Photo Jean-Guillaume Sahuc

Jean-Guillaume Sahuc

Professeur(e)
  • Email
  • Tél. professionnel 0140975894
  • Bureau à Paris Nanterre (Bât. + num.) G609A
  • Research group

      Macroéconomie Internationale, Banque et Econométrie Financière

  • Theme(s)
    • Macroéconomie
    • Economie monétaire et financière
    • Econométrie des séries temporelles

2020-13 "Taming Debt: Can GDP-Linked Bonds Do the Trick?"

Sarah Mouabbi, Jean-Paul Renne, Jean-Guillaume Sahuc

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Abstract
We study the debt-stabilizing properties of indexing debt to GDP using a consumption-based macro-finance model. Three results stand out: (i) GDP-linked bond prices would embed sizeable and time-varying risk premiums of about 40 basis points, (ii) for a fixed budget surplus, issuing GDP-linked bonds does not necessarily imply more beneficial debt-to-GDP ratios in the medium- to long-run, and (iii) the debt-stabilizing budget surplus is more predictable under such issuances at the expense of being higher on average. Our findings call into question the view that GDP-linked bonds tame debt.
Classification-JEL
H62, H63, E43, E44.
Mot(s) clé(s)
GDP-linked bonds, debt stabilization, consumption-based model, term structure
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2020-6 "Monetary Policy Transmission with Downward Interest Rate Rigidity"

Grégory Levieuge, Jean-Guillaume Sahuc

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Abstract
Empirical evidence suggests that the pass-through from policy to retail bank rates is asymmetric in the euro area. Bank lending rates adjust more slowly and less completely to Eonia decreases than to increases. We investigate how this downward interest rate rigidity affects the response of the economy to monetary policy shocks. To this end, we introduce asymmetric bank lending rate adjustment costs in a macrofinance dynamic stochastic general equilibrium model. We find that the initial response of GDP to a negative monetary policy shock is 25% lower than its response to a positive shock of similar amplitude. This implies that a central bank would have to decrease its policy rate by 50% to 75% more to obtain a medium-run impact on GDP that would be symmetric to the impact of the positive shock. We also show that downward interest rate rigidity is stronger when policy rates are stuck at their effective lower bound, further disrupting monetary policy transmission. These findings imply that neglecting asymmetry in retail interest rate adjustments may yield misguided monetary policy decisions.
Classification-JEL
E32, E44, E52.
Mot(s) clé(s)
Downward interest rate rigidity, asymmetric adjustment costs, banking sector, DSGE model, euro area.
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2020-3 "Unconventional Monetary Policies: A Stock-Taking Exercise"

Christian Pfister, Jean-Guillaume Sahuc

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Abstract
This paper takes stock of the literature on unconventional monetary policies, from their implementation to their effects on the economy. In particular, we discuss in detail the two main measures implemented in most developed economies, namely forward guidance and large-scale asset purchases. Overall, there is near consensus that these measures have been useful, although there are a few dissenting views. Because unconventional monetary policies have left their mark on economies and on the balance sheets of central banks, we offer insights into their legacy and ask whether they have led to a change in “the rules of the game” for setting interest rates and choosing the size and composition of central banks’ balance sheets. Finally, we discuss whether to modify the objectives and the instruments of monetary policy in the future, in comparison with the pre-crisis situation.
Classification-JEL
E52, E58.
Mot(s) clé(s)
Unconventional monetary policies.
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2019-2 "Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies"

Sarah Mouabbi, Jean-Guillaume Sahuc

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Abstract
We quantify the macroeconomic effects of the European Central Bank’s unconventional monetary policies using a DSGE model which includes a set of shadow interest rates. Extracted from the yield curve, these shadow rates provide unconstrained measures of the overall stance of monetary policy. Counterfactual analyses show that, without unconventional measures, the euro area would have suffered (i) a substantial loss of output since the Great Recession and (ii) a period of deflation from mid-2015 to early 2017. Specifically, year-on-year inflation and GDP growth would have been on average about 0.61% and 1.09% below their actual levels over the period 2014Q1-2017Q2, respectively.
Classification-JEL
E32, E44, E52.
Mot(s) clé(s)
Unconventional monetary policy, shadow policy rate, DSGE model, euro area.
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