Photo Valérie Mignon

Valérie Mignon

Professeur(e)
  • Email
  • Tél. professionnel 0140975860
  • Bureau à Paris Nanterre (Bât. + num.) G608B
  • Research group

      Macroéconomie Internationale, Banque et Econométrie Financière

  • Theme(s)
    • Macroéconomie
    • Macroéconomie et finance internationales
    • Interactions entre macroéconomie, marchés financiers et marchés de l'énergie
    • Econométrie

2021-11 "On the desirability of the West African monetary union"

Cécile Couharde, Carl Grekou, Valérie Mignon

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Abstract
In this paper, we investigate from a policy coordination viewpoint the desirability of the West African monetary union project, ECO. Our approach is built around the inclusion of national objectives in the regional integration perspective. Thanks to cluster analysis, we identify two groups of countries with relatively homogenous sustainable exchange rate paths in West Africa. We also find that no single currency peg nor a freely floating exchange rate regime would be preferable for any of the countries or groups of economies. Overall, our findings argue in favor of two ECOs —at least in a first step, i.e., one for each of the two identified zones. Each ECO would serve as a virtual anchor —with some flexibility— for the considered group, and would be determined by a basket of currencies mainly composed of euro and US dollar.
Classification-JEL
F33, F45, C38, O55.
Mot(s) clé(s)
Monetary integration; West Africa; CFA franc zone; ECOWAS.
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2020-9 "Currency misalignments and exchange rate regimes in Latin American countries: a trade-off issue"

Jorge Carrera, Blaise Gnimassoun, Valérie Mignon, Romain Restout

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Abstract
This paper conducts an in-depth empirical investigation on the impact of the exchange rate regime (ERR) on real currency misalignments in a panel of 17 Latin American countries over the 1970-2016 period. We consider explicitly the two dimensions of misalignments, size and persistence, and evaluate four different ERR classifications. We also pay attention to cross-sectional dependencies across countries that appear to be important in Latin America, and provide several robustness checks. Our main findings show that, although fixed ERR perform well in limiting the size of misalignments—and in reducing inflation and fiscal deficit—the disequilibria are more persistent. On the contrary, allowing for more flexibility reduces persistence but increases the size of misalignments. Overall, we show that Latin American countries face a crucial trade-off when they have to choose their ERR.
Classification-JEL
F31; C23; E42
Mot(s) clé(s)
Latin American countries; Exchange rate regimes; Currency misalignments
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2019-28 "Determinants of investments in solar photovoltaic: Do oil prices really matter?"

Margaux Escoffier, Emmanuel Hache, Valérie Mignon, Anthony Paris

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Abstract
This paper investigates the determinants of solar photovoltaic (PV) deployment in the electricity mix for a panel of OECD and BRICS countries from 1997 to 2016 by paying particular attention to the impact of oil market conditions. Relying on a nonlinear, regime-switching specification, we show that rising oil prices stimulate PV deployment only if their growth rate is important, above 6.7%. Although we find that various other determinants matter—with the influence of some of them depending on the situation on the oil market—public policies play a crucial role. In particular, our findings show that feed-in-tariffs should be encouraged to ensure a continuous fight against climate change, whatever the dynamics followed by oil prices.
Classification-JEL
Q4; Q42; C23; C24
Mot(s) clé(s)
Solar photovoltaic; Renewables deployment; Oil prices; Panel smooth transition regression
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2019-16 "Exchange rate pass-through to import prices: Accounting for changes in the Eurozone trade structure"

Antonia Lopez Villavicencio, Valérie Mignon

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Abstract
This paper assesses whether the emergence of new trading partners (i.e., China and Eastern Europe) as suppliers reduces the exchange rate pass-through (ERPT) in Eurozone countries which differ regarding their external exposure. Using bilateral data on import prices at the two-digit sector level, we find that (i) pass-through is complete in many cases, (ii) ERPT from China is higher than from the United States, and (iii) there is no compelling evidence of a generalized link between ERPT and the increasing integration of some emerging markets in European imports. We also show that the launch of the single currency has not provoked a sufficient change in the part of trade exposed to exchange rate fluctuations and, therefore, has not affected the pass-through. Overall, the trend of liberalization in new players' markets has not altered the competitive environment such as to induce exporters of other countries to absorb exchange rate depreciations.
Classification-JEL
E31; F31; F4; C22
Mot(s) clé(s)
Exchange rate pass-through; import prices; China; Eastern Europe; Eurozone
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2019-6 "Heterogeneity within the euro area: New insights into an old story"

