financial Openness, Economic Specialization, and the Size of the Country Matter? ” 2023 ,(link), joint with Adam Touré, Economic Modelling, Vol 125, 106340.
Recent studies have used data from a few developed countries to show that countries with trade surpluses tend to be net recipients of connectedness shocks. Unlike those studies that have focused on the effects of the trade balance on net connectedness, our paper focuses on the effects of trade openness on directional and bilateral connectedness. Moreover, we use a high-dimensional approach to measure our connectedness indicators and a fixed-effect panel model for regression. We also analyze the variables that amplify the effect of trade openness. The data used in this study come from 27 OECD countries and China over the period from 1991M1 to 2017M12. We show that trade openness and trade integration increase connectedness “from other countries” and bilateral connectedness “from another country”, respectively. Financial integration and differences in economic specialization dampen the effects of trade integration on bilateral connectedness “from another country”, while periods of recessions amplify them.
2. “The Effect of Paid Parental Leave on Breastfeeding, Parental Health and Behavior, ” 2023, (link), joint with Laetitia Lebihan, Economics & Human Biology, Vol 50, 101248.
Little is known about the effects of paid parental leave (in particular fathers' quotas) on parental health and involvement. In this paper, we exploit a reform that took place in the Canadian province of Quebec to address that important topic. In 2006, Quebec opted out of the federal plan and established its own parental insurance plan, named the Quebec Parental Insurance Plan (QPIP). This program has lowered the eligibility criteria, increased income replacement and introduced fathers' quotas. Using three data sets, we investigate the impact of the QPIP on breastfeeding and parental health and behavior. Our results show that the reform increased breastfeeding duration and parental involvement. Results also suggest that the policy had limited positive effects on parental health.
3. “Revisiting the AA-DD model in Zero Lower Bound,” 2023, (link), TEL, Vol 13, 297-309.
This paper proposes a simple model of a mechanism through which exchange rate can affect the link between output and government spending in zero lower bound (ZLB) periods. In our proposed model, the expected near-future interest rate is added as an endogenous variable. Unlike existing AA-DD models in ZLB, the nominal exchange rate is no longer constant. Our model predicts that the output effect of an increase in government spending in a ZLB period is deflected by an appreciation of the current exchange rate. The AA-DD model is taught in almost all economic departments. The model is also generally used by many central banks and governments. The existing AA-DD model can be misleading. Our new AA-DD model may help to update the existing model in ZLB periods. Our AA-DD model is also consistent with recent dynamic stochastic general equilibrium models in open economies in ZLB periods.
4. “DSGE Models, Detrending, and the Method of Moments, ” 2021, (link), Bulletin of Economic Research, Vol 73, No 1, P 67-99.
One important question in the DSGE literature is whether we should detrend data when estimating the parameters of a DSGE model using the moment method. It has been common in the literature to detrend data in the same way the model is detrended. Doing so works relatively well with linear models, in part because in such cases the information that disappears from the data is usually related to the parameters that also disappear from the detrended model. Unfortunately, in heavy non-linear DSGE models, parameters rarely disappear from detrended models, but information does disappear from the detrended data. Using a simple real business cycle model, we show that both the moment method estimators of parameters and the estimated responses of endogenous variables to a technological shock can be seriously inaccurate when detrended data are used in the estimation process. Using a dynamic stochastic general equilibrium model and U.S. data, we show that detrending the data before estimating the parameters may result in a seriously misleading response of endogenous variables to monetary shocks. We suggest building the moment conditions using raw data, irrespective of the trend observed in the data.
5. ''Government spending, GDP and exchange rate in Zero Lower Bound: measuring causality at multiple horizons,'' 2021,(link), (with Laetitia Lebihan), Journal of Quantitative Economics Vol 1, 139-160.
This paper assesses the Granger causality between government spending and gross domestic product (GDP) in the United States at multiple horizons. This paper also analyses the role the real exchange rate plays in the causality measure during the zero lower bound (ZLB) period. Many researchers using theoretical models built in a closed economy suggest that the elasticity between government spending and GDP is very large, when the nominal interest rate is binding. Other researchers, also using theoretical models generally built in an open economy, suggest that the elasticity in the ZLB period is not large. The same conflicting results are reported in the empirical literature mostly using vector auto regressives (VARs), with different restrictions. In this paper, we use a different approach to measure the link between the two variables. The new approach has the advantage of not relying on any restrictions, as is the case with VARs when dealing with causalities. Moreover, our approach is not related to the way the model is built, as is the case with dynamic stochastic general equilibrium (DSGE) types of models. In this paper, we use a Granger causality measure to compare the causality for normal periods with the causality for the ZLB period. We emphasize the role played by the real exchange rate. Our empirical results provide evidence that the causality measures between government spending and GDP are larger and persistent in the ZLB period, but only if the exchange rate is not taken into account. When the exchange rate is taken into account, our measure of causality becomes very small and non-persistent.
