Olivier Damette

The Global Economic Crisis and The Effect of Immigrant Workers on Native-born Employment in Europe

The debate regarding the economic effects of employing immigrants has attracted renewed interest in European countries since the economic crisis. We provide an approximation of the labour market effects of immigrant workers in four European countries during the global economic crisis after briefly analysing native and foreign-born worker conditions for the most recent period. Our analysis focuses on the correlation between the stock of immigrant workers and the number of native labour market workers across several segments of the labour market using a simple model approach. Using Eurostat and LFS (Labour Force Survey) data, we estimate a structural dynamic model using the generalised method of moments (GMM) to examine adjustment dynamics in the labour market and labour market segment and worker educational levels, countries of origin and genders. Overall, the empirical results suggest that immigrant labour force effects on native-born worker employment rates have been persistent and but weak throughout the business cycle. These effects are globally positive, and immigrant origins do not appear to change the nature of their impact. We offer some explanations for these findings related to dual labour markets and to differences in levels of substitution among native and immigrant workers. (This abstract was borrowed from another version of this item.)

Tobin tax and trading volume tightening: a reassessment

This article extends the previous literature on the Tobin tax. We find that very roughly, a doubling in transaction costs would reduce trading volume by 25% to 40% in the Forex. Most importantly, this article is the first contribution to specify the trading volume of the Forex through different (low and high volatility) regimes. Our results show evidence of nonlinear patterns for trading volumes and transaction costs on the Forex. Thus, the Tobin tax would not have a monotonic impact on trading activity across market conditions. The change in elasticity between low and high volatility regimes would be slight but significantly different. We may suggest that the high-variance regime might be the fundamentalist regime and the low-variance regime might be the chartist regime. It is a first step towards understanding which categories of agents would react to the introduction of a tax. Our results seem consistent with Tobin’s underlying thinking; since a tax would penalize chartists more than fundamentalists, it could reduce exchange rate volatility.

Reassessing forest products demand functions in Europe using a panel cointegration approach

ABSTRACT In a panel of European countries, we analyse paper products, sawnwood and wood panels consumption data. With this object, we use a classical demand model where national consumption depends on real GDP and real prices. In contrast to previous panel estimations in the literature, we highlight non-stationarity time series which can lead to spurious regressions. We explicitly take into account the issue by using recent panel cointegration techniques. Cointegration is present for printing paper and fibreboard, though less clear cut for other products. Then we estimate demand elasticities and find that GDP elasticities are significantly lower than estimates from the literature. Finally, we simulate the implications of modified demand elasticities by using a partial equilibrium model of the forest sector. For most products, changes in elasticities would lead to lower projected demand and lower prices over a 20-year time horizon. Lower demand for solid wood and wood fibre would lead to less tensions with fuel wood- and wood-based chemical markets. In a context of rising interest for renewable bio-based products, updated long-term demand models contribute to the analysis of the forest sector’s sustainability.

Anticipated Macroeconomic Fundamentals, Sovereign Spreads and Regime-Switching: The Case of the Euro Area

This paper provides evidence that forecasts in macroeconomic fundamentals can drive the changes observed in the sovereign bond spreads in a nonlinear fashion. More specifically, the impact of the anticipated macroeconomic variables on sovereign spreads depends upon the global conditions prevailing in the financial markets (appetite for risk, market liquidity, health of the banking sector). We use a nonlinear model of sovereign spreads, namely a time-varying probability Markov-switching model. The paper adds to the empirical literature by documenting that the strength with which changes in market expectations of economic fundamentals are factored in the determination of the Euro area bond market spreads is regime-dependent. Such dependence implies multiple “equilibrium relationships” between spreads and macroeconomic variables, and switches between the equilibria. We contribute to the literature by first proposing a simple analytical model in which some sources of regime switches are described. In particular, spreads are affected by the investors’ perceived probability of default on debt servicing by governments and this probability varies across time because investors anticipate the future outcome of macroeconomic fundamentals influencing sovereign debts. We then consider a reduced-form of the analytical model to illustrate the empirical performance of time-varying Markov-switching model in describing the experience of the euro area spread between 2003 and 2009.