No evidence of financial accelerator in France

In this paper, we investigate the role of financial acceleration phenomena in France over the period 1987-2013. Constructing a threshold-VAR model allowing for two credit regimes, we formally test for the presence of a financial acceleration and present generalized impulse response functions. Using the volatility of the French stock index CAC40 and the lending spread between small and large firms as credit stress indicators, we show weak evidence of the existence of a global financial accelerator in France and also provide a simple method for computing contributions in threshold-VAR. We insist on the difficulty to construct stable financial sphere - real economy interactions models for France or to identify adequate credit stress indicators.