6. “Unconditional Cash Transfers and Parental Obesity,” 2019, (link), joint with Laetitia Lebihan, Social Science & Medicine, Vol 224, P 116-126.
In this study, we evaluate the impact of unconditional family cash transfers on the body mass index (BMI) and obesity of parents. Our approach is based on the implementation of the Universal Child Care Benefit in 2006 for all children in Canada under 6 years of age. We show that the reform caused decreases in BMI and the prevalence of overweight and obesity in mothers with young children. We also report larger changes at the upper tail of the distribution of BMI in both lower-educated mothers and single mothers. In terms of fathers, we find that the policy had no impact on weight outcomes.
7. “Government-Spending Multipliers and the Zero Lower Bound in an Open Economy, ” 2017, (link), Review of International Economics, Vol 25, No 5, P 1046-1077.
This paper assesses the size of the government-spending multiplier in an open economy when the zero lower bound (ZLB) on the nominal interest rate is binding. In a theoretical framework, in a closed economy, Christiano et al. (2011) show that, when the nominal interest rate is binding, the government-spending multiplier can be very large (close to four). Their theory helps illuminate the government-spending multiplier in the ZLB, but it is difficult to match that theory with the data. We argue that, in an open economy, another channel exists for the crowding-out effect via the real exchange rate. For an open economy, the government-spending multiplier is not large due to the appreciation of the real exchange rate, induced by the appreciation of aggregate demand that follows the increases in government spending. To test the robustness of our open economic model, we conduct the same analysis in a corresponding closed economy model. The result from our closed economy model confirms the result obtained in a closed economy by Christiano et al. (2011).Our theoretical results are consistent with the results obtained in the empirical literature, which uses the Vector Auto Regressive (VAR) method and the Structural Vector Auto Regressive (SVAR) approach to measure the impact of government spending shock on the real Gross Domestic Product (GDP) and revealed that the government spending multiplier tends to be lower in open economy(see for example Karras, 2012; Ilzetzki et al., 2013).
8. “The Impact of Universal Child Benefits on Family Health and Behaviours,” 2018, (link), joint with Laetitia Lebihan, Research in Economics, Vol 72, No 4, 415-427.
In 2006, the Universal Child Care Benefit was introduced in Canada for all children aged less than 6 years. This program aims to help cover the cost of children and to provide financial assistance to families with young children in their choice of childcare. We exploit this policy change to estimate the effects of unconditional family cash transfers on the health and behaviours of two-parent families and their children. Using a difference-in-differences model, we find no evidence that the program improved child and parental outcomes in aggregate. A modest but fragile beneficial effect is found for low-education families and for girls.
9. "Health Disparities for Immigrants: Theory and Evidence from Canada," 2018, ( link), joint with Laetitia Lebihan and Fanny McKellips, Review of Economics, Vol 69, No 3, 183-206.
Few empirical studies have been conducted to analyse the disparities in health variables affecting immigrants in a given country. To our knowledge, no theoretical analysis has been conducted to explain health disparities for immigrants between regions in the same country that differs in term of languages spoken and income. In this paper, we use the Canadian Community Health Survey (CCHS) to compare multiple health measures among immigrants in Quebec, immigrants in the rest of Canada and Canadian-born individuals. We propose a simple structural model and conduct an empirical analysis in order to assess possible channels that can explain the health disparities for immigrants between two regions of the same country. Our results show that well-being and health indicators worsen significantly for immigrants in Quebec, compared to their counterparts in the rest of Canada and Canadian-born individuals. Additional econometric analysis also shows that life satisfaction is statistically and significantly associated with health outcomes. The proposed structural model predicts that, when the decision to migrate to a particular area is based on income alone, and if the fixed costs associated with the language barrier are large, immigrants may face health issues.