Virginie Coudert, Cécile Couharde, Carl Grekou, Valérie Mignon

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Abstract
We assess cross-country heterogeneity within the eurozone and its evolution over time by measuring the distances between the equilibrium exchange rates’ paths of member countries. These equilibrium paths are derived from the minimization of currency misalignments, by matching real exchange rates with their economic fundamentals. Using cluster and factor analyses, we identify two distinct groups of countries in the run-up to the European Monetary Union (EMU), Greece being clearly an outlier at that time. Comparing the results with more recent periods, we find evidence of rising dissimilarities between these two sets of countries, as well as within the groups themselves. Overall, our findings illustrate the building-up of macroeconomic imbalances within the eurozone before the 2008 crisis and the fragmentation between its member countries that followed.
Classification-JEL
F33, F45, E5, C38
Mot(s) clé(s)
Euro area; Equilibrium exchange rates; Cluster analysis; Factor analysis; Macroeconomic imbalances
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2018-38 "Do global value chains amplify global imbalances?"

Antonia Lopez Villavicencio, Valérie Mignon

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Abstract
This paper addresses the impact of countries' participation in global value chains (GVCs) on their current account balances. Relying on a panel of 57 advanced and emerging countries, we do not find evidence that GVC participation directly raises economies' current account positions. On the contrary, we show that backward participation makes a negative contribution to current account balances: our results contradict the speculation that current account imbalances of downstream countries are likely to benefit more from GVC participation than economies which are located further upstream. Moreover, we show that there is no significant indirect effect of GVC on the current account operating through the exchange rate. Finally, our findings indicate that whereas GVC participation boosts exports, this increase is not accompanied by improvements in price competitiveness, nor by higher levels of saving rates.
Classification-JEL
F32, F4, F62
Mot(s) clé(s)
Global value chains; Current account imbalances
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2018-24 "The tale of two international phenomena: International migration and global imbalances"

Dramane Coulibaly, Blaise Gnimassoun, Valérie Mignon

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Abstract
Following the dynamics of globalization, international migration has increased dramatically since the 1990s. Given that these migrations may obscure the natural demographic structure of nations, they are likely to explain a significant part of global imbalances. This paper tackles this issue by investigating the role played by international migration in the dynamics of global imbalances. To this end, we rely on an overlapping generations model to derive the theoretical relationship between international migration and current account position. Through a series of robust estimates, we empirically investigate this relationship by relying on a panel of 157 developed and developing countries over the period 1990-2014. Our results point to substantial effects of international migration. Specifically, we show that an increase in migration improves national savings and the current account balance in the destination country, while it has opposite impacts in the origin country. These effects are particularly pronounced in developing economies, and attenuated by migrants' remittances.
Classification-JEL
F22; F32; O55; C33
Mot(s) clé(s)
International migration, current account, global imbalances, remittances
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2017-39 "EQCHANGE: A World Database on Actual and Equilibrium Effective Exchange Rates"

Cécile Couharde, Anne-Laure Delatte, Carl Grekou, Valérie Mignon, Florian Morvillier

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Abstract
The aim of this paper is to present EQCHANGE, the new database developed by the CEPII on effective exchange rates. EQCHANGE includes two sub-databases containing
data on (i) nominal and real effective exchange rates, and (ii) equilibrium real effective exchange rates and corresponding currency misalignments for advanced, emerging and developing countries. More specifically, the first sub-database delivers effective exchange rates for 187 countries that are computed under three different weighting schemes and two panels of trading partners (186 and top 30) over the 1973-2016 period. The second sub-database provides behavioral equilibrium exchange rate (BEER) estimates and corresponding currency misalignments for 182 economies over the 1973-2016 period. We describe the construction of the two datasets and illustrate some possible uses by presenting results concerning the evolution and main characteristics of currency misalignments in the world from 2015 to 2016. By providing publicly available indicators of equilibrium exchange rates, EQCHANGE aims to contribute to key debates in international macroeconomics.
Classification-JEL
F31, C23, C82.
Mot(s) clé(s)
Exchange rates; Equilibrium exchange rates; Currency misalignments.
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2017-32 "On the seemingly incompleteness of exchange rate pass-through to import prices: Do globalization and/or regional trade matter?"

