Curriculum vitae

Avouyi-Dovi Sanvi

Professeur associé



Labonne C., Lecat R., Avouyi-Dovi S. (2014), The housing market: the impact of macroprudential measures in France, Financial stability review, 18, p. 195-206

The housing market is a central macroprudential policy concern in France due to the significant proportion of residential property loans in bank balance sheets and the high weight of housing in household wealth. The surge in house prices at the start of the 2000s means we cannot rule out the risk of a bubble or a sharp downward correction, even though prices currently seem to be stabilising. However, if the evolution of house prices does start to pose a threat to financial stability, French authorities have access to a number of macroprudential tools that can be used to modify trends in factors such as the provision of housing loans. Using a model, this article attempts to examine the impact of measures which directly or indirectly influence loan interest rates and maturities, or the size of repayments in relation to household income. The empirical results show that these measures have a significant impact on trends in home lending, but a more limited impact on house prices due to the way variations in lending affect housing supply.

Gautier E., Fougère D., Avouyi-Dovi S. (2013), Wage Rigidity, Collective Bargaining and the Minimum Wage: Evidence from French Agreement Data, The Review of Economics and Statistics, 95, 4, p. 1337-1351

Using several unique data sets on wage agreements at both industry and firm levels in France, we document stylized facts on wage stickiness and the impact of wage-setting institutions on wage rigidity. First, the average duration of wages is a little less than one year and around 10 percent of wages are modified each month by a wage agreement. Data patterns are consistent with predictions of a mixture of Calvo and Taylor models. The frequency of wage change agreements is rather staggered over the year but the frequency of effective wage changes is seasonal. The national minimum wage has a significant impact on the probability of a wage agreement and on the seasonality of wage changes. Negotiated wage increases are correlated with inflation, the national minimum wage increases and the firm profitability.

Avouyi-Dovi S., Idier J. (2012), The impact of unconventional monetary policy on the market for collateral: The case of the French bond market, Journal of Banking and Finance, 36, 2, p. 428–438

We consider the channel consisting in transferring the credit risk associated with refinancing operations between financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French government debt securities market, since these assets are used as collateral both in the open market operations of the ECB and on the interbank market. In our time-varying transition probability Markov-switching (TVTP-MS) model, we highlight the existence of two regimes. In one of them, which we refer to as the conventional regime, monetary policy neutrality is verified; in the other, which we dub the unconventional regime, monetary policy operations lead to volatility and liquidity premia on the collateral market. The existence of these conventional and unconventional regimes highlights some asymmetries in the conduct of monetary policy.

Avouyi-Dovi S., Sahuc J-G. (2011), On the welfare costs of misspecified monetary policy objectives, Journal of Macroeconomics, 33, 2, p. 151–161

This paper quantifies the effects on welfare of misspecified monetary policy objectives in a stylized DSGE model. We show that using inappropriate objectives generates relatively large welfare costs. When expressed in terms of 'consumption equivalent' units, these costs correspond to permanent decreases in steady-state consumption of up to two percent. The latter are generated by both the inappropriate choice of weights and the omission of variables. In particular, it is costly to assume an interest-rate smoothing incentive for central bankers when it is not socially optimal to do so. Finally, a parameter uncertainty decomposition indicates that uncertainty about the properties of markup shocks gives rise to the largest welfare costs.

Sahuc J-G., Avouyi-Dovi S. (2009), Comportement du banquier central en environnement incertain, Revue d'économie politique, 119, 1, p. 119-142

Plusieurs travaux récents sont consacrés à l'examen du comportement du banquier central face à l'incertitude affectant notamment son environnement économique. Ce papier propose, du point de vue du banquier central, une synthèse des principales sources d'incertitude ainsi qu'une illustration de leurs effets dans un cadre analytique simplifié. En particulier, il montre que selon l'hypothèse d'incertitude et le choix de la fonction de perte, les recommandations de politique monétaire peuvent être sensiblement différentes. Retenir par exemple une fonction de perte ad hoc - choix discrétionnaire - à la place d'une fonction endogène - choix cohérent avec les paramètres structurels - peut entraîner des pertes en bien être.

