One of the main advantages of panel data is that it allows one to study the dynamics of economic behaviour at an individual level. Unfortunately, when dynamic models are estimated using time series of cross sections data, the usual least squares methods (such as those presented in Chapters 3 and 4) do not lead to consistent estimates for the parameters of the two most commonly used models for panel data (i.e., fixed effects and error components models). This inconsistency results from the fact that the disturbance terms are serially correlated in these models, which causes the lagged endogenous variable to be correlated with those disturbances. As in the time series context, we do not have analytical results about the small sample properties of the various estimators of these models. The only available results come from Monte-Carlo simulation studies (see Nerlove [1967], [1971]). Hence, one must rely on the asymptotic properties of these methods and assume that the size of the sample grows to infinity. Since a panel data set has two dimensions, it is possible to increase the size of the sample in various ways. Firstly one could increase the time dimension of the sample, i.e., make T tend to infinity as is done when working with time series data. As most available panel data sets contain a large number of observations on individuals (N) over a limited number of periods (T), this is not a very relevant option. It is therefore, probably more useful to study the so-called semi-asymptotic behaviour of the various estimators, by making N --+ 00 but keeping T finite. 1 This has two notable implications when one works with a dynamic model such as

Price reviews are a potentially costly activity. A significant fraction of unchanged prices may stem from firms not reviewing prices, rather than from obstacles to changing prices per se, such as menu costs. In this paper, we disentangle these two causes of price stickiness by estimating an inflated ordered probit model on a panel of French manufacturing firms. The results point to a low frequency of price reviews, suggestive of the relevance of information costs as a determinant of the observed price stickiness. In view of the "inattentive producers" literature, pointing that the source of price rigidity matters, this is suggestive of a large real effect of monetary policy.

We analyse price dispersion in about 1600 French supermarkets and compare it internationally. We find that in France more than 80% of the total variance of the observed dispersion of relative prices across store and time is explained by the spatial permanent component: stores persistently sell products at relatively high (or low) prices, essentially driven by persistent heterogeneity in retail chains’ pricing. The analysis of between and within retail chains’ price dispersion also provides evidence consistent with a multi-stage price setting in which buying groups and local branches play a much bigger role than local stores.

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 well as stochastic volatility. Our application is based on a harmonised monthly database from January 2003 to October 2014. We estimate the model within a Bayesian framework, using Markov Chain Monte Carlo methods (MCMC).We reject the view that the transmission mechanism is permanent over time. 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 effect 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.

In this chapter, we characterize the dispersion of grocery prices in France based on a large original data set of prices in more than 1500 supermarkets across the country. On average across products, the 90 th percentile of relative prices is 17 percentage points higher than the 10 th . The mean absolute deviation from quarterly average product prices is 5% on average in the French retail sector, and the standard deviation of relative prices is 7%.We show that temporary sales and promotions offer a limited explanation of the observed price dispersion, while the permanent component of price dispersion largely dominates. We find that in France price dispersion across stores essentially results from persistent heterogeneity in retail chains' national pricing. Indeed, consumer prices are largely determined at a national level by retail groups' bargaining power with producers and by retail chains' positioning. We also show, however, that local conditions regarding demand and local competition between supermarkets do explain prices observed in local markets, though to a much lower extent.

This special issue of the Review of Agricultural, Food and Environmental Studies (RAFE) is dedicated to the memory of Jean-Pierre Huiban who passed away prematurely on 16 June 2013 at the age of 58 (he was born on 9 September 1954 in Ivry-sur-Seine, France). This follows the conference organised by INRA in his honour and memory on 27 January 2015. Jean-Pierre Huiban was a well-known and much-appreciated senior research fellow (Directeur de Recherche) at INRA, the French National Institute for Agricultural Research, where he had worked since 1985.

Based on an original data set of more than 500,000 non-alcoholic beverage price records, we evaluate the impact on consumer prices of the soda tax', an excise on drinks with added sugar or sweetener, introduced in France in January 2012. We adopt a difference in differences approach and find that the tax was gradually passed through to the prices of the taxed beverages. After 6 months of its introduction, it was fully shifted to soda prices and almost fully shifted to the prices of fruit drinks, while the pass-through for flavoured waters was incomplete. We also find that the pass-through was heterogeneous across brands and retail groups.