Antonia Lopez Villavicencio, Valérie Mignon

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Abstract
This paper assesses the impact of globalization and regionalization on exchange rate pass-through (ERPT) into import prices in three core eurozone countries. To this end, we consider various indicators of globalization and rely on both aggregated (i.e., country level) and disaggregated (i.e., good level) data. Using quarterly data since 1992, we do not find compelling evidence that global factors cause a structural change in the degree of exchange rate pass-through. Indeed, increased trade openness or lower trade tariffs push up ERPT in some sectors, though results are quite sparse. However, regionalization, defined as a higher proportion of intra-EU imports' share in total imports, reduces the pass-through in a more generalized way. Most importantly, we show that ERPT incompleteness generally observed in the literature is in appearance only and not at play when intra-EU trade is controlled for. Overall, our findings show that ERPT is complete and significant in numerous sectors, meaning that exchange rate changes still exert important pressure on domestic prices.
Classification-JEL
E31 F31 F4 C22.
Mot(s) clé(s)
exchange rate pass-through; import prices; globalization; eurozone.
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2017-30 "On the current account - biofuels link in emerging and developing countries: do oil price fluctuations matter?"

Gabriel Gomes, Emmanuel Hache, Valérie Mignon, Anthony Paris

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Abstract
Many developed countries promote the use of biofuels for environmental concerns, leading to a rise in the price of agricultural commodities utilized in their production. Such environmental policies have major effects on the economy of emerging and developing countries whose activity is highly dependent on agricultural commodities involved in biofuel production. This paper tackles this issue by examining the price impact of biofuels on the current account for a panel of 16 developing and emerging countries, and the potential nonlinear effect exerted by the price of oil on this relationship. Relying on the estimation of panel smooth-transition regression models, we show that positive shocks in the price of biofuels lead to a current-account improvement for agricultural commodity exporters and producers only when the price of oil is below a certain threshold. When the price of oil exceeds this threshold, uctuations in the price of biofuels no longer affect the current account. These findings illustrate that a rise in the price of oil exerts a negative effect on the trade balance of commodity exporters which are also oil importers, dampening the biofuel price impact on the current-account position.
Classification-JEL
Q16; Q43; F32; C23
Mot(s) clé(s)
Biofuels; Oil; Current account; Panel smooth transition regression
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2016-39 "Growth-enhancing effect of openness to trade and migrations: What is the effective transmission channel for Africa?"

Dramane Coulibaly, Blaise Gnimassoun, Valérie Mignon

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Abstract
This paper investigates the growth-enhancing effect of openness to trade and to migration by focusing on African countries. Relying on robust estimation techniques dealing with both endogeneity and omitted variables issues, our results put forward the importance of accounting for the type of the partner country. We find evidence that while trade between Africa and industrialized countries has a clear and robust positive impact on Africa's standards of living, trade with developing countries fails to be growth-enhancing. Moreover, our findings show that migration has no significant effect on per capita income in Africa regardless of the partner. Finally, exploring the trade openness transmission channel, we establish that the growth-enhancing effect of Africa's trade with industrialized countries mainly occurs through an improvement in total factor productivity.
Classification-JEL
Trade, International migration, Income per person, Africa.
Mot(s) clé(s)
F22, F4, O4, O55.
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2016-18 "Exchange rate pass-through in emerging countries: Do the inflation environment, monetary policy regime and institutional quality matter?"

