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This paper provides a general representation of endogenous and threshold-based regime switching models and develops an efficient numerical solution method. The regime-switching is triggered endogenously when some variables cross threshold conditions that can themselves be regime-dependent. We illustrate our approach using a RBC model with state-dependent government spending policies. It is shown that regime-switching models involve strong non linearities and discontinuities in the dynamics of the model. However, our numerical solution based on simulation and projection methods with regime-dependent policy rules is accurate, and fast enough, to efficiently take into all these challenging aspects. Several alternative specifications to the model and the method are studied.

In this work we introduce a general equilibrium model with landlords, indebted owner-occupiers and renters to study housing markets' dynamics. We estimate it by using standard Bayesian methods and match the US data of the last decades. This framework is particularly suited to explain current trends on housing markets. We highlight the crucial relationship between interest rates, house prices and rents, and argue that it helps understanding the main driving forces. Our analysis suggests that current developments on housing markets can play a role for a recovery from the Covid pandemic as they have an expansionary effect on aggregate output. Moreover, we account for the heterogeneous impact of crisis-induced policies depending on agents' status on the housing market. We show how, despite an increase in housing prices, the welfare of landlords has been negatively hit. This is associated to the joint decrease in returns on housing and financial assets that reduces their financial incomes.

We test for the long-run relationship between stock prices, inflation and its uncertainty for different U.S. sector stock indexes, over the period 2002M7 to 2015M10. For this purpose we use a cointegration analysis with one structural break to capture the crisis effect, and we assess the inflation uncertainty based on a time-varying unobserved component model. In line with recent empirical studies we discover that in the long-run, the inflation and its uncertainty negatively impact the stock prices, opposed to the well-known Fisher effect. In addition we show that for several sector stock indexes the negative effect of inflation and its uncertainty vanishes after the crisis setup. However, in the short-run the results provide evidence in the favor of a negative impact of uncertainty, while the inflation has no significant influence on stock prices, except for the consumption indexes. The consideration of business cycle effects confirms our findings, which proves that the results are robust, both for the long-and the short-run relationships.

The 2007-2009 financial crisis has shown the importance of understanding economic and financial dynamics for the evaluation of systemic risks. In this article, we use classical perturbation theory of dynamical systems to measure the global stability of the financial system. We analyze the bifurcation mechanism in the 2007-2009 financial crisis and extend the result to general financial crises. Historically a financial crisis has resulted from heavily leveraged overinvestment. When leverage is high economic agents are susceptible to decrease in revenue. Securitization interconnected the market agents, therefore a small default in one segment spread to the entire system, causing a systemic risk. We build a dynamic model of financial system with several economic aggregates, which we model like as many agents, and show that high leverage reduces borrowing capacity of economic agents, thus raises the reactions of agents to variations of their income - which we call elasticities. Elasticities can be directly measured from the observation of flows of funds between aggregates. The Jacobian matrix of the system is deduced by a simple formula from those elasticities. Too high elasticities break the financial equilibrium and eventually result in a crisis. Market instability can be monitored by measuring the highest eigenvalue - the spectral radius - of a matrix of the Jacobian matrix. This spectral radius can be used as an early indicator of market instability and potential crisis. Our contribution is to provide an actual way of measuring how close to chaos the market is. Estimating elasticities and actually generating the indicators of instability will be the topic of forthcoming research. A heuristic prequel of this paper can be found on SSRN under the title "Chaos and Bifurcation in 2007-08 Financial Crisis". The current version will appear in Quantitative Finance.

2007 : a Systemic Crisis ? This article explains the 2007 crisis in the United States from the Classical Austrian Cycle theory and its recent developments. It provides three causes for the crisis : a general cause (Fed’s behaviour), a singular one (the subprime policy) and a systemic one. The systemic cause is the institution of central bank and its regulation of money supply. This institution was established in the early twentieth century to address the instability caused by the Great War and facilitate the financing of public spending through inflation tax. This crisis proved the fragility of these public solutions and their undesirable effects on the socialization of risk. It raises questions about the need to initiate a comprehensive reform of the system and introduce of real competition among currencies. Classification JEL : E58, E3, G01., Cet article explique la crise de 2007 aux États-Unis par la théorie autrichienne des cycles classiques et ses développements récents. Il identifie trois causes : une cause générique, la hausse des taux d’intérêt directeur de la banque fédérale, une cause singulière, la politique des subprimes et une cause systémique. La crise de 2007 est fondamentalement une crise systémique, autrement dit une crise des institutions monétaires mises en place au début du XXe siècle pour faire face à l’instabilité provoquée par la Grande Guerre et faciliter le financement des dépenses publiques par l’impôt d’inflation. Cette crise montre la grande fragilité des systèmes monétaires hiérarchisés autour d’une banque centrale. Elle met en évidence les effets de la socialisation des risques et du pouvoir discrétionnaire du banquier central sur le comportement des banques et la stabilité du système économique. Elle conduit à s’interroger sur l’opportunité d’engager une vaste réforme de ce système et la mise en place d’une réelle concurrence entre les monnaies. Classification JEL : E58, E3, G01., Facchini François. 2007 : une crise systémique ?. In: Revue d'économie financière, n°97, 2010. Regards sur la crise financière. pp. 155-183.

International audience; Le taux d’investissement de la Chine atteint en 2008 unrecord mondial, dépassant les 45 % du PIB. Cependant, ceprocessus d’accumulation risque d’être dangereux pour lapoursuite de l’investissement. L’accent est souvent mis surl’importance des phénomènes de surproduction : l’industriechinoise ne fonctionne souvent qu’à 50 % de ses capacités deproduction, ce qui finit forcément par peser sur le niveau dela productivité. Il n’en reste pas moins que cette évolution dela productivité doit surtout être analysée au regard de lathéorie sur la baisse tendancielle du taux de profit présentéepar Karl Marx dans le troisième livre du Capital.

