International audienceThis paper seeks to evaluate quantitatively how interbank and corporate cross-border flows shape business cycles in a monetary union. Using Bayesian techniques, we estimate a two-country DSGE model that distinguishes between Eurozone core and peripheral countries and accounts for national heterogeneities and a set of real, nominal and financial frictions. We find evidence of the key role of this cross-border channel as an amplifying mechanism in the diffusion of asymmetric shocks. Our model also reveals that under banking globalization, most national variables and the central bank interest rate are less sensitive to financial shocks while investment and current account imbalances are more sensitive to financial shocks.Finally, a counterfactual analysis shows that cross-border lending has affected the transmission of the recentfinancial crisis between the two groups of countries

How much do weather shocks matter? The literature addresses this question in two isolated ways: either by looking at long-term effects through the prism of calibrated theoretical models, or by focusing on both short and long terms through the lens of empirical models. We propose a framework that reconciles these two approaches by taking the theory to the data in two complementary ways. We first document the propagation mechanism of a weather shock using a Vector Auto-Regressive model on New Zealand Data. To explain the mechanism, we build and estimate a general equilibrium model with a weather-dependent agricultural sector to investigate the weather's business cycle implications. We find that weather shocks: (i) explain about 35% of GDP and agricultural output fluctuations in New Zealand; (ii) entail a welfare cost of 0.30% of permanent consumption; (iii) critically increases the macroeconomic volatility under climate change, resulting in a higher welfare cost peaking to 0.46% in the worst case scenario of climate change.

International audienceThis paper evaluates the role of financial intermediaries, such as banks, in the extensive margin of activity. We build a DSGE model that combines the endogenous determination of the number of firms operating on the goods market with financial frictions through a financial accelerator mechanism. We more particularly account for the fact that the creation of a new activity partly requires loans to finance spendings during the setting period. This model is estimated on US data between 1993Q1 and 2012Q3. We get three main results. First, financial frictions play a key role in determining the number of new firms. Second, in contrast with real macroeconomic shocks (where investment in existing production lines and the creation of new firms move in the opposite direction), financial shocks have a cumulative effect on the two margins of activity, amplifying macroeconomic fluctuations. Third, the critical role of financial factors is mainly observed in the period corresponding to the creation of new firms. In the long run, the variance of the effective entry share is almost explained by supply shocks

Cet article évalue dans quelle mesure la crise financière de 2007 a affecté la mise en œuvre d’une politique monétaire conventionnelle dans la zone euro. Cette question est abordée dans un cadre théorique reprenant le modèle de synthèse de la nouvelle économie keynésienne qui prévalait avant la crise de 2007. On observe que la crise a fortement réduit la performance de la politique conventionnelle après la détérioration de l’arbitrage entre la variance de l’inflation et celle de l’activité (telle que définie par la courbe de Taylor), et après la dégradation de son efficacité (telle que mesurée à partir de l’écart à la courbe de Taylor provenant d’une forte augmentation de la contribution de l’ output gap ). Les valeurs de taux d’intérêt simulées par notre modèle montrent que la BCE aurait dû fixer des taux d’intérêt inférieurs à ceux observés, qui plus est négatifs en fin de période. De nouveaux instruments non conventionnels s’avèrent de fait nécessaires afin de suppléer à une pratique de la politique monétaire qui était centrée prioritairement sur la stabilité des prix, dans un environnement macroéconomique calme.