Antonia Lopez Villavicencio, Valérie Mignon

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Abstract
In this paper, we estimate the exchange rate pass-through (ERPT) to consumer prices and assess its dynamics for a sample of 15 emerging countries over the 1994-2015 period. To this end, we augment the traditional bivariate relationship between the nominal effective exchange rate and inflation by accounting for the inflation environment, monetary policy regime, as well as domestic institutional factors. We show that both the level and volatility of inflation matter in the sense that declining ERPT is evidenced with more stable and anti-inflationary environment. Monetary policy also plays a key role since adopting an inflation target-especially de jure-leads to a significant reduction in ERPT for most countries. Adopting exchange rate targeting regime matters as well, contributing to a diminishing ERPT. Finally, we find evidence that transparency of monetary policy decisions clearly reduces ERPT, while this is not the case for central bank independence.
Classification-JEL
E31 E52 F31
Mot(s) clé(s)
Exchange rate pass-through; inflation; emerging countries; monetary policy.
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2016-6 "Beyond average energy consumption in the French residential housing market: A household classification approach"

Emmanuel Hache, Déborah Leboullenger, Valérie Mignon

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Abstract
The need to reduce Green House Gases emissions has jointly lead to increasing concerns regarding the efficiency of national mitigation agendas and the potential exposure of certain households to energy poverty. Hence, the comprehension of the key determinants that influence the energy demand appears to be crucial for the effectiveness and fairness of energy policies. We particularly consider that targeting specific households’ groups rather than looking for a unique national target level of energy consumption would be more effective. This article explores the scope of having a disaggregated energy consumption market to design policies aimed at curbing residential energy consumption or lowering its carbon intensity. Using a clustering method based on CHAID (Chi Square Automatic Interaction Detection) methodology, we find that the different levels of energy consumption in the French residential sector are related to socio-economic, dwelling and regional characteristics. Then, we build a typology of energy-consuming households where targeted groups (fuel poor, high income and high consuming households) are clearly and separately identified through a simple and transparent set of characteristics. This classification represents an efficient tool for energy efficiency programs and energy poverty policies but also for potential investors, which could provide specific and tailor-made financial tools for the different groups of consumers. Furthermore, our approach is helpful to design an energy efficiency score that could reduce the rebound effect uncertainty for each identified household group.
Classification-JEL
Q48, I32, C38.
Mot(s) clé(s)
Energy consumption, residential sector, clustering method, France.
File

2016-2 "Reassessing the empirical relationship between the oil price and the dollar"

Virginie Coudert, Valérie Mignon

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Abstract
This paper aims at reassessing the empirical relationship between the real price of oil and the U.S. dollar real effective exchange rate over the 1974-2015 period. We find that changes in both variables are now linked by a negative relationship, going from the dollar exchange rate to the real oil price. However, the same relationship is found positive when ending the sample in the mid-2000s, in line with the previous literature. To understand and investigate this evolution, we rely on a nonlinear, smooth transition regression model in which the oil pricedollar nexus depends on the dynamics followed by the U.S. currency. Our results show that the relationship is negative most of the times but turns positive when the dollar hits very high values, as in the early eighties
Classification-JEL
C22, F31, Q43.
Mot(s) clé(s)
oil price, dollar real effective exchange rate, causality, nonlinearity.
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2015-38 "Oil currencies in the face of oil shocks: What can be learned from time-varying specifications?"

Jean-Pierre Allegret, Cécile Couharde, Valérie Mignon, Tovonony Razafindrabe

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Abstract
While the oil currency property is clearly established from a theoretical viewpoint, its existence is less clear-cut in the empirical literature. We investigate the reasons for this apparent puzzle by studying the time-varying nature of the relationship between real effective exchange rates of five oil exporters and the real oil price in the aftermath of the oil price shocks of the last two decades. Accordingly, we rely on a time-varying parameter VAR specification which allows the responses of real exchange rates to different oil price shocks to evolve over time. We find that the reason of the mixed results obtained in the empirical literature is that oil currencies follow different hybrid models in the sense that oil countries' real exchange rates may be driven by one or several sources of oil price shocks that furthermore can vary over time. In addition to structural changes affecting oil countries, structural changes arising from the oil market itself through the various, time-varying sources of oil price shocks are found to be crucial.
Classification-JEL
C32; F31; Q43.
Mot(s) clé(s)
oil currencies, oil shocks, Time-Varying Parameter VAR model.
File

2015-34 "Towards Greater Diversification in Central Bank Reserves"

