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We propose a novel approach to investigate the synchronization of business cycles and we apply it to a Eurostatdatabase of manufacturing industrial production time-series in the European Union (EU) over the 2000-2017 period.Our approach exploits Random Matrix Theory and extracts the latent information contained in a balanced panel databy cleaning it from possible spurious correlation. We employ this method to study the synchronization amongdifferent countries over time. Our empirical exercise tracks the evolution of the European synchronization patternsand identifies the emergence of synchronization clusters among different EU economies. We find thatsynchronization in the Euro Area increased during the first decade of the century and that it reached a peak duringthe Great Recession period. It then decreased in the aftermath of the crisis, reverting to the levels observable at thebeginning of the 21st century. Second, we show that the asynchronous business cycle dynamics at the beginningof the century was structured along a East-West axis, with eastern European countries having a diverging businesscycle dynamics with respect to their western partners. The recession brought about a structural transformation ofbusiness cycles co-movements in Europe. Nowadays the divide can be identified along the North vs. South axis.This recent surge in asynchronization might be harmful for the European Unio because it implies countries’heterogeneous responses to common policies.

We evaluate the exposure of Italian regions to employment and the health risk associated with the spread of COVID-19. First, we estimate the degree of participation of Italian regions in a plurality of value chains linked to consumption, investment and exports. Second, we investigate the different levels of contagion risk associated with each value chain and the possibility of reducing such risk through remote work. We find that regions are affected differently by lockdown policies because of their highly heterogeneous embeddedness in different value chains, and their diverse sectoral contributions to each of them.

We build a novel computational input-output model to estimate the economic impact of lockdowns in Italy. The key advantage of our framework is to integrate the regional and sectoral dimensions of economic production in a very parsimonious numerical simulation framework. Lockdowns are treated as shocks to available labor supply and they are calibrated on regional and sectoral employment data coupled with the prescriptions of government decrees. We show that when estimated on data from the first “hard” lockdown, our model closely reproduces the observed economic dynamics during spring 2020. In addition, we show that the model delivers a good out-of-sample forecasting performance. We also analyze the effects of the second “mild” lockdown in fall of 2020 which delivered a much more moderate negative impact on production compared to both the spring 2020 lockdown and to a hypothetical second “hard” lockdown.

We build a simple dynamic model to study the effects of technological learning, market selection and international competition in the determination of export flows and market shares. The model features two countries populated by firms with heterogeneous productivity levels and sales. Market selection in each country is driven by a finite pairwise Pólya urn process. We show that market selection leads either to a national or to an international monopoly in presence of a static distribution of firm productivity levels. We then incorporate firm learning and entry-exit in the model and we show that the market structure does not converge to a monopoly. In addition, we show that the extended model is able to jointly reproduce a wide ensemble of stylized facts concerning intra-industry trade, industry and firm dynamics.

We investigate upon the shape and the determinants of the age distribution of business firms. By employing a novel dataset covering the population of French businesses, we highlight that a geometric law provides a reasonable approximation for the age distribution. However, relevant systematic deviations and sectoral heterogeneity appear. We develop a stochastic model of firm dynamics to explain the mechanisms behind this evidence and relate them to business dynamism. Results reveal a long-term decline in entry rates and lower survival probabilities of young firms. Our findings bear important implications for aggregate outcomes, notably employment growth.

We investigate the synchronization of Eurozone’s government bond yields at different maturities. For this purpose, we combine principal component analysis with random matrix theory. We find that synchronization depends upon yields maturity. Short-term yields are not synchronized. Medium- and long-term yields, instead, were highly synchronized early after the introduction of the Euro. Synchronization then decreased significantly during the Great Recession and the European Debt Crisis, to partially recover after 2015. We show the existence of a duality between our empirical results and portfolio theory and we point to divergence trades and flight-to-quality effects as a source of the self-sustained yield asynchronous dynamics. Our results envisage synchronization as a requirement for the smooth transmission of conventional monetary policy in the Eurozone.