Central Banker's Behaviour in an Uncertain EnvironmentSeveral recent papers are devoted to the examination of the central banker's behaviour in an uncertain economic environment. This paper proposes, from a central banker's point of view, a synthesis of the main sources of uncertainty as well as an illustration of their effects within an analytical framework. In particular, it shows that depending on the type of uncertainty and the choice of the selected loss function, the recommendations for monetary policy can be noticeably different. Retaining an ad hoc loss function - discretionary choice - in place of an endogenous loss function - choice consistent with the structural parameters - can involve considerable welfare losses.

Gautier E., Fougère D., Avouyi-Dovi S. (2009), Les négociations salariales en France : une analyse à partir de données d'entreprises (1994 - 2005), Economie et statistique, 426, p. 29-65

Matheron J., Avouyi-Dovi S. (2007), Technology shocks and monetary policy : Revisiting the Fed's performance, Journal of money, credit and banking, 39, 2-3, p. 471-507

Would the U.S. economy's dynamic response to permanent technology shocks have been different from the actual responses if monetary authorities' systematic response to these shocks had been optimal ? To answer this question, we characterize the dynamic effects of permanent technology shocks and the way in which U.S. monetary authorities reacted to these shocks over the sample 1955(1)-2002(4) using a structural VAR. A sticky price-sticky wage model is developed and estimated to reproduce these responses. We then formally compare these responses with the outcome of the optimal monetary policy.

Avouyi-Dovi S., Kierzenkowski R., Lubochinsky C. (2006), Are business and credit cycles converging or diverging ? A comparison of Poland, Hungary, the Czech Republic and the Euro area, Revue économique, 57, 4, p. 851-880

Cet article propose l'analyse de co-mouvements entre variables réelles et financières dans trois nouveaux pays membres de l'Union européenne (Hongrie, Pologne et République tchèque) ainsi que dans la zone euro. Il s'agit de l'examen du co-mouvement d'une part entre le crédit aux entreprises et la production industrielle réels, d'autre part entre les variables précédentes et un indicateur de politique monétaire, le taux d'intérêt réel à 3 mois. Partant du principe qu'il n'existe pas de définition unique du cycle économique, nous adoptons trois approches différentes : identification de points de retournement des séries et évaluation d'un indice de concordance ; décomposition et comparaison des différentes composantes cycliques des séries ; enfin, calcul des corrélations dynamiques entre les variables. Nous trouvons une meilleure convergence des cycles réels que des cycles financiers entre les nouveaux pays membres de l'UE et la zone euro. Il n'existe pas une forte dépendance entre crédits et la production industrielle dans tous les pays ; cependant, il apparaît que la politique monétaire lisse la distribution du crédit au cours des cycles.

This paper provides an analysis of co-movements between real and financial variables in three new EU member countries (the Czech Republic, Hungary and Poland) and the euro area. It focuses on the co-movement between real credit granted to firms and real industrial output on the one hand, and between the aforementioned variables and a monetary policy indicator (the three-month real interest rate)on the other. Given that there is no single definition for the business cycle, we take three different approaches : we identify the turning points in the series and then estimate a concordance index; we decompose and compare the cyclical components of the series; and we calculate dynamic correlations across the variables. We find a better convergence of real than financial cycles between the new EU members and the euro area. There is no a high degree of dependence between loans and industrial output in all countries; yet, monetary policy appears to smooth the distribution of credit throughout the cycles.

