Séminaire du Larefi
Aurélien Leroy présentera, le mardi 27 février 2018 de 12 à 13h en salle des Masters, un article intitulé :
"Macro-financial linkages: The role of the institutional framework".
In this paper we evaluate the quantitative impact of various financial shocks on the real activity and explicitly address the issue of heterogeneity in the macrofinancial linkages. For that purpose, we use VAR models as well as local projection methods for 22 OECD countries based on quarterly data between 1995 and 2015. We take into account three main dimensions of the institutional framework likely to explain the observed cross-country heterogeneity in the propagation of financial shocks: the product market regulation, the employment protection, and the financial structure. Overall, our main findings indicate that financial shocks have a stronger impact in countries characterized by a higher competition-friendly regulatory stance, a stronger employment protection, and a more market-oriented financial structure. We also show that the varieties of capitalism, described by the particular mix of these different institutional areas, do not play a significant role in shaping the macro-financial linkages. This suggests that although taken individually goods, labour and financial markets regulations are robustly linked with fluctuations, there is no support for better performance of one model of capitalism.
Dalila Chenaf-Nicet en sera le rapporteur.