Asset-price boom-bust cycles and credit: what is the scope of macro-prudential regulation?

Over the recent months, several initiatives have taken place to develop macro-prudential regulation in order to prevent systemic risk and the built-up of financial imbalances. Crucial to the success of such policy is the ability of the macro-prudential authority to identify in due time such imbalances, generally featured by asset-price boom-bust cycles. In this paper, we investigate the possibility of detecting asset-price booms according to alternative identification strategies and assess their robustness. We infer the probability that an asset-price boom turns into an asset-price bust. In addition, we try to disentangle costless or low-cost from costly asset-price booms. We find some evidence that house price booms are more likely to turn into costly recession than stock price booms. Resorting both to a non-parametric approach and a discrete-choice (logit) model, we analyze the ability of a set of indicators to robustly explain costly asset-price booms. According to our results, real long-term interest rates, total investment, real credit and real stock prices tend to increase the probability of a costly housing-price boom, whereas real GDP and house prices tend to increase the probability of a costly stock-price boom. Regarding the latter, credit variables tend to play a less convincing role. From this perspective, we specify the scope of macro-prudential regulation as a set of tools aiming at avoiding "costly" asset-price booms. In doing so, we try both to make the case for state-contingent macro-prudential regulations and to set out clear delineation between monetary and financial stability objectives.Early Warning Indicators , Discrete-Choice Model , Asset Price Booms and Busts , Macro-prudential Regulation , Leaning Against the Wind Policies.

Price elasticity of household fuel comsumption

The high levels reached by world oil prices and fuel prices in mid 2008 have raised notable concerns about the risk of future significant drops in household purchasing power. In the framework of a national strategy to reduce CO2 emissions, a tax reform on fossil fuels is also being studied. In this context, this paper aims to identify the categories of households that are most exposed to an energy-price increase and to assess the sensitivity of household consumption to changes in fuel prices and (to a lesser extent) in household energy prices. First, we estimate price elasticities using time series data from the French quarterly accounts. We, then, carry out a microeconomic analysis, which enables us to take the heterogeneity of consumer behaviour into account and to assess the impact of a price increase depending on the categories of households. We use individual consumption data from the 2006 "Consumer expenditure survey. The low price variability between households, which constitutes the main limitation of cross-section data, is circumvented by constructing personalised price indices for each surveyed household, following the Ruiz and Trannoy (2008) methodology. The estimated average price elasticities of demand to fuel prices derived from the time series data are significant, around 0.2 in the short run and 0.4 in the long run. The price elasticity estimates resulting from the micro approach are included in the range 0.7 - 1.0. The microeconomic analysis also shows that the households using their personal vehicles to go to work are less sensitive to higher fuel prices that those who do not use their cars for that purpose. Conversely, the difference in sensitivity between the least and most wealthy households appears to be quite low.Budget share, price elasticity, demand system, redistributive effects, carbon tax

Is there a structural break in equilibrium velocity in the euro area?

We investigate the stability of M3 income velocity in the euro area. We apply a set of breakpoint procedures to examine this issue and conclude that at least one structural change occurred around 2000-2001. We also find evidence of another structural break around 1992-1993. These two breaks seem to affect both the level and the slope of the income velocity of M3. We then estimate a model of equilibrium velocity that factors in the opportunity cost of M3, along the lines suggested by Orphanides and Porter (2000). Here again, we find some evidence of instability in equilibrium velocity. Given the importance of the assumption of stable velocity trends for both the derivation of the reference value and the two-pillar strategy of the Eurosystem, these findings question the relevance of some excess liquidity indicators directly computed from the reference value and may call for some adjustments in the conduct of the ECB's monetary policy.M3 velocity ; Breakpoint tests; ECB.