The unprecedented lockdown measures implemented by many countries in the wake of the COVID-19 pandemic have created a need for tools to assess their economic costs. For this purpose, we present a novel dynamic input-output modelling framework which we apply to an estimation of the economic impact of lockdowns in Italy. Lockdown measures are treated as shocks to available labor supply, being calibrated on regional and sectoral employment data coupled with the prescriptions of the prime ministerial decrees mandating the closure of specific industries. Using input-output tables for the Italian regions, we estimate the model on data from the first lockdown during spring 2020 and then simulate it to assess the regional and sectoral impacts. We find that, despite the simplicity of our framework, the model is able to reproduce the observed dynamics during the lockdown-induced downturn and subsequent recovery fairly closely for most sectors. This ability to match the empirical data is also confirmed by a small out-of-sample forecasting exercise. We subsequently also simulate the second set of ‘softer’ lockdown measures implemented during autumn and winter of 2020 in order to evaluate their impact and compare them to the first, ‘hard’ lockdown. Overall, we believe the simplicity and parsimony of our framework make it suitable for providing quick and reasonably accurate evaluations of the economic effects of different lockdown measures.

We develop an agent-based model in which heterogeneous firms and households interact in labor and good markets according to centralized or decentralized search and matching protocols. As the model has a deterministic backbone and a full-employment equilibrium, it can be directly compared to Dynamic Stochastic General Equilibrium (DSGE) models. We study the effects of negative productivity shocks by way of impulse-response functions (IRF). Simulation results show that when search and matching are centralized, the economy is always able to return to the full-employment equilibrium and IRFs are similar to those generated by DSGE models. However, when search and matching are local, coordination failures emerge and the economy persistently deviates from full-employment. Moreover, agents display persistent heterogeneity. Our results suggest that macroeconomic models should explicitly account for agents' heterogeneity and direct interactions. Moreover, our results point to the role of quantity adjustments in determining the ability of the economy to return or not to full-employment.

In this paper, we investigate the causal effects of public and private debts on US output dynamics. We estimate a battery of Cointegrated Structural Vector Autoregressive models, and we identify structural shocks by employing Independent Component Analysis, a data-driven technique which avoids ad-hoc identification choices. The econometric results suggest that the impact of debt on economic activity isJanus-faced. Public debt shocks have positive and persistent influence on economic activity. In contrast, rising private debt has a milder positive impact on gross domestic product, but it fades out over time. The analysis of the possible transmission mechanisms reveals that public debtcrowds inprivate consumption and investment. In contrast, mortgage debt fuels consumption and output in the short-run, but shrinks them in the medium-run.

Les questions d’égalité fiscale sont au cœur des anxiétés de nos démocraties. Plus particulièrement, les impôts sur les profits cristallisent le débat sur les inégalités entre détenteurs de capitaux et les autres, et entre les entreprises elles-mêmes. Dernière-née des taxes sur les entreprises, la taxe numérique issue du projet avorté d’une taxe GAFA européenne, traduit le rejet de ces inégalités. De son côté, le rapport OXFAM pointe les entreprises du CAC 40 et leur faible contribution à l’impôt sur les bénéfices, signe de ce qu’elles profitent largement des crédits d’impôts et autres niches, et de leurs aptitudes à optimiser leur base fiscale. De niches fiscales, il en est grandement question en ce moment. Dans le cadre des mesures prises à l’issue du grand débat, Emmanuel Macron a annoncé, le 25 avril, la suppression de niches pour financer des 5 milliards de baisse d’impôts des ménages, sans revenir sur la baisse programmée des taux d’imposition des profits d’ici 2022.

International audience

Since the survey by Windrum et al. (Journal of Artificial Societies and Social Simulation 10:8, 2007), research on empirical validation of agent-based models in economics has made substantial advances, thanks to a constant flow of high-quality contributions. This Chapter attempts to take stock of such recent literature to offer an updated critical review of the existing validation techniques. We sketch a simple theoretical framework that conceptualizes existing validation approaches, which we examine along three different dimensions: (i) comparison between artificial and real-world data; (ii) calibration and estimation of model parameters; and (iii) parameter space exploration. Finally, we discuss open issues in the field of ABM validation and estimation. In particular, we argue that more research efforts should be devoted toward advancing hypothesis testing in ABM, with specific emphasis on model stationarity and ergodicity.