Economies with oligopolistic markets are prone to inefficient sunspot fluctuations triggered by autonomous changes in firms equilibrium conjectures. We show that a well designed taxation-subsidization scheme can eliminate these fluctuations by coordinating firms in each sector on a single efficient equilibrium. At the macroeconomic level, implementing this stabilization policy leads to significant welfare gains, attributable to a quantitatively dominant "efficient stabilization effect". This effect, while important, is typically ignored in the traditional computations of the welfare costs of aggregate fluctuations (e.g., Lucas, 2003).

Are structural breaks models true switching models or long memory processes ? The answer to this question remain ambiguous. A lot of papers, in recent years, have dealt with this problem. For instance, Diebold and Inoue (2001) and Granger and Hyung (2004) show, under specific conditions, that switching models and long memory processes can be easily confused. In this paper, using several generating models like the mean-plus-noise model, the STOchastic Permanent BREAK model, the Markov switching model, the TAR model, the sign model and the Structural CHange model (SCH) and several estimation techiques like the GPH technique, the Exact Local Whittle (ELW) and the Wavelet methods, we show that, if the answer is quite simple in some cases, it can be mitigate in other cases. Using French and American inflation rates, we show that these series cannot be characterized by the same class of models. The main result of this study suggests that estimating the long memory parameter without taking account existence of breaks in the data sets may lead to misspecification and to overestimate the true parameter., Comment classer les modèles avec breaks : dans la classe des processus avec changement d'état qui sont en général des processus à mémoire courte ou comme processus longue mémoire ? Récemment ce problème fut étudié par un grand nombre d'auteurs dont Diebold et Inoue (2001) et Granger et Hyung (2004). Dans ce papier, nous étudions le comportement possible de longue mémoire de plusieurs processus présentant des breaks. On estime les paramètres de longue mémoire à partir de différentes méthodes. Les résultats ne sont pas toujours convaincants. Nous proposons une approche qui permet de cerner ce qu'il convient de faire empiriquement.

The "eductive" viewpoint provides a theoretically sophisticated analysis as well as an intuitively plausible shortcut to the study of expectational coordination in economic models. From the review of expectational criteria in a class of dynamical models of macroeconomic theory, the paper shows how such an "eductive" viewpoint completes and deepens rather than contradicts standard analysis. It however argues that the "eductive" approach, when correctly implemented, challenges the conditions of learning in infinite-horizon models with infinitely-lived agents. In particular, in a simple monetary model adopting such a framework, Taylor rules may be stabilizing, in the demanding sense under scrutiny, but only within a small window for the reaction coefficient., Le point de vue dit "divinatoire" fournit à la fois une alternative théoriquement élaborée et un raccourci intuitivement plausible à l'étude de la coordination des anticipations. Il conduit à approfondir l'analyse standard, comme le montre, à partir d'une revue de familles de modèles dynamiques utilisés en macroéconomie, l'examen et la comparaison des critères habituellement utilisés. Cependant, le point de vue, lorsqu'il est convenablement compris, conduit à un réexamen profond de l'apprentissage dans les modèles à horizon infini peuplés d'agents à durée de vie infinie. En particulier dans un modèle simple, suceptible d'éclairer l'analyse des politiques monétaires, les régles de Taylor ne sont stabilisantes, au sens exigeant requis ici, que lorsque les coefficients de réaction sont dans une fenêtre étroite.

This work explores some distributional properties of aggregate output growth-rate time series. We show that, in the majority of OECD countries, output growth-rate distributions are well approximated by symmetric exponential power densities with tails much fatter than those of a Gaussian (but with finite moments of any order). Fat tails robustly emerge in output growth rates independently of: (i) the way we measure aggregate output; (ii) the family of densities employed in the estimation; (iii) the length of time lags used to compute growth rates. We also show that fat tails still characterize output growth-rate distributions even after one washes away outliers, autocorrelation and heteroscedasticity.

This is a slightly revised English version of a paper published in the "Revue d'Economie Politique" 112 (5) sept-oct 2002. The text reviews recent work on expectational coordination in general equilibrium models of the Walrasian tradition. It evokes briefly the multiplicity questions associated with infinite horizon models and the issues associated with "eductive learning". It examines in a more systematic way the coordination difficulties that would arise in finite horizon models with spot multiplicity and discusses the relationship between coordination and incompleteness., Ce texte constitue une version anglaise légèrement révisée d'un article paru dans la "Revue d'Economie Politique" 112 (5) sept-oct 2002. Il passe en revue des travaux récents concernant la coordination des anticipations dans les modèles d'équilibre général de la tradition walrassienne. Il évoque de façon cursive les problèmes de multiplicité de l'équilibre général inter-temporel dans les modèles à horizon infini et les questions d'apprentissage "divinatoire" de l'équilibre. Il traite plus systématiquement des difficultés créées par la multiplicité des équilibres au comptant dans les modèles à horizon fini et des relations entre coordination et incomplétude.

International audience; Le document réévalue les gains en bien-être de l'assurance chômage lorsque les agents économiques peuvent s'auto-assurer au moyen d'une épargne privée, mais qu'ils font face à des fluctuations économiques agrégées. Les auteurs concluent que les études précédentes ont sous-estimé de moitié les gains moyens de l'assurance chômage, en ignorant l'incertitude occasionnée par la fluctuation des prix et l'emploi suite aux variations du choc agrégé. Mais paradoxalement, les plus pauvres sont moins en faveur d'une assurance chômage quand les fluctuations agrégées sont prises en compte. Le résultat s'explique par les effets favorables de la variation des prix qui dominent l'accroissement du risque d'être au chômage.