10. “Selection of the Number of Factors in Presence of Structural Instability: a Monte Carlo Study,” 2015, (link), (with Dalibor Stevanovic, Identification, Simulation and Finite Sample inference, special issue of L’Actualité économique, Vol 91, No 1-2, P177-233). Editors: Marie-Claude Beaulieu, Jean-Marie Dufour, Lynda Khalaf and A. Craig Mackinlay, (link to editor 's introduction).
In this paper, we study the performance (in terms of the selection of the number of primitive shocks in exact and approximate factor models) of different tests and information criteria in the context of structural instability. More specifically, we conduct an extensive comparison of all procedures using standard large United States and Canadian macroeconomic and financial panels. The empirical results illustrate that: i) the estimated number of factors differs substantially across the selection methods; and ii) the number of factors varies significantly over time, both across and within the selection methods. Several explanations are possible. The factors (often perceived as states of the economy) become more or less pervasive over time, such that their dimensions can be harder to estimate. Structural changes, such as the adoption of new monetary and fiscal policies, can affect the way the observable series loads on the factors. In the second part of the paper, we perform many Monte Carlo simulations to suggest that the structural instability can alter the estimation of the number of factors, and therefore, explain the empirical findings. In particular, we approximate the structural changes by allowing for time-varying factor loadings. Our contributions to the literature consist of: i) providing empirical evidence for the time varying factor structure, in terms of the number of factors, in macroeconomic and large financial data sets; and ii) assessing the performance of several selection rules in the presence of irregularities. In addition, we study the robustness of selection methods in small and large samples, and in exact and approximate factor structures.
SUBMITTED AND WORKING PAPERS
11. “The Effect of National Policies on Connectedness of the COVID-19: Before vs. During the Availability of the Vaccines,” 2023, (link) joint with Laetitia Lebihan & Adam Touré, under review, 44 pages.
Many papers have focused on the effect of national policies on the fall of the rate of COVID-19 cases. However, the effect of national policies on COVID-19 shocks coming from abroad is still an open question. This paper uses daily new confirmed COVID-19 cases from May 2020 to March 2022 in 36 countries, including OECD countries and China, and a high-dimensional method to measure and study the international connectedness of COVID-19. Our main result shows that national policies such as international travel restrictions were effective in reducing the connectedness of COVID-19 from abroad before the wide availability of the vaccines, but not when the vaccine was first made available to the public. We also show that larger distances between two countries multiplied the effect of national policies on connectedness from another country, while common languages dampened it. The results of this paper could help policymakers in a trade-off analysis between containment policies and socioeconomic costs.
12. “Estimations and Inferences of Dynamic Stochastic General Equilibrium Models Using Raw Data,” 2023, (link), under review, 90 pages.
Estimators of Dynamic Stochastic General Equilibrium Models (DSGE) parameters, as well as impulse response functions, can be wildly inaccurate when data used in the estimation process are detrended; even if data are detrended in the same way, the model is detrended. However, little is known about inferences for DSGE parameters and impulse response functions when raw data are used. This may be due to difficulties in applying the law of large numbers and the central limit theorem on sample means or functions of sample means when data do not come from stationary processes. The good news for DSGE models is that the equilibrium conditions, represented by the first-order conditions of agent problems used to build the impulse response functions, are usually written as a non-linear combination of stationary variables at the true value of the parameters. In this paper, we exploited that property to suggest the conditions under which the generalized method of moments (GMM), the indirect inference (II) estimators, and the minimum chi-square estimators are consistent and asymptotically Gaussian distributions. We also suggested procedures and conditions under which the GMM bootstrap, the indirect inference bootstrap, and the minimum chi-square bootstrap for DSGE model parameters are valid. For example, we used U.S. data to assess the impulse response functions, due respectively to money supply shock, government spending shock, and productivity shock, in a DSGE framework in which the Federal Reserve Bank set the policy rate that controlled the raw value of the nominal gross domestic product. This empirical analysis would have been very difficult without our theoretical results.
13. “Mathematics Trajectories and Risk Factors During Childhood,” 2018, (link), (with Laetitia Lebihan), Applied Developmental Science [R & R].
In this paper, we use the National Longitudinal Survey of Children and Youth to identify the trajectory of mathematical abilities among Canadian children 7 to 15 years old. We also analyse families and personal characteristics during early childhood that may influence the likelihood of being in one of these abilities groups. We identify three trajectory groups: average abilities (47.6 %), high abilities (30.1 %), and low abilities (22.3 %). Our results also show that maternal education is one of the most important predictors for a low mathematics abilities trajectory. Cognitive score at ages 4 to 5 is also a good indicator of future academic success. Finally, children at risk are those whose parents have low parenting skills.