Marie Brière, Valérie Mignon, Kim Oosterlinck, Ariane Szafarz

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Abstract
This paper compares the performance of various diversification strategies regarding foreign exchange reserves. The aim is to provide central banks with guidelines in portfolio allocation. We pay particular attention to the situation of upward pressures on U.S. interest rates by implementing our analysis over both the whole 1986-2015 period and a rising rate subsample. Relying on geometric tests of mean-variance efficiency, we show that introducing currencies weakly correlated to the USD (AUD and CAD) significantly reduces portfolio risk. Expected return is improved through mortgage-backed securities, corporate bonds, and equities.
Classification-JEL
F31, G11, G15, E58.
Mot(s) clé(s)
Foreign exchange reserves; diversification; asset allocation.
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2015-7 "Does the volatility of commodity prices reflect macroeconomic uncertainty?"

Marc Joëts, Valérie Mignon, Tovonony Razafindrabe

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Abstract
This paper analyzes the impact of macroeconomic uncertainty on a large sample of 19 commodity markets. We rely on a robust measure of macroeconomic uncertainty based on a wide range of monthly macroeconomic and financial indicators, and we estimate a structural threshold VAR (TVAR) model to assess whether the effect of macroeconomic uncertainty on commodity price returns depends on the degree of uncertainty. Our findings show that whereas the safe-haven role of precious metals is confirmed, agricultural and industrial markets are highly sensitive to the variability and the level of macroeconomic uncertainty, respectively. In addition, we show that the recent 2007-09 recession has generated an unprecedented episode of high uncertainty in numerous commodity markets that is not necessarily accompanied by a subsequent volatility in the corresponding prices, highlighting the relevance of our uncertainty measure in linking uncertainty to predictability rather than to volatility.
Classification-JEL
Q02, E32, C32.
Mot(s) clé(s)
Macroeconomic uncertainty, commodity prices, threshold vector autoregressive model.
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2014-20 "On the impact of macroeconomic news surprises on Treasury-bond yields"

Nicolas Boitout, Imane El Ouadghiri, Valérie Mignon

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Abstract
This paper investigates the impact of surprises associated with monthly macroeconomic news releases on Treasury-bond yields, by paying particular attention to the moment at which the information is published in the month. Implementing an event study on intraday data, we show that (i) the main bond market movers are based on economic activity and in ation indicators, (ii) long-maturity bonds are slightly more impacted by surprises than short-maturity ones, and (iii) the bond market is more sensitive to bad news than to good announcements. Finally, we evidence an empirical monotonic relationship between the surprises' impact and their corresponding news' publication date and/or their sign.
Classification-JEL
G14, G12, E44, C22
Mot(s) clé(s)
bond market, event study, macroeconomic news.
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2014-14 "Oil price shocks and global imbalances: Lessons from a model with trade and financial interdependencies"

Audrey Allegret, Jean-Pierre Allegret, Valérie Mignon

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Abstract
The aim of this paper is to investigate oil price shocks' effects and their associated transmission channels on global imbalances. To this end, we rely on a Global VAR approach that allows us to account for trade and Financial interdependencies between countries. Considering a sample of 30 oil-exporting and importing economies over the 1980-2011 period, we show that the nature of the shock-demand-driven or supply-driven-matters in understanding the effects of oil price shocks on global imbalances. In addition, we evidence that the main adjustment mechanism to oil shocks is based on the trade channel, the valuation channel being at play only on the short run..
Classification-JEL
C32, F32, Q43
Mot(s) clé(s)
oil prices, global imbalances, global VAR
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2014-5 "How macroeconomic imbalances interact? Evidence from a panel VAR analysis"

Blaise Gnimassoun, Valérie Mignon

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Abstract
This paper aims at investigating the interactions between three key macroeconomic imbalances, namely current-account discrepancies (external imbalances), output gaps (internal imbalances), and exchange-rate misalignments. To this end, we rely on the estimation of a panel VAR model for a sample of 22 industrialized countries over the 1980-2011 period. Our findings show that macroeconomic imbalances strongly interact through a causal relationship. We evidence that if current-account disequilibria threaten the stability of the global economy, their origin can be found in internal imbalances and exchange-rate misalignments: positive output-gap shocks as well as currency overvaluation deepen current-account deficits. In addition, while variations in external imbalances mainly result from exchange-rate misalignments in the euro area, they are mostly explained by output gaps for non-eurozone members.
Classification-JEL
F32, F31, C33
Mot(s) clé(s)
global imbalances, current account, output gap, exchange-rate misalignments,panel VAR
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2014-3 "On the impact of oil price volatility on the real exchange rate – terms of trade nexus: Revisiting commodity currencies"