We analyze the dynamics of the bank interest rates on the new short-term loans granted to non-financial corporations in seven countries of the euro area (France, Germany, Greece, Ireland, Italy, Portugal and Spain). Our specification is based on a multivariate diffusion model, involving factors and stochastic volatilities. In the application, we use a harmonized monthly database collected by the national central banks of the Eurosystem, over the period January 2003-November 2012. We estimate the model within a Bayesian framework, using Markov Chains Monte Carlo methods (MCMC). Unlike the results on spot rates in the empirical financial literature, we find that bank interest rates do not display evidence of mean reversion, and that the variance increases with the level of the bank rates only for a few countries. Moreover, we notice that the correlations between changes in the rates are not constant over the whole time period, and peak during the last months of 2008. Afterwards, they return more or less quickly to their previous level for some countries, while they remain lower for others. From this standpoint, the patterns within the euro area became more heterogeneous after the years 2008-2009

We estimate an ordered probit model in order to explain the occurrence and magnitude of producer price changes in the French manufacturing sector. We use data consisting essentially of the Banque de France monthly business surveys, pooled over the years 1998-2005. Our results show that changes in the price of intermediate inputs are the main driver of producer price changes. Firms also appear to react significantly to changes in the producer price index of their industry. Variations in labor costs as well as in the production level also appear to increase the likelihood of a price change but their influence seems to be of a lesser importance. We also show that estimating an unconstrained dynamic model allows improving the estimation results as compared to those associated with a standard state-dependent model. Finally, our results point to an asymmetry in price adjustments. When they face a change in their costs, firms adjust their prices upward more often and more rapidly than they do it downward

This paper focuses on the access of independent French SMEs to bank lending and analyzes whether the observed evolution of credit to SMEs over the recent period was “demand driven” as a result of the decrease in firms’ activity and investment projects or was “supply driven” with an increase in credit “rationing” stemming from a more cautious behavior of banks. Based on a sample of around 60,000 SMEs, we come to the conclusion that, despite the stronger standards used by banks when granting credit, French SMEs do not appear to have been strongly affected by credit rationing since 2008. This result goes against the common view that SMEs suffered from a strong credit restriction during the crisis but is perfectly in line with the results of several surveys about the access to finance of SMEs recently conducted in France.

The aim of this article is to assess the impact of obstacles to innovation on firms' propensity to innovate. We show that distinguishing between firms that do not innovate because they do not intend to and firms that try but fail or give up because of insurmountable obstacles is key for properly measuring the impact of the barriers to innovation. Estimating an innovation production function on appropriately defined subsamples allows obtaining consistent results, i.e. a significant and negative impact of the obstacles to innovation on firms' propensity to innovate. These results are robust to the definition of these subsamples, to the way "obstacles to innovation" are defined, as well as to the distinction between financial and nonfinancial obstacles.

Quelles consequences de la crise sur le financement et les defaillances d’entreprises ? Une conference organisee par la Banque de France et OSEO en fevrier dernier a reuni autour de cette question des economistes issus a la fois du monde academique, d’institutions bancaires et d’instituts statistiques.

On 5 and 6 July 2012, the Banque de France hosted the 18th International Panel Data Conference where around 180 researchers presented and discussed research papers covering a broad spectrum of theoretical and applied panel data research. This conference also provided the opportunity to show central banks’ interest in academic and empirical research as a necessary tool for policy decisions.

Les 5 et 6 juillet 2012, la Banque de France a organise le 18e colloque international sur l’analyse des donnees de panel, reunissant quelque 180 chercheurs qui ont presente et discute des etudes couvrant un large eventail de recherches theoriques et appliquees. Cette manifestation a egalement permis de souligner l’interet des banques centrales pour la recherche academique et empirique, outil necessaire a la prise des decisions de politique monetaire.

What was the impact of the crisis on fi rms’ fi nancing and company defaults? A conference on this topic hosted by the Banque de France and OSEO in February 2012 brought together economists from academia, banking institutions and statistical institutes.

This paper presents a simple model of state-dependent pricing that allows identification of the relative importance of the degree of price rigidity that is inherent to the price setting mechanism (intrinsic) and that which is due to the price's driving variables (extrinsic). Using two data sets consisting of a large fraction of the price quotes used to compute the Belgian and French CPI, we are able to assess the role of intrinsic and extrinsic price stickiness in explaining the occurrence and magnitude of price changes at the outlet level. We find that infrequent price changes are not necessarily associated with large adjustment costs. Indeed, extrinsic rigidity appears to be significant in many cases. We also find that asymmetry in the price adjustment could be due to trends in marginal costs and/or desired mark-ups rather than asymmetric cost of adjustment bands.