14. “Polygyny, Child Education, Health and Labour: Theory and Evidence from Mali,” 2018, (link), (with Setou Diarra and Laetitia Lebihan), under review.
In this paper, we use the Demographic and Health Survey conducted in Mali to compare children in polygynous families and their counterparts in monogamous families. We also analyse the link between the mothers' order of marriage and their children's outcomes. We finally propose a theoretical model to rationalise our findings. Our results show that children in polygynous families are less enrolled in school, progress less at school and do less domestic household work compared to children from monogamous families. For polygynous families, we found that educational enrolment and progress of children of the first wife are higher than that of children of the second and subsequent wives. Moreover, weight-for-height and body mass index are both lower for children of first wives compared to children of second and subsequent wives. Children of first wives work more at home compared to children of second and subsequent wives. Our theoretical model predicts that if fathers discriminate against their first wives and if effort at school is positively correlated to the father's discrimination, then, on average, children of first wives will perform better at school but will consume less and will have a lower health outcomes compared to children of second wives.
15. “Measuring Granger Causality in Big Data with Applications in Macroeconomics and Financial Economics ,” 2017, (link),(with Prosper Dovonon),
In this paper, we proposed a measure of causality in big data. Our method can be used to test the causality in both directions between two variables by testing whether our measure is zero against an alternative. We can also use our method to measure the causality in two directions between two variables when controlling for large panel data. Furthermore, our method can be used to measure the causality between two large panel data sets (e.g., two sectors of the economy). We can use our method to measure causality in both directions between one variable and large panel data. We summarized information contained in large panel data as small numbers of latent variables and then used a corresponding forecast model to build our causality measure. We proposed an estimator of our causality measure and identified its asymptotic properties. A bootstrap approximation of our causality measure and a corresponding bootstrap validity are also proposed. As a practical illustration, we used large panel data from the United States to measure causality in both directions between the real economy and the monetary economy when controlling for prices. Our examples also included measuring the causality between the housing sector and the stock market as well as between the consumer sentiment index and the labour market when controlling for the monetary sector. In addition, we measured causality in both directions between consumer sentiment and the federal fund rate when controlling for the labour market.
16. “Unemployment insurance and the Economic activity: a theoretical investigation,” (under review)
In this paper, we identify the long term effect of unemployment-insurance contributions on economic activity. The economic context is monopolistic competition, with capital and labour as production factors. Firms with average productivity are considered as representative firms. In the Melitz (2003) framework, distortions in economic activity lead low productivity firms to exit the market, and replaced by more productive ones. Aggregate productivity is then larger, and so are employment and physical capital. We show that, when wages are determined by bargaining, a policy change that reduces total surplus to be shared leads to wage cuts. This reduces firm costs, and allows firms with low productivity to remain a part of economic activity. Large firms then do not replace small ones, because lower wages compensate the increase in contributions to unemployment-insurance, and as a result, aggregate productivity does not increase signicantly. Production, employment, and therefore the unemployment rate remain stable.
17. “Debt reduction and the economic activity,” (under review).
In this paper we assess the impact of debt reduction on economic activity and welfare in a learning by doing endogenous growth model calibrated to the United State of America. Cogan, Taylor, Wieland and Wolters (2013) now CTWW (2013) conducts a similar analysis. However, the CTWW (2013) framework does not include welfare assessment, their model has a very high number of real and nominal frictions that are not required to obtain the result. We consider a general real equilibrium model in a closed economy with perfect competition. In particular, the elasticity of human capital with respect to aggregated employment is the one estimated by Chang and al.(2002). We show that a gradual reduction in the debt ratio associated with a progressive reduction of distortionary taxes generates an increase in employment. The increase in employment contributes to the accumulation of human capital. The accumulation of human capital generates welfare gains and growth.
WORK IN PROGRESS
18. Bayesian Inferences of Dynamic Stochastic General Equilibrium Models Using Raw Data ( with Jean-Marie Dufour)
19. Commodity Prices and the Real Economy (with Rachidi Kotchoni)
20. Forecasting in the Presence of Structural Instability (with Dalibor Stevanovic)