Virginie Coudert, Cécile Couharde, Valérie Mignon

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Abstract
The aim of this paper is to study the relationship between terms of trade and real exchange rates of commodity-producing countries on both the short and the long run. We pay particular attention to the dominant role played by oil among commodities by investigating the potential non-linear effect exerted by the situation on the oil market on the real exchange rate - terms of trade nexus. To this end, we rely on the panel smooth transition regression methodology to estimate the adjustment process of the real effective exchange rate to its equilibrium value depending on the volatility on the oil market. Considering a panel of 52 commodity exporters and 17 oil exporters over the 1980-2012 period, our findings show that while exchange rates are mainly driven by fundamentals in the low-volatility regime, they are mostly sensitive to changes in terms of trade when oil price variations exceed a certain threshold. The commodity-currency property is thus at play in the short run only for important variations in the oil price.
Classification-JEL
C23 ; F31; Q43
Mot(s) clé(s)
commodity currencies, oil price, non-linearity
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2013-31 "Current-account adjustments and exchange-rate misalignments"

Blaise Gnimassoun, Valérie Mignon

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Abstract
This paper aims at studying current-account imbalances by paying a particular attention to exchange-rate misalignments. We rely on a nonlinear model linking the persistence of current-account imbalances to the deviation of the exchange rate to its equilibrium value. Estimating a panel smooth transition regression model on a sample of 22 industrialized countries, we show that persistence of current-account imbalances strongly depends on currency misalignments. More specifically, while there is no persistence in cases of currency undervaluation or weak overvaluation, persistence tends to augment for overvaluations higher than 11%. In addition, whereas disequilibria are persistent even for very low overvaluations in the euro area, persistence is observed only for overvaluations higher than 14% for non-eurozone members.
Classification-JEL
F32, F31, C33
Mot(s) clé(s)
current-account imbalances, current-account persistence, exchange-rate misalignments, panel smooth transition regression models
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2013-29 "Current accounts and oil price fluctuations in oil-exporting countries: the role of financial development"

Jean-Pierre Allegret, Cécile Couharde, Dramane Coulibaly, Valérie Mignon

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Abstract
Oil-exporting countries usually experience large current account improvements following a sharp increase in oil prices. In this paper, we investigate this oil price-current account relationship on a sample of 27 oil-exporting economies. Relying upon the estimation of panel smooth transition regression models over the 1980-2010 period, we provide evidence that refines the traditional interpretation of oil price effects on current accounts. While current accounts are positively affected by oil price variations, this effect is nonlinear and depends critically on the degree of financial development of oil-exporting economies. More specifically, oil price variations exert a positive impact on the current account position for less financially developed countries, while this influence tends to diminish when the degree of financial deepness augments.
Classification-JEL
F32, C33
Mot(s) clé(s)
current account; oil price; financial development; panel smooth transition regression models
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2013-12 "Post-recession US employment through the lens of a non-linear Okun’s law"

Menzie Chinn, Laurent Ferrara, Valérie Mignon

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Abstract
This paper aims at investigating the relationship between employment and GDP in the United States. We disentangle trend and cyclical employment components by estimating a non-linear Okun’s law based on a smooth transition error-correction model that simultaneously accounts for long-term relationships between growth and employment and short-run instability over the business cycle. Our findings based on out-of-sample conditional forecasts show that, since the exit of the 2008-09 recession, US employment is on average around 1% below the level implied by the long run output-employment relationship, meaning that about 1.2 million of the trend employment loss cannot be attributed to the identified cyclical factors.
Classification-JEL
E24, E32, C22
Mot(s) clé(s)
Okun’s law, trend employment, non‐linear modeling
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2013-1 "Nonlinearity of the inflation-output trade-off and time-varying price rigidity"

