Photo Francisco Serranito
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  • Office in Paris Nanterre


  • Research group

      Macroéconomie internationale, finance, matières premières et économétrie financière

  • Theme(s)
    • Econométrie appliquée
    • Econométrie financière appliquée
    • Macroéconométrie

Unpacking the green box: Determinants of Environmental Policy Stringency in European countries

Donatella Gatti, Gaye-Del Lo, Francisco Serranito

This paper identifies the determinants of OECD Environmental Policy Stringency (EPS) index using a panel of 21 European countries for the period 2009-2019. If there is a large literature on the macroeconomic, political, and social determinants of EPS, the people’s attitudes or preferences toward environmental policies is still burgeoning. Thus, the main goal of this paper is to estimate the effects of people’s awareness regarding environmental issues on the EPS indicator. Due to the endogeneity of preferences, we have applied an instrumental variable framework to estimate our
empirical model. Our most important result is to show that individual environmental preferences have a positive and significant effect on the level of EPS indicator : on average, a rise in individual preferences of 10% in a country will increase its EPS indicator by 2.30%. Our results have important policy implications.
Mot(s) clé(s)
Environmental policy stringency; Environmental attitudes/concerns, inequality; environmental Kuznets curve; EU

Is Quantitative Easing Productive? The Role of Bank Lending in the Monetary Transmission Process

Philipp RODERWEIS, Jamel Saadaoui, Francisco Serranito

The European Central Bank’s (ECB) quantitative easing (QE) program was supposed to stimulate the real economy and be able to control inflation rates. Nevertheless, primarily the financial sector has benefited from the asset purchase program. Transmission was not taking place as desired, with commercial banks as money creators and thus liquidity distributors at the center of its inefficiency. Accordingly, this article aims to examine the transmission of central bank money to the euro area economy via the banking system and the corresponding bank lending channel (BLC). To bring clarity to the economic debate about the effectiveness of the BLC, bank lending and additional macroeconomic variables are divided into productive and unproductive. We analyze how these data react to an exogenous monetary policy shock in excess reserves, which is identified using different identification schemes before deploying least-square and penalized local projection (LP) methods. Following the estimation results, it can be concluded that a liquidity increase via quantitative easing cannot stimulate economic activity-enhancing lending in the euro area but, on the contrary, tends to disincentivize it. On the other hand, it drives lending to an unproductive sector. Additionally, this is confirmed by the fact that prices, especially in the housing sector, react significantly positively to a QE shock, whereas, on the contrary, producer prices in the industrial sector and inflation are not affected by unconventional monetary policy.
Mot(s) clé(s)
unconventional monetary policy, bank lending, local projection, identification, zero- and sign restrictions

Uncertainty is bad for Business. Really?

Nicolas Himounet, Francisco Serranito, Julien Vauday

A growing empirical literature on how to measure uncertainty has emerged following the 2007-2008 financial crisis. We investigate the impact of uncertainty shocks according to their nature, applying local projection methods in a nonlinear framework. More precisely, we investigate the impact of uncertainty shocks according to their nature (nonfinancial and financial) in different regimes of general uncertainty: high, moderate and low. We get a positive and significant effect of the nonfinancial uncertainty shocks when the general level of uncertainty is high or moderate.
Mot(s) clé(s)
Uncertainty, local projection methods, economic activity, nonlinear econometrics

A Positive Effect of Uncertainty Shocks on the Economy: Is the Chase Over ?

Nicolas Himounet, Francisco Serranito, Julien Vauday

How large and persistent are the effects of uncertainty shocks on the economy? Are the effects of macroeconomic uncertainty shocks different from those of financial uncertainty shocks? In the empirical literature there was a consensus on an estimated negative impact
of uncertainty on macroeconomic variables. Recently, some studies identifying shocks with a novel methodology, namely the events constraint approach, find that macroeconomic uncertainty shocks may trigger an increase in the industrial production. The goal of this paper
is to question this striking result. We have identified two main shortcomings in this literature that could explain the positive correlation between macroeconomic uncertainty and economic activity. We show that this method of identification can be sensitive depending
on how to identify and select the structural uncertainty shocks in a SVAR model. Our main conclusion is that the controversial result of a positive effect of macroeconomic uncertainty on economic activity does not yet seem to be proven. Whether financial or macroeconomic,
there is no evidence allowing for rejection of the hypothesis that they have a negative impact on economic activity.
Mot(s) clé(s)
Uncertainty, SVAR, Narrative Sign Restrictions, Economic Activity
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