2024 - Media coverage of th ECB: a textual analysis - With Thomas Chuffart. Revue d'Economie Politique - 6, 923-946.
2020 - The role of carry trades on the effectiveness of Japan’s quantitative easing - With Thomas Chuffart.
International Economics -161, 30-40.
2017 - On exchange rate comovements : New evidence from a Taylor rule fundamentals model with adaptive learning - With Gilles de Truchis and Benjamin Keddad.
Journal of International Financial Markets, Institutions and Money - 48, 82-98.
Abstract: Inflation expectations in the QPM are approximated with the BER Survey of inflation Expectations. These are forecasted by using an exogenous AR(1) process, constrained to converge to the target at the two year horizon. The AR(1) process imposes strong judgment on the forecasting of inflation and it is unlikely to forecast expectations correctly, outside a small short run window. In this note we substitute the AR(1) process with an adaptive learning process, driven by data, to forecast BER expectations. We show that an adaptive learning process is a realistic approximation of the inflation expectations process and leads to a more accurate inflation forecast.
Abstract: We show that a combination of debt-to-GDP ratio and VIX index allows to explain 90% of the country risk premium fluctuations in South Africa and hence is essential to be accounted for in the risk premium analysis. Commodity prices are also important to explain movements in the key macro and financial variables, including the country risk premium.
Abstract: This paper investigates how different monetary policy designs alter the effect of carry trades on a host small open economy. Capital inflows are expansionary, leading the central bank to raise the interest rate, increasing carry trades' returns, and generating further capital inflows (carry trades' vicious circle). This paper shows how monetary authorities can mitigate or suppress this vicious circle, when agents do not have full information about the central bank’s objectives. The best way to deal with the destabilizing effect of carry trades is to target both inflation and capital inflows.
Abstract: We analyze economic dynamics and monetary policy response in a Small Open Economy model when the exchange rate is determined in a monopolistic competitive exchange rate market. In the model, international financiers act as intermediaries in bonds trading and their risk-bearing capacity determines how exchange rate react to capital flows. We use the model to reproduce the persistent depreciation observed in indebted countries and the appreciation enhanced by capital inflows. We then analyze the role of monetary policy in stabilizing the economy. Optimal policy, by responding to exchange rate movements, neutralizes some of the real effects of exchange rate misalignment and better performs at stabilizing the economy in a risky environment.
Abstract: In this paper, we study the destabilizing effect of carry trades in New-Zealand. Indeed, incoming carry trades can be self-fulfilling through their expansionary characteristics, leading the central bank to raise the interest rate. This increases carry trades' returns which generates further capital inflows. First, estimating an output gap equation with GMM we show that carry trades are indeed expansionary in New-Zealand. Thereafter, an estimation of New-Zealand's Central Bank (RBNZ)'s reaction function reveals that Japanese-funded carry trades were destabilizing before the Global Financial Crisis. In the Post-crisis period, even if the RBNZ succeeded in suppressing this destabilizing effect, US sourced carry trades became a new source of instability for New-Zealand. This suggests that the RBNZ should take US carry trades into account in its monetary policy design by changing its interest rate in an opposite way to United-States' QE movements.