PAULINE GANDRÉ
Maître de conférences
2021-36
Unintended Consequences of the Global Derivatives Market Reform
Pauline Gandré, Mike Mariathasan, Ouarda Merrouche, Steven Ongena
- Abstract
- The G-20’s global over-the-counter (OTC) derivatives market reform has caused a dramatic shift in the geography of the global derivatives market. Following the early implementation of the reform in the US and associated increase in the cost of trading derivatives, US banks shifted up to 60 percent of their OTC derivatives activity abroad, particularly towards less regulated jurisdictions. This implies an increase in global risk as risk is shifted to jurisdictions that are less prepared to monitor it and deal with the consequences. Further, we find that foreign subsidiaries in more tightly regulated jurisdictions have increased risk-taking overall.
- Mot(s) clé(s)
- Bank regulation, Regulatory arbitrage, OTC Markets, Derivatives, Cross-border financial institutions, Financial risk.
2020-10
Learning, house prices and macro-financial linkages
Pauline Gandré
- Abstract
- In the US, the linkages between the housing market, the credit market and the real sector have been striking in the past decades. To explain these linkages, I develop a small-scale DSGE model in which agents update non-rational beliefs about future house price growth, in accord with recent survey data evidence. Conditional on subjective house price beliefs, expectations are model-consistent. In the model with non-rational expectations, both standard productivity shocks and shocks in the credit sector generate endogenously persistent booms in house prices. Long-lasting excess volatility in house prices, in turn, affects the financial sector (because housing assets serve as collateral for household and entrepreneurial debt), and propagates to the real sector. This amplification and propagation mechanism improves the ability of the model to explain empirical puzzles in the US housing market and to explain the macro-financial linkages during 1985-2019. The learning model can also replicate the predictability of forecast errors evidenced in survey data.
- Mot(s) clé(s)
- Housing booms, Financial Accelerator, Business Cycles, Non-rational Expectations, Learning.
2019-7
Les déterminants locaux de la participation numérique au Grand débat national : une analyse économétrique
Hamza Bennani, Pauline Gandré, Benjamin Monnery
- Abstract
- This paper analyses the local determinants of the electronic participation to the "Grand débat". First, we highlight the spatial heterogeneity of the participants using their zip code. Second, we use an econometric approach to assess the local determinants of the general participation and the participation on each of the four topics of the "Grand débat". The results show that the median standard of living and the education level are the main determinants of the general participation, whereas some specific variables explain the participation of each of the four topics.
- Mot(s) clé(s)
- Grand débat, electronic participation, local determinants
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