Bank for International
Settlements
Monetary and Economic Department
Macroeconomic Analysis Division
Office T.08.034
Centralbahnplatz 2
CH-4051 Basel, Switzerland
phone: + 41 (0) 61 280 9250
email: enisse.kharroubi''at''bis.org or ekharroubi''at''gmail.com
(at=@)
I am currently Senior
Economist in the Macroeconomic Analysis Division in the Monetary and Economic
Department of the Bank for International Settlements. Prior to that, I served as an
economist in the International Macroeconomics Division (International Affairs
Department) at Banque de France. I hold a Ph.D. in Economics from
the Paris School of Economics(PSE
2004).
My main areas of research
are Macroeconomics, Financial Economics and International
Finance.
Abstract:
What are the effects of cyclical fiscal policy on industry growth? We show that
industries with a relatively heavier reliance on external finance or lower
asset tangibility tend to grow faster (in terms of both value added and of
labor productivity growth) in countries that implement fiscal policies that are
more countercyclical. We reach this conclusion using Rajan
and Zingales׳s (1998) difference-in-difference methodology
on a panel data sample of manufacturing industries across 15 OECD countries
over the period 1980–2005.
Abstract:
This paper analyses the effectiveness of monetary policy during downturns
associated with financial crises. Based on a sample of 24 developed countries,
our empirical analysis suggests that monetary policy is less effective
following a financial crisis as the monetary transmission mechanism is
partially impaired. In particular, our results suggest that the benefits of
accommodative monetary policy during a downturn are elusive when the downturn
is associated with a financial crisis. In addition, we find that private sector
deleveraging during a downturn helps to induce a stronger recovery.
Abstract:
In this paper, we use cross-industry, cross-country panel data to test whether
industry growth is positively affected by the interaction between the
reactivity of real short term interest rates to the business cycle and
industry-level measures of financial constraints. Financial constraints are
measured, either by the extent to which an industry is prone to being
"credit constrained", or by the extent to which it is prone to being
"liquidity constrained". Our main findings are that: (i) the interaction between credit or liquidity constraints
and monetary policy countercyclicality, has a positive, significant, and robust impact on the
average annual rate of labor productivity in the domestic industry; (ii) these
interaction effects tend to be more significant in downturns than in upturns.
You
can find an extensively revised version of this paper here.
Abstract:
How do volatility and liquidity crises affect growth? When credit is
constrained, a bias toward short-term debt can arise in financing long-term
investments, generating maturity mismatches and leading potentially to
liquidity crises. The frequency of liquidity crises (“abnormal” volatility) and
the volatility of growth (“normal” volatility) are found to have independent
negative effects on growth. Financial development however dampens the growth
cost of volatility, but only in the case of normal volatility. The growth cost
of volatility therefore depends critically on the composition of normal and
abnormal volatility, the latter being more costly for growth.
Abstract: in preparation.
Pour l'instant c'est un peu vide,
mais revenez dans 2-3 jours quand j'aurai appris un peu plus de choses,
je vous assure que vous allez être surpris !
Abstract:
This paper addresses risk sharing on the labor market. It first provides
empirical evidence that, every thing else equal, real compensation per worker growth is more
sensitive to changes in output growth in economies where the volatility of
output growth is larger. Secondly the paper shows that this can be accounted
for in a framework where firms are confronted to imperfect capital markets. In
this case, compensation insurance can have a negative effect on firm borrowing
capacity. Then with risk averse workers, a trade-off
appears for firms between the cost of labor and the intensity of borrowing
constraints. Finally when embedded in a general equilibrium model, we show that
the optimal labor contract displays fewer insurance, the larger the volatility
of shocks on firm production function.
Abstract:
This paper studies how the design of labor contracts affects productivity
growth in the presence of credit constraints. Assuming that firms and workers
face imperfect capital markets, flexibility in labor contracts is shown to have
three effects. It first contributes to relax firm credit constraints. Second it
positively influences workers precautionary savings and thereby raises the
volume of global savings. Finally it modifies firm incentives to make more
risky and hence more productive investments. Based on these three effects, the
model brings two results. First the economy can exhibit multiple equilibria when capital market imperfections are large, the
high flexibility equilibrium being always Pareto dominated. Second the model
predicts that productivity growth should be positively associated with labor
market flexibility for relatively low levels of capital market imperfections.
We provide empirical evidence at the industry level which supports this last
conclusion.
Abstract:
This paper proposes a framework to analyze the functioning of the interbank
liquidity market and the occurrence of liquidity crises. The model relies on
three key assumptions: (i) ex ante investment in
liquid assets is not verifiable - it cannot be contracted upon, (ii) banks face
moral hazard when confronted with liquidity shocks - unobservable effort can
help overcome the shock, and (iii) liquidity shocks are private information -
they cannot be diversified away. Under these assumptions, the aggregate volume
of capital invested in liquid assets is shown to exert a positive externality
on individual decisions to hoard liquid assets. Due to this property, the
collapse of the interbank market for liquidity is an
equilibrium. Moreover, such an equilibrium is
more likely when the individual probability of the liquidity shock is lower.