Brun M., Dreyfus A., Avouyi-Dovi S., Drumetz F., Oung V., Sahuc J-G. (2005), La fonction de demande de monnaie pour la zone euro : un réexamen, Bulletin de la Banque de France, 142, p. 23-39

Cet article propose un réexamen de la spécification de la fonction de demande de monnaie de la zone euro. En effet, les spécifications traditionnelles conduisent à des résultats parfois peu satisfaisants : instabilité des coefficient de court et long termes ; écarts relativement importants entre les agrégats estimés et observés ; variation sensible du nombre des relations de long terme. Deux facteurs ont notamment été à l'origine de la dynamique de M3 dans la zone euro : une forte préférence pour la liquidité, observée de 2001 à 2003 et suivie d'une normalisation, à un rythme relativement modéré, des comportements de portefeuille ; du côté des contreparties, on note des variations d'amplitude comparable de M3 et des créances nettes sur l'extérieur. Ces facteurs soulignent le rôle des arbitrages nationaux et internationaux de portefeuille dans les évolutions monétaires. D'où l'idée de construire une fonction de demande de monnaie hors contrepartie extérieure et, alternativement, d'introduire des prix d'actifs financiers dans la fonction de demande de M3 comme l'avait suggéré Friedman (1988). Au préalable, l'équation traditionnelle a été ré-estimée afin de vérifier, par exemple, si l'allongement de la période d'estimation n'entraîne pas de modification majeure, notamment en termes de stabilité des paramètres ou du nombre de relations structurelles. Or, cette équation affiche une double instabilité (paramètres et nombre de relations de long terme). La non-prise en compte de la contrepartie extérieure conduit à des résultats similaires. En revanche, l'introduction du cours des actions européennes permet d'obtenir un effet de substitution (coefficient significativement négatif) de cette variable et un meilleur ajustement, sans compromettre les deux relations de long terme (demande de monnaie et relation de Fisher) mises en évidence dans l'article publié dans le Bulletin de la Banque de France n° 111. Ainsi, toutes choses égales par ailleurs, une baisse du rendement boursier européen entraînerait une remontée de l'encaisse réelle et une diminution de la vitesse de circulation de la monnaie. L'évolution des marchés d'actions serait ainsi un facteur explicatif non négligeable de la dynamique de M3 dans la zone euro. Enfin, des évaluations de l'écart d'encaisses réelles, fondées sur l'équation de demande de monnaie incluant l'effet de substitution du cours boursier européen, font ressortir un excès de liquidité modéré mais persistant dans la zone euro.

In recent years, the dynamics of M3 in the euro area have been driven by two factors : a strong preference for liquidity, observed between 2001 and 2003, followed by a normalisation, at a relatively moderate pace, of portfolio behaviour; as regards the counterparts, changes in M3 and net external assets were of comparable magnitude. These factors highlight the role of national and international portfolio shifts in monetary developments. Furthermore, the traditional specifications of the money demand function sometimes yield unsatisfactory results : instability of short and long-term coefficients, relatively large differences between the estimated and actual value of monetary aggregates, and significant changes in the number of long-run relations. Hence the idea of constructing a money demand function that excludes the external counterpart of M3 or, alternatively, introducing financial asset prices in the demand function of M3, as suggested by Friedman (1988). First, the basic equation, based on the quantitative equation of money, was reestimated in order to verify, for example, whether extending the estimation period or revising certain variables would not result in a major change, notably in terms of the stability of the parameters or the number of structural relations. Indeed, this equation exhibits two instabilities (parameters and the number of long-run relations). Similar results are obtained when the external counterpart of M3 is not taken into account. However, by including European share prices, we obtain a substitution effect (significantly negative coefficient) of this variable and a better adjustment, without affecting the two long-run relations (money demand and the Fisher relation) discussed in the article published in Banque de France Monthly Digest No. 113. So, all other things being equal, a decline in European stock market yields would result in a rise in real money holdings and a decrease in the velocity of circulation of money. Equity market developments therefore appear to be a significant explanatory factor for the dynamics of M3 in the euro area. Lastly, estimates of the real money gap, based on the money demand equation factoring in the substitution effect associated with European stock price developments, point to moderate but persistent excess liquidity in the euro area.