Antonia Lopez Villavicencio, Valérie Mignon

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Abstract
Relying on the backward-looking Phillips curve, we estimate the level of inflation that erodes price rigidity and investigate its time constancy. To this end, we employ smooth transition regression models with rolling regressions to account for varying threshold inflation levels. Studying six advanced countries over the 1970-2012 period, our results show that both the slope of the Phillips curve and the threshold trend inflation that erodes price rigidity are time varying. These characteristics could not be captured by a static linear or nonlinear model, illustrating the rich flexibility embedded in our proposed model.
Classification-JEL
E31, C22
Mot(s) clé(s)
Phillips curve, inflation, price rigidity, nonlinearity, menu costs
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2012-42 "On the links between stock and commodity markets' volatility"

Anna Creti, Marc Joëts, Valérie Mignon

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Abstract
This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the correlations between commodity and stock markets evolve through time and are highly volatile, particularly since the 2007-2008 financial crisis. The latter has played a key role, emphasizing the links between commodity and stock markets, and underlining the financialization of commodity markets. At the idiosyncratic level, a speculation phenomenon is highlighted for oil, coffee and cocoa, while the safe-haven role of gold is evidenced.
Classification-JEL
C22, G01, G10, Q4
Mot(s) clé(s)
Commodities; stock market; financial crisis; volatility; correlations; DCC-GARCH
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2012-34 "Revisiting the theory of optimum currency areas: Is the CFA franc zone sustainable?"

Cécile Couharde, Issiaka Coulibaly, David Guerreiro, Valérie Mignon

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Abstract
This paper aims at explaining why the CFA countries have successfully maintained a currency union for several decades, despite failing to meet many of optimum currency area criteria. We suggest that the CFA zone, while not optimal, has been at least sustainable. We test this sustainability hypothesis by relying on the Behavioral Equilibrium Exchange Rate (BEER) approach. In particular, we assess and compare the convergence process of real exchange rates towards equilibrium for the CFA zone countries and a sample of other sub-Saharan African (SSA) countries. Our findings evidence that internal and external balances have been fostered and adjustments facilitated in the CFA zone as a whole—compared to other SSA countries—as well as in each of its member countries.
Classification-JEL
F31 F33 C23
Mot(s) clé(s)
Equilibrium exchange rates; CFA zone; Optimum Currency Areas; currency union sustainability
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2012-30 "On currency misalignments within the euro area"

Virginie Coudert, Cécile Couharde, Valérie Mignon

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Abstract
Although nominal parities have been completely fixed within the euro area since the launch of the single currency, real effective exchange rates have continued to vary under the effect of inflation disparities, exhibiting a strong appreciation in the peripheral countries. In this paper, we assess real exchange rate misalignments for euro area countries by using a Behavioral Equilibrium Exchange Rate (BEER) approach on the period 1980-2010. The results show that the peripheral member countries have been suffering from increasingly overvalued exchange rates since the mid-2000s, as their real appreciation has not stemmed from improving fundamentals in terms of productivity or external position. In addition, currency misalignments have been increased on average for all euro area countries since monetary union, while becoming more persistent. More worryingly, our findings highlight different patterns across members, as misalignments have been larger and more persistent in peripheral countries than in core countries.
Classification-JEL
F31, C23
Mot(s) clé(s)
euro area; real equilibrium exchange rates; misalignments; panel cointegration
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2012-4 "Is price dynamics homogeneous across Eurozone countries?"

David Guerreiro, Marc Joëts, Valérie Mignon

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Abstract
The aim of this paper is to investigate whether price dynamics is homogeneous across the Eurozone countries. Relying on monthly data over the January 1970-July 2011 period, we test for the absolute purchasing power parity (PPP) hypothesis through the implementation of second-generation panel unit root and cointegration tests. Our results show that price dynamics are heterogeneous depending on both the time period and the considered group of countries. More specifically, while PPP is validated for the core EMU countries, this hypothesis does not hold for Northern peripheral economies. Turning to the Southern countries, PPP is observed only before the launch of the euro.
Classification-JEL
C23, E31, F15, F41
Mot(s) clé(s)
price convergence, Eurozone, panel unit root tests, half-life
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2011-34 "On price convergence in Eurozone"