Banks may therefore provision too few liquid assets compared with the social
optimum.
Abstract:
This paper studies the choice between building liquidity buffers and raising funding ex post, to deal with liquidity shocks. We
uncover the possibility of a inefficient liquidity
squeeze equilibrium. Agents typically choose to build less liquidity buffers
when they expect cheap funding. However, when agents hold less liquidity
buffers in the aggregate, they can raise less funding because of limited pledgeability, which depresses the funding cost. This
incentive structure yields multiple equilibria, one
being an inefficient liquidity squeeze equilibrium
where agents do not build any liquidity buffer. Comparative statics show that
this inefficient equilibrium is more likely when the supply for funding is
large, and/or when aggregate shocks display low volatility. Last the
effectiveness of policy options to restore efficiency is limited because the
net gain to intervention decreases with the availability of funding. In other
words, policy becomes ineffective when the equilibrium becomes inefficient.
Abstract:
This paper investigates how financial development affects aggregate
productivity growth. Based on a sample of developed and emerging economies, we
first show that the level of financial development is good only up to a point,
after which it becomes a drag on growth. Second, focusing on advanced
economies, we show that a fast-growing financial sector is detrimental to
aggregate productivity growth.
Abstract:
In this paper, we examine the negative relationship between the rate of growth
of finance and the rate of growth of total factor productivity. We begin by
showing that by disproportionately benefiting high-collateral/low-productivity projects, an exogenous increase in finance reduces total
factor productivity growth. Then in a model with skilled workers and endogenous
financial sector growth, we establish the possibility of multiple equilibria. In the equilibrium where skilled labour works in finance, the financial sector grows more
quickly at the expense of the real economy. We go on to show that consistent with
this theory, financial growth disproportionately harms financially dependent
and R-D intensive industries.
Abstract:
This paper investigates the interplay between cyclical monetary policy and fi
nancial regulations on industry growth. We lay down a
model where
firms are
endowed with long-term -productivity enhancing- projects whose returns are not
fully pledgeable and subject to aggregate
productivity shocks. In this model, lower pledgeability
fi
rms grow disproportionately faster when real
interest rates are more countercyclical or when credit provision is more
countercyclical. Moreover, the growth e¤ect
of countercyclical interest rates is reduced when the fi
nancial sector is more constrained in its
ability to provide credit. The paper then tests these predictions using
cross-country, cross-industry OECD data over the period 1999-2005.
Pour l'instant c'est un peu vide, mais revenez dans 2-3 jours quand j'aurai appris un peu plus de choses, je vous assure que vous allez être surpris !
Abstract:
Recent empirical work has shown that over the long run, current account defi
cits are associated with lower growth, especially
in developing countries. This paper shows that this can hold in an economy
where (i) entrepreneurs of different productivities
can raise capital from domestic and foreign financiers and (ii) domestic
financiers have a comparative advantage in financing low productivity
entrepreneurs. In this framework, low productivity entrepreneurs can outbid
higher productivity entrepreneurs on the domestic capital market. When this
happens, the economy attracts more capital from abroad but suffers capital
misallocation and low total factor productivity as a large part of domestic
investment goes to low productivity projects. Introducing workers into the
model and allowing for endogenous savings, we show that if the labor share in
value added is sufficiently large, aggregate savings and investment are
typically lower with larger foreign capital inflows. Finally the paper contrasts
financial openness and financial autarky highlighting that the trade-off lies
between an enhanced borrowing ability on the one hand and potential capital
misallocation as well as reduced savings on the other hand.
Abstract:
This paper aims at evaluating the impact of globalization, if any, on inflation
and the inflation process. We estimate standard Phillips curve equations on a
panel of OECD countries over the last 25 years. We first show that the impact
of commodity import price inflation on CPI inflation depends on the volume of
commodity imports while the impact of non-commodity import price inflation is
independent of the volume of non-commodity imports. Second, focusing on the
role of intra-industry trade, we provide preliminary evidence that this
variable can account (i) for the low pass-through of
import price to consumer price and (ii) for the flattening of the Phillips
curve, i.e. the lower sensitivity of inflation to the output gap.
Abstract:
Globalisation has affected the relationship between
the trade balance and the real exchange rate in two ways. On the one hand, the
growth of trade taking place within industries makes the trade balance more
sensitive to real exchange movements. On the other hand, a higher degree of
vertical specialisation and more global supply chains
act to reduce this sensitivity. The relative importance of these two effects
varies across countries. According to the estimates presented in this article,
changes in the real exchange rate could play a larger role in curbing the US
trade deficit than in reducing the Chinese trade surplus. This confirms that
real exchange rate adjustment is only part of the solution for global
rebalancing, and needs to be accompanied by other policy actions.