Koliai L., Avouyi-Dovi S., Ano Sujithan K. (2014), On the determinants of food price volatility, International Conference on Food Price Volatility: Causes and Challenges, Rabat, Maroc

Ano Sujithan K., Koliai L., Avouyi-Dovi S. (2013), Does Monetary Policy Respond to Commodity Price Shocks?, 62nd annual meeting of the AFSE, Marseille, France

Commodity prices, especially oil prices, peaked in the aftermath of the financial crisis of 2007 and they have remained highly volatile. All things being equal, the increase in commodity prices may induce a similar tendency of inflation and hence become a monetary policy issue. However, the impact of the changes of commodity prices on inflation is not clear. In this paper, by using Markov-switching models we show that there is an implicit impact of commodity markets on short-term interest rates for a set of heterogeneous countries (the U.S., the Euro area, Brazil, India, Russia and South Africa) over the period from January 1999 to August 2012. Besides, the VAR models reveal that short-term interest rates respond to commodity volatility shocks whatever the country. Moreover, the linkage between commodity markets and monetary policy instruments is stronger since the recent financial crisis.

Avouyi-Dovi S., Ano Sujithan K. (2013), The links between some European financial factors and the BRICS credit default swap spreads, 62nd annual meeting of the AFSE, Marseille, France

Emerging economies and especially the BRICS countries have strong economic ties with the euro area. In addition, the financial crisis in the euro area may have effects on other markets or areas, especially those of the main emerging markets. Credit default swap (CDS) spreads are relevant indicators of credit risks. After identifying a set of fundamental determinants for sovereign CDS spreads, including euro area financial factors and computing Markov switching unit root test, we estimate Markov switching models over the period from January 2002 to August 2012, in order to examine the behaviour of sovereign CDS spreads in the BRICS countries. , i) We detect two different regimes for the BRICS, that finding is backed by conventional robustness checks and economic events; ii) most of the explanatory variables are involved in the determining theses regimes. Thus both financial and real factors have an impact on the relations defining each regime, except for Russia which is only impacted by financial ones. Especially, euro area financial indicators are largely involved in the BRICS sovereign CDS spreads' dynamics. Besides, the robustness check supports the use of euro area variables as determinants of BRICS sovereign CDS spreads.

Documents de travail

Avouyi-Dovi S., Horny G., Sevestre P. (2015), The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises, Document de travail, Paris, Direction générale des études et des relations internationales, 45

Nous étudions la dynamique de la transmission du coût marginal des banques aux taux à court terme des nouveaux crédits bancaires accordés aux sociétés non financières, en Allemagne, Espagne, France, Grèce, Italie et Portugal, au cours de la crise financière de 2008 et de celle des dettes souveraines. Nous mesurons le coût marginal des banques par les taux des nouveaux dépôts alors que l'accent est mis sur les taux du marché monétaire dans la littérature. Cela nous permet de différencier le risque auquel font face les banques dans les différents pays. Nous spécifions un modèle à correction d'erreur que nous généralisons, d'une part, pour permettre à la relation de long terme liant le taux des crédits bancaires au coût marginal des banques de changer dans le temps, et, d'autre part, pour introduire une volatilité stochastique. Le modèle est estimé avec des données, harmonisées entre les pays étudiés, et couvrant la période allant de Janvier 2003 à Octobre 2014. Nous utilisons une approche bayésienne, basée sur des méthodes de Monte Carlo par Chaînes de Markov (MCCM). Nos résultats rejettent l'hypothèse selon laquelle le coût marginal des banques se transmet aux taux des nouveaux crédits de manière constante dans le temps. La relation de long terme qui unit ces variables, s'est modifiée avec la crise de la dette souveraine ; elle est devenue une relation dans laquelle les variations de coût marginal se transmette nt plus lentement et où les taux des prêts bancaires sont plus élevés. Ces évolutions diffèrent d'un pays à l'autre. En effet, les freins à la transmission des taux monétaires dépendent de l'hétérogénéité des coûts marginaux des banques, et donc de leurs r isques. Nous constatons également que dans certains pays, les taux accordés aux petites entreprises augmentent par rapport à ceux octroyés aux grandes entreprises durant la crise. Enfin, avec un modèle VAR, nous montrons que, globalement, un choc sur les t aux des nouveaux dépôts à moins d'effet sur l'évolution des taux des nouveaux prêts depuis 2010. Ces résultats confirment le ralentissement dans la transmission.

