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No evidence of financial accelerator in France

Author

Listed:
  • B. CAMPAGNE

    (Insee)

  • V. ALHENC-GELAS

    (Insee)

  • J.-B. BERNARD

    (Insee)

Abstract

In this paper, we investigate the role of financial acceleration phenomena in France over the period 1987-2013. Constructing a threshold-VAR model allowing for two credit regimes, we formally test for the presence of a financial acceleration and present generalized impulse response functions. Using the volatility of the French stock index CAC40 and the lending spread between small and large firms as credit stress indicators, we show weak evidence of the existence of a global financial accelerator in France and also provide a simple method for computing contributions in threshold-VAR. We insist on the difficulty to construct stable financial sphere - real economy interactions models for France or to identify adequate credit stress indicators.

Suggested Citation

  • B. Campagne & V. Alhenc-Gelas & J.-B. Bernard, 2015. "No evidence of financial accelerator in France," Documents de Travail de l'Insee - INSEE Working Papers g2015-07, Institut National de la Statistique et des Etudes Economiques.
    • Handle: RePEc:nse:doctra:g2015-07
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    References listed on IDEAS

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    Cited by:

    1. Mariya A. Shchepeleva, 2020. "Modeling the Balance Sheet Channel of Monetary Transmission in Russia," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 2, pages 39-56, April.

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    More about this item

    Keywords

    credit constraint; flight to quality; generalized impulse response function; threshold VAR (TVAR);
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers

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