Le Projet de loi de finance (PLF) pour 2019 confirme la réforme de l'impôt sur les sociétés (IS) annoncée durant la campagne de l'élection présidentielle de 2017. La réforme poursuit trois objectifs: accroître l'investissement des entreprises, améliorer leur compétitivité et répondre aux changements de l'environnement international relatifs à l'augmentation de la concurrence fiscale pour attirer les entreprises étrangères. Le taux statutaire d'imposition passera de 33,33% à 31% pour les exercices ouverts en 2019, puis diminuera par étapes successives pour atteindre 25% en 2022. En 2017, les recettes nettes de l'impôt sur les sociétés (IS) se sont établies à 35,5 milliards d'euros, soit 1,5% du PIB, selon les données de la comptabilité nationale. L'importance de l'IS dans le PIB est en baisse depuis l'an 2001, année où son poids s'établissait à 2,9 % du PIB. Au-delà de son poids dans le PIB, l'importance de l'IS a également reculé dans les recettes de l'État. La baisse de l'importance de l'IS dans l'économie et dans les recettes de l'État reflète une évolution commune aux économies avancées. Les entreprises exportatrices, qui représentent moins de 9% des entreprises, contribuent à l'IS pour plus de 55 %. Cela est essentiellement dû au fait que les entreprises exportatrices sont en moyenne plus grandes que les autres entreprises. Selon nos simulations, l'effet de la réforme de l'IS en 2018 devrait mener à une réduction des recettes fiscales pour l'État de 1,2 milliard d'euros, conformément aux chiffres avancés dans le Projet de loi de finances 2019. Le coût de la réforme en 2019 est évalué à 2,4 milliards d'euros dans le PLF. Ce montant est inférieur à la plupart de nos estimations, ce qui suggère l'existence d'un aléa à la hausse du coût de la réforme de 2019. Par ailleurs, la faiblesse du rendement de l'IS s'accompagne d'un poids finalement faible parmi les impôts qui pèsent sur les entreprises. La recette de l'IS représente moins de la moitié de l'ensemble des impôts et taxes prélevés sur les entreprises (INSEE, 2017). En effet, plus que le taux statutaire, l'impôt sur les sociétés françaises s'explique par l'ensemble des dispositifs donnant droit à des réductions de la base fiscale et à des crédits d'impôts. Une réforme de l'IS se devrait de dépasser la simple définition des taux statutaires. La France se distingue des autres pays européens par un niveau élevé des impôts sur la production, environ deux fois supérieur à la moyenne européenne, et sept fois plus élevé qu'en Allemagne. Ces impôts regroupent notamment des taxes sur le foncier bâti, sur la valeur ajoutée ou le chiffre d'affaires et sont indépendants des profits des entreprises, ce qui les rend insensibles à la situation financière des entreprises. De plus, ils affectent plus particulièrement les secteurs exposés à la concurrence internationale, comme l'industrie, qui concentrent relativement plus d'actifs soumis à ce type d'impôt. Ainsi, à coût budgétaire constant, une réduction des impôts sur la production semble plus à même d'atteindre les objectifs d'investissement et de compétitivité.

In this paper we discuss some of the monetary policy issues that have involved major central banks worldwide since the 2008 financial crisis, and which remain open. We provide an ex-cursus of the unconventional monetary policies adopted by central banks in the last decade, focusing on the European Central Bank and the Federal Reserve, and we discuss the rationale and efficacy of some unconventional monetary instruments, of inflation targeting and of central bank independence. We also provide a perspective on possible future developments of monetary policy. We argue that while unconventional monetary policy was useful, there is still ample space for improvement: in the recessions to come, unconventional monetary policy will need to be better coordinated with fiscal, micro- and macro-prudential policies to provide more inclusive results that might positively affect the real economy beyond the financial system.

The recent economic crisis gave proof of the fact that the Taylor rule is no more that good instrument as it was thought to be just ten years ago; this might be due to the fact that agents acting in the economy hold Heterogeneous Expectations (HE). In a recent paper Anufriev et al. (2013) suggest that a way to force stability on the economic system is to adopt a more aggressive Taylor rule. In the present paper a standard NK-DSGE is considered in order to investigate whether a Friedman k-percent monetary policy rule may be a valid instrument to counteract the instability created by the presence of HE in a framework à la Brock and Hommes (1997). The model here presented suggests that when such a money supply rule is adopted by the Central Bank, stability strongly depends on the intensity of choice, which represents the ability of the agents to switch toward the best available predictor.