David Guerreiro, Valérie Mignon

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Abstract
We investigate price level convergence with Germany in eleven countries belonging to the Eurozone between January 1970 and July 2011. Relying on smooth transition regression models, we show that the price convergence process is nonlinear, depending on the size of the price differential: for most countries, price convergence occurs only when price differentials with Germany exceed a certain threshold. Moreover, our findings put forward some heterogeneity across the Eurozone members in terms of price convergence speed, that can be explained by the evolution of price-competitiveness, rigidities in labor markets, but also by specialization patterns.
Classification-JEL
C22, E31, F15, F41
Mot(s) clé(s)
price convergence, Eurozone, smooth transition regression models, half-life
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2011-25 "On the link between forward energy prices: A nonlinear panel cointegration approach"

Marc Joëts, Valérie Mignon

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Abstract
This paper investigates the relationship between forward prices of oil, gas, coal, and electricity using a nonlinear panel cointegration framework. To this end, we consider a panel of 35 maturities and control for the economic and financial environment using equity futures prices. Estimating the cointegrating relationship, we find that oil, gas and coal forward prices are positively linked, while the negative link between oil and electricity prices is consistent with a substitution effect between the two energy sources on the long run. Estimating panel smooth transition regression (PSTR) models, we show that the forward oil price adjustment process toward its equilibrium value is nonlinear and asymmetric, putting forward the key role played by self-sustaining dynamics and speculation phenomena.
Classification-JEL
C33, Q40
Mot(s) clé(s)
forward energy prices; speculation; panel cointegration; nonlinear model; PSTR
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2011-20 "Is the Market Portfolio Efficient? A New Test to Revisit the Roll (1977) versus Levy and Roll (2010) Controversy"

Marie Brière, Bastien Drut, Valérie Mignon, Kim Oosterlinck, Ariane Szafarz

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Abstract
Levy and Roll (Review of Financial Studies, 2010) have recently revived the debate related to the market portfolio's efficiency suggesting that it may be mean-variance efficient after all. This paper develops an alternative test of portfolio mean-variance efficiency based on the realistic assumption that all assets are risky. The test is based on the vertical distance of a portfolio from the efficient frontier. Monte Carlo simulations show that our test outperforms the previous mean-variance efficiency tests for large samples since it produces smaller size distortions for comparable power. Our empirical application to the US equity market highlights that the market portfolio is not mean-variance efficient, and so invalidates the zerobeta CAPM.
Classification-JEL
G11, G12, C12
Mot(s) clé(s)
Efficient portfolio, mean-variance efficiency, efficiency test
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2011-5 "Does OPEC still exist as a cartel? An empirical investigation"

Vincent Brémond, Emmanuel Hache, Valérie Mignon

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Abstract
The aim of this paper is to determine if OPEC acts as a cartel by testing whether the production decisions of the different countries are coordinated and if they have an influence on oil prices. Relying on cointegration and causality tests in both time series and panel settings, our findings show that the OPEC influence has evolved through time, following the changes in the oil pricing system. While the influence of OPEC is found to be important just after the counter-oil shock, our results show that OPEC is price taker on the majority of the considered sub-periods. Finally, by dividing OPEC between savers and spenders, we show that it acts as a cartel mainly with a subgroup of its members.
Classification-JEL
C22, C23, L11, Q40
Mot(s) clé(s)
Oil prices, oil production, OPEC, cartel, cointegration, causality
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2011-2 "On the link between credit procyclicality and bank competition"

Vincent Bouvatier, Antonia Lopez Villavicencio, Valérie Mignon

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Abstract
This paper investigates the relationship between bank competition and credit procyclicality for 17 OECD countries on the 1986-2009 period. We account for heterogeneity among countries in terms of bank competition through the use of a hierarchical clustering methodology. We then estimate panel VAR models for the identified sub-groups of economies to investigate whether credit procyclicality is more important when the degree of bank competition is high. Our findings show that while credit significantly responds to shocks to GDP, the degree of bank competition is not essential in assessing the procyclicality of credit for OECD countries.
Classification-JEL
C33 E32 E51 G21
Mot(s) clé(s)
Credit cycle; economic cycle; bank competition; financial stability; panel VAR.
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