Post n°257
Published on 02/25/2022

As part of the first climate pilot exercise, the Banque de France and the ACPR developed a series of models to quantify the financial risks associated with different climate transition scenarios. We present some of the results in this post. In some scenarios, the oil industry's probability of default is expected to increase by 400 bps, its credit spread by 30 bps and its stock market valuation is expected to decrease by 40-50% in 2050.

Chart 1: Changes in probabilities of default for the most affected sectors (PDs in bps in deviation from the orderly scenario)
Chart 1: Changes in probabilities of default for the most affected sectors (PDs in bps in deviation from the orderly scenario) Source: authors’ calculations.
Post n°256
Published on 02/11/2022

The increase in the money holdings by the non-financial sector in the euro area and the United States during the pandemic is explained by the strong increase in financial savings linked to public transfers and the sustained growth of loans, and in particular (in the euro area), government-guaranteed loans. Portfolio shifts strengthened the monetary dynamics in the United States, while they dampened them in the euro area.

Chart 1. Sources of change in money holdings by households in the euro area (Change in annual flows as a % of GDP)
Chart 1. Sources of change in money holdings by households in the euro area (Change in annual flows as a % of GDP) Source: Euro area sector accounts, ECB.
Post n°255
Published on 02/08/2022

By Annabelle de Gaye and Noëmie Lisack

In order to evaluate the financial risks linked to climate change, the Banque de France and ACPR have developed a suite of models that quantify adverse low-carbon transition scenarios for France. While the short-term macroeconomic effect is limited, the key impacts are located at the sector level and are strongly heterogeneous. A second blog post will examine the issue of financial stability.

Chart 1: Impact of disorderly transitions on total and sectoral activity in France in 2050 (compared with an orderly transition)
Chart 1: Impact of disorderly transitions on total and sectoral activity in France in 2050 (compared with an orderly transition) Source: Authors’ calculations
Post n°254
Published on 02/02/2022

By Antonin Bergeaud, Jean-Benoît Eymeoud, Thomas Garcia and Dorian Henricot

Corporate real estate market participants are starting to adjust to the take-off of teleworking in France. We show that teleworking already has an impact on the office real estate market. In French départements more exposed to teleworking, the Covid-19 crisis has led to higher vacancy rates, less construction, and lower prices. Forward-looking indicators suggest that market participants are expecting a lasting shift towards teleworking.

Chart 1a: Teleworking index by département
Chart 1a: Teleworking index by département Source: Bergeaud et al., 2021
Post n°253
Published on 01/31/2022

By Julien André, Yannick Kalantzis , Antoine Lalliard and Paul Vertier

The harmonised measure of inflation currently published in the euro area does not take into account costs related to owner-occupied housing. There are several ways of capturing these costs, including the “imputed rent” and “net acquisition” approaches. Incorporating these costs into the measure of inflation produces different results depending on the method used, and the size and sign of the impact vary over time.

Chart 1: HICP and HICP augmented with imputed rents and with the acquisition price of housing in the euro area (% change year-on-year)
Chart 1: HICP and HICP augmented with imputed rents and with the acquisition price of housing in the euro area (% change year-on-year) Source: Eurostat for the HICP, Banque de France calculations for the augmented HICP. By convention, a weighting of 15% is applied to the price of owner-occupied housing in the euro area.
Post n°252
Published on 01/21/2022

Relative to demand factors, supply-side disruptions during the Covid-19 pandemic explain about 60% of longer delivery times and significantly dampened manufacturing output since 2020 in France. According to historical regularities, bottlenecks are expected to unwind in the course of 2022, while forecasts are surrounded by a high degree of uncertainty given the unusual origins of disruptions.

