Research
The Impact of Borrower-Based Macroprudential Tools: A Mesoeconometric Approach (with Moaz Elsayed and Valère Fourel, 2025)
This paper introduces a novel econometric framework, referred to as a mesoeconometric approach, which integrates a micro-level identification into a macroeconometric framework. The model is designed to assess the effects of borrower-based measures (BBMs) on the housing market, household credit and the broader economy. In the first step, we identify lending standards shocks using a structural vector autoregressive (SVAR) model, assuming they capture the contribution of BBMs following their implementation. We then leverage the heterogeneous effects of these measures across different segments of the lending standards distribution to isolate the portion of the shocks attributable to BBMs. We apply our framework to French data, evaluating the effects of the 2019 implementation of caps on the debt-service-to-income (DSTI) ratios and maturity of new housing loans. Overall, our framework serves as a valuable tool for conducting ex post impact assessments of BBMs, even in data-constrained environments, and is readily adaptable to evaluate similar macroprudential policies in other settings.
The Impact of Bank Loan Terms on Intangible Investment in Europe (with Atanas Kolev and Laurent Maurin, 2020)
Using European firm-level data from a new survey, we document the impact of bank loan terms on investment in intangible assets of non-financial corporations. We show that quantity rationing (i.e. granting loans of smaller size than requested) is the main factor hindering borrowers’ propensity to invest in intangible assets. Provided that firms are satisfied with their loan size; unfavorable rate, maturity and collateral requirements have no significant effects on the probability to invest in intangible assets. However, these terms do have a negative impact on the probability to invest in multiple intangibles simultaneously. Hence, inadequate loan terms, other than the size, undermine the possibility for firms to benefit from the complementarities of these assets (e.g. R\&D and training), which have been shown to be critical for firms’ productivity.