We develop a new method to estimate the parameters of threshold distributions for market participation based on an agent-specific attribute and its decision outcome. This method requires few behavioral assumptions, is not data demanding, and can adapt to various parametric distributions. An application to export decisions by French firms shows that threshold distributions are generally right-skewed. We then reveal the asymmetric effects of past policies over different quantiles of the threshold distributions.

This paper proposes a new method to empirically validate simulation models that generate artificial time series data comparable with real-world data. The approach is based on comparing structures of vector autoregression models which are estimated from both artificial and real-world data by means of causal search algorithms. This relatively simple procedure is able to tackle both the problem of confronting theoretical simulation models with the data and the problem of comparing different models in terms of their empirical reliability. Moreover the paper provides an application of the validation procedure to the agent-based macroeconomic model proposed by Dosi et al. (2015).

Nous analysons la convergence des systemes industriels de l’Union europeenne (UE) et la comparons a la synchronisation des cycles industriels. L’article presente d’abord plusieurs indicateurs de performance economique pour les sept economies majeures de l’UE : l’Allemagne, l’Autriche, l’Espagne, la France, l’Italie, les Pays-Bas et le Royaume-Uni. Ces indicateurs mettent en exergue une heterogeneite prononcee. D’un cote, l’Autriche, l’Allemagne et les Pays-Bas sont apparemment « gueris » de la Grande Recession. De l’autre, l’Espagne et l’Italie presentent toujours des symptomes inquietants avec de faibles gains de productivite du travail et un PIB qui n’a pas encore recouvre son niveau d’avant-crise. L’economie francaise se situe entre ces deux groupes. En utilisant des methodologies statistiques recentes permettant de quantifier la similarite des structures productives des pays, nous examinons ensuite la question de la convergence – ou de la divergence – des pays de l’UE. Conformement aux indicateurs de performance industrielles de base, nous trouvons une fracture Nord/Sud qui s’affirme au cours du temps. Ces resultats corroborent les previsions de Krugman (1993), selon lesquelles l’un des effets de l’initiative europeenne est d’accroitre la specialisation regionale et d’augmenter les divergences de croissance entre pays. En fait, tout se passe comme si la reduction des couts de transaction dans l’UE accentuait la concentration de l’activite industrielle hautement specialisee en Allemagne, au detriment de ses voisins europeens. En outre, en raison de l’inclusion des economies d’Europe de l’Est et du groupe des pays de Visegrad, l’economie allemande a reussi a externaliser les activites industrielles peu qualifiees, accentuant ce faisant son role deja central dans l’ensemble de la chaine de valeur europeenne. Certes, ceci a genere la fracture Nord/Sud europeenne. Toutefois, les effets positifs sont observables en termes de plus grande integration economique de l’ancien bloc de l’Est, qui est maintenant bien synchrone avec l’economie allemande. Nous affirmons que cette hete-rogeneite des tendances economiques et des schemas de specialisation, couplee avec l’absence de synchronisation entre les principaux pays de l’UE, representent un defi majeur en termes de politiques macroeconomiques. Les reformes institutionnelles, fiscales et monetaires doivent etre concues de maniere a atteindre des niveaux plus eleves de coordination et d’integration, afin de recouvrer un processus de convergence necessaire a la stabilite economique de l’UE.

We develop a model to study the impact of corporate governance on firm investment decisions and industry competition. In the model, governance structure affects the distribution of shares among short- and long-term oriented investors, the robustness of the management regarding possible stockholder interference, and the managerial remuneration scheme. A bargaining process between firm’s stakeholders determines the optimal allocation of financial resources between real investments in R&D and financial investments in shares buybacks. We characterize the relation between corporate governance and firm’s optimal investment strategy and we study how different governance structures shape technical progress and the degree of competition over the industrial life cycle. Numerical simulations of a calibrated set-up of the model show that pooling together industries characterized by heterogeneous governance structures generate the well-documented inverted-U shaped relation between competition and innovation.