The New Version of the Model MZE, Macroeconometric Model for the Eurozone

This paper presents the main improvements carried out to the macroeconometric model MZE since its creation in 2003. We have back-calculated the series over the period 1980-1995, in order to make the model more stable. To our knowledge, this paper is the first application of Kllians (1998) method to estimate coefficients and centered confidence intervals for an operational macroeconometric model. The new coefficients enable to get less inflationary responses to macroeconomic shocks than the previous version of MZE. The study is more nuanced and rigorous thanks to the confidence intervals around the main scenarios. It is thus possible to check the significance of the results at any horizon. At last, the new version of MZE enables to find conventional responses to international shocks, like the inflationary effect of a rise in oil prices or the delayed impact of a depreciation of the euro on the improvement of the trade balance.Macroeconometric modelling, Forecasting, Confidence interval, Bootstrap

Extreme events prediction from nonlocal partial information in a spatiotemporally chaotic microcavity laser

The forecasting of high-dimensional, spatiotemporal nonlinear systems has made tremendous progress with the advent of model-free machine learning techniques. However, in real systems it is not always possible to have all the information needed; only partial information is available for learning and forecasting. This can be due to insufficient temporal or spatial samplings, to inaccessible variables or to noisy training data. Here, we show that it is nevertheless possible to forecast extreme events occurrence in incomplete experimental recordings from a spatiotemporally chaotic microcavity laser using reservoir computing. Selecting regions of maximum transfer entropy, we show that it is possible to get higher forecasting accuracy using nonlocal data vs local data thus allowing greater warning times, at least twice the time horizon predicted from the nonlinear local Lyapunov exponent

Assessing the genetic diversity and the temporal evolution of plant populations for an optimized conservation: the example of the tuberous-rooted chervil.

International audienc

Inter Simple Sequence Repeat Fingerprints for Assess Genetic Diversity of Tunisian Garlic Populations

Garlic ( Allium sativum L.) that is cultivated in Tunisia is heterogeneous and unclassified with no registered local cultivars. At present, the level of genetic diversity in Tunisian garlic is almost unknown. Inter Simple Sequence Repeats (ISSR) genetic markers were therefore used to assess the genetic diversity and its distribution in 31 Tunisian garlic accessions with 4 French classified clones used as control. It was the first time that ISSR markers were used to detect diversity in garlic. Seventeen ISSR primers were screened; seven primers detected 73 polymorphic bands. A high level of polymorphic loci (p) was found in Tunisian populations (54%). Nei’s total genetic diversity coefficient was 0.45 and 0.34 respectively for Tunisian and French garlic. Genetic distances observed between Tunisian accessions, ranged between 38.4 and 78.1%. Factor analysis of distances’ table (AFTD) did not classify accessions on the base of geographical origin or morpho-physiological characters, particularly bolting ability, but confirmed the appurtenance of analyzed accessions to s ativum botanical subspecies. There was sufficient diversity detected to start a national collection of garlic germplasm which is crucial for the conservation of genetic diversity and its valorization.   Keywords: Allium sativum L., ISSR markers, genetic diversity, Tunisian garlic populations

BASEL III: Long-term impact on economic performance and fluctuations

We assess the long-term economic impact of the new regulatory standards (the Basel III reform), answering the following questions. (1) What is the impact of the reform on long-term economic performance? (2) What is the impact of the reform on economic fluctuations? (3) What is the impact of the adoption of countercyclical capital buffers on economic fluctuations? The main results are the following. (1) Each percentage point increase in the capital ratio causes a median 0.09 percent decline in the level of steady state output, relative to the baseline. The impact of the new liquidity regulation is of a similar order of magnitude, at 0.08 percent. This paper does not estimate the benefits of the new regulation in terms of reduced frequency and severity of financial crisis, analysed in Basel Committee on Banking Supervision (BCBS, 2010b). (2) The reform should dampen output volatility; the magnitude of the effect is heterogeneous across models; the median effect is modest. (3) The adoption of countercyclical capital buffers could have a more sizeable dampening effect on output volatility. These conclusions are fully consistent with those of the reports by the Long-term Economic Impact group (BCBS, 2010b) and Macro Assessment Group (MAG, 2010b).Basel III, countercyclical capital buffers, financial (in)stability, procyclicality, macroprudential policy.