We analyse the dynamics of the pass - through of banks' marginal cost to bank lending rates over the 2008 crisis and the euro area sovereign debt crisis in France, Germany, Greece, Italy, Portugal and Spain . We measure banks' marginal cost by their rate on new deposits, contrary to the literature that focuses on money market rates. This allows us to account for banks' risks. We focus on the interest rate on new short - term loans granted to non - financial corporations in these countries . Our analysis is based on an error - correction approach that we extend to handle the time - varying long - run relationship between banks' lending rates and banks' marginal cost, as w ell as stochastic volatility . Our empirical results are based on a harmoni s ed monthly database from January 2003 to October 201 4 . We estimate the model within a Bayesian framework, using Markov Chain Monte Carlo methods (MCMC). We reject the view that the t ransmission mechanism is time invariant. The long - run relationship moved with the sovereign debt crises to a new one, with a slower pass - through and higher bank lending rates. Its developments are heterogeneous from one country to the other. Impediments to the transmission of monetary rates depend on the heterogeneity in banks marginal costs and therefore, its risks. We also find that rates to small firms increase compared to large firms in a few countries. Using a VAR model, we show that overall, the effec t of a shock on the rate of new deposits on the unexpected variances of new loans has been less important since 2010. These results confirm the slowdown in the transmission mechanism.

Idier J., Avouyi-Dovi S. (2010), Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market, Documents de travail, Paris, Banque de France, 49

We examine the effects of collateral provision as a potential channel between funding liquidity tensions and the scarcity of market liquidity. This channel consists in transferring the credit risk associated with refinancing operations between financial institutions to market participants that bear new liquidity risk on the market associated with collateral. In particular, we address the issue of the liquidity of the French government debt securities market, since these assets are used as collateral both in the open market operations of the ECB and on the interbank market. We use a time-varying transition probability (TVTP) VAR model considering both the monetary policy cycle and the cycle of French treasury auctions. We highlight the existence of a specific regime in which monetary policy neutrality is not verified on the market for French bonds. Moreover, the existence of conventional and unconventional regimes leads to asymmetries in monetary policy implementation.

Bardos M., Moquet J., Kendaoui L., Jardet C., Avouyi-Dovi S. (2009), Macro stress testing with a macroeconomic credit risk model : Application to the French manufacturing sector, Document de travail, Paris, Banque de France, 33

Cet article présente un modèle macroéconomique de risque de crédit pour le secteur manufacturier français, fondé sur le modèle "Credit Portfolio View" de Wilson (1997a, 1997b). A partir du modèle, des distributions de perte d'un portefeuille de crédit sont simulées pour différents scénarios macro-économiques. Deux procédures de simulation sont mises en oeuvre. Pour la première, toutes les firmes sont supposées avoir la même PD alors que la seconde tient compte du risque individuel de défaut. Les résultats empiriques montrent que ces deux procédures conduisent à des distributions de perte assez différentes. Par exemple, une baisse d'un écart type du taux de croissance du produit conduit, avec une probabilité de 99%, à une perte de 3.07% de la dette financière du portefeuille lorsque la première procédure de simulation est mise en oeuvre, alors que cette perte s'élève à 2.61% avec la seconde.

The aim of this paper is to build and estimate a macroeconomic model of credit risk for the French manufacturing sector. This model is based on Wilson's Credit Portfolio View model (1997a, 1997b); it enables us to simulate loss distributions for a credit portfolio for several macroeconomic scenarios. We implement two simulation procedures based on two assumptions relative to probabilities of default (PDs):in the first procedure, firms are assumed to have identical default probabilities; in the second, individual risk is taken into account. The empirical results indicate that these simulation procedures lead to quite different loss distributions. For instance, a negative one standard deviation shock on output leads to a maximum loss of 3.07% of the financial debt of the French manufacturing sector, with a probability of 99%, under the identical default probability hypothesis versus 2.61% with individual default probabilities.

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