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IPS184 Sanvi Avouyi-Dovi et al.
- Currency plus overnight deposits, labelled “M1”;
- Short-term savings accounts and deposits with an agreed maturity up
to 2 years, labelled “M2M1”;
- Money market fund shares, labelled “M3M2”;
- Home savings plans (Plans d’épargne logement, PEL), labelled “PEL”;
- Equities and non-money market fund shares, labelled “Assets “;
- The sum of life insurance contracts, long-term savings plans in
securities distributed by banks (Plan d’Épargne Populaire, PEP), and
debt securities held directly by households, labelled “Lifebonds”.
For M1, we use the apparent interest rate on deposits that is available in
the financial accounts for the period 2003-2016. We compute a weighted-
average return for M2M1 based on interest rates for the different short-term
deposits included in it. For M3M2, we use the overnight rate. For PEL, we use
the interest rate set by government. For Assets, we compute the annualised
return on the CAC40 stock market index. As we do not have access to returns
on life-insurance contracts on a quarterly basis for the entire sample, the
return on Lifebonds is the 10-year yield on Treasuries. Finally, to obtain the
real returns, all the previous nominal returns are deflated by the inflation rate
drawn from the CPI. Some additional explanatory factors are also tested in the
relationships describing the dynamics of the shares

Chart 1 : Shares of Financial assets

Sources: Banque de France and authors’ calculations. All shares except Lifebonds
(LHS), Lifebonds (RHS)

3. Results
There are six shares but the baseline model is a dynamic system of only
five equations. In order to meet adding-up conditions requirements
conditions imposed by demand theory (Blake, 2004), we we drop one equation
(the share of PEL, which is relatively weak) from the dynamics system and infer

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