Chart 1: Shock decomposition – Suppliers’ delivery time and output PMI France
Chart 1: Shock decomposition – Suppliers’ delivery time and output PMI France Source: Markit, own calculations. Note: Demeaned index value and ppt. contributions, index increase = faster deliveries. Most recent observation: 2021M12.
Post n°251
Published on 01/18/2022

Both monetary and fiscal expansions have been needed during the past recent period in the euro area to sustain demand and inflation, mitigate the costs of the pandemic crisis and ensure a robust recovery. Conflicts of objectives between the two policies could, however, arise again in the future, in particular as a result of the ongoing accumulation of public debts and the large expansion of the Eurosystem’s balance sheet. Building on the work done during the recent ECB strategy review, this blog recalls the recent monetary and fiscal actions and presents some of the trade-offs for the post-pandemic period.

Chart 1. Public debt to GDP ratio in the euro area and for its largest countries (left hand side axis) and evolution of the Eurosystem balance sheet over GDP (right hand size axis)
Chart 1. Public debt to GDP ratio in the euro area and for its largest countries (left hand side axis) and evolution of the Eurosystem balance sheet over GDP (right hand size axis) Source: Eurostat, National accounts, Eurosystem data. Authors’ calculation.
Post n°250
Published on 01/14/2022

The Fed’s monetary policy influences firms’ debt composition. Conventional monetary policy (CMP) easing increases firms’ bank loans and reduces their bond issuance, while unconventional monetary policy (UMP) easing stimulates corporate bond issuance. UMP affects the US corporate debt structure through a portfolio-rebalancing channel, rather than a bank lending one.

Chart 1: Evolution of loans and debt securities of US non-financial corporations
Chart 1: Evolution of loans and debt securities of US non-financial corporations Source: Financial Accounts of the United States, L.103.
Post n°249
Published on 01/07/2022

By Gábor Fukker, Thibaud Piquard, Aurore Schilte and Matthias Sydow

The growth of non-bank financial intermediation calls for a more holistic risk assessment encompassing the entire financial system and the interactions between financial intermediaries. The incorporation of investment funds into a stress test for banks further increases the impact of a shock in terms of depletion of bank capital by 1%.

Chart 1: Representation of securities holdings networks for euro area banks and funds.
Chart 1: Representation of securities holdings networks for euro area banks and funds. Source: Sydow et al. (2021). Note: Each dot is an entity of all possible sectors. Each line shows that a bank (blue dot) or a fund (purple dot) holds a security issued by another entity.
Post n°248
Published on 01/05/2022

By Mathilde Salin, Romain Svartzman, Etienne Espagne, Julien Gauthey, Paul Hadji-Lazaro, Thomas Allen, Joshua Berger, Julien Calas, Antoine Godin and Antoine Vallier

Like climate change, biodiversity loss could be a source of financial risk. As a first analysis, we study the dependencies of the securities portfolio held by French financial institutions on ecosystem services, and the impacts on biodiversity of the activities financed.

Chart 1: Dependencies of the securities portfolio held by French financial institutions on ecosystem services
Chart 1: Dependencies of the securities portfolio held by French financial institutions on ecosystem services Source: Svartzman et al. (2021). Note: 42% of the value of the securities portfolio held by French financial institutions was issued by companies that are highly or very highly dependent on at least one ecosystem service.
Post n°247
Published on 12/20/2021

By Olivier de Bandt, Juan Carluccio, David Lodge, Javier Perez

Since the previous ECB strategy review in 2003, interdependencies across countries have increased, making economic and financial conditions in the euro area more prone to foreign influence. However, the analyses behind the new ECB’s Strategy Review conclude globalisation does not impede the ECB from achieving price stability but calls for the adaptation of instruments and analytical toolkits.

Figure 1: Trade openness 1995-2020, euro area and world
Figure 1: Trade openness 1995-2020, euro area and world Source: Authors’ calculations based on World Development Indicators and European Central Bank data. Trade openness is defined as the sum of imports and exports divided by GDP.
Post n°246
Published on 12/17/2021

After the 2008 financial crisis, then the 2020 health crisis, will the next global economic crisis be a cyber crisis? Cyber risk is a real threat to the economy and public authorities are mobilised to deal with it. This post presents an indicator used to monitor this risk on a daily basis, based on exchanges on the social network Twitter.

Chart 1 – Evolution of cyber risk over the last decade
Chart 1 – Evolution of cyber risk over the last decade Source: Twitter and authors’ calculations.

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