Details about Frédérique Bec

Access statistics for papers by Frédérique Bec.

Last updated 2013-04-09. Update your information in the RePEc Author Service.

Short-id: pbe92

Working Papers

2013

1. Do Stock Returns Rebound After Bear Markets? An Empirical Analysis From Five OECD Countries
   THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise

2012

2. Are Southeast Asian Real Exchange Rates Mean Reverting?
   THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
   Also in Working Papers, HAL (2012)
   See also Journal Article in Journal of International Financial Markets, Institutions and Money (2013)
3. Inventory Investment Dynamics and Recoveries: A Comparison of Manufacturing and Retail Trade Sectors
   Working papers, Banque de France
4. Inventory Investment and the Business Cycle: The usual Suspect
   Working Papers, Centre de Recherche en Economie et Statistique
5. The European way out of recession
   Working papers, Banque de France
   Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2011)

2011

6. The Possible Shapes of Recoveries in Markov-Switching Models
   Working Papers, Centre de Recherche en Economie et Statistique View citations (2)
   Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2011)
   Working papers, Banque de France (2011)

2010

7. Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model
   Post-Print, HAL
   Also in CIRANO Working Papers, CIRANO (2009)
   RCER Working Papers, University of Rochester - Center for Economic Research (RCER) (2004) View citations (14)
   See also Journal Article in Annales d'Economie et de Statistique (2010)

2009

8. Assets Returns Volatility and Investment Horizon: The French Case
   CESifo Working Paper Series, CESifo Group Munich
   Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2008)
   IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse (2008) View citations (1)
9. Cyclicality and Term Structure of Value-at-Risk in Europe
   TSE Working Papers, Toulouse School of Economics (TSE) View citations (1)
   Also in IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse (2009) View citations (1)
10. Term Structure and Cyclicity of Value-at-Risk: Consequences for the Solvency Capital Requirement
    CESifo Working Paper Series, CESifo Group Munich

2008

11. Federal Funds Rate Stationarity: New Evidence
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
    See also Journal Article in Economics Bulletin (2009)
12. The ACR model: a multivariate dynamic mixture autoregression
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (6)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2008)

2006

13. Real exchange rates and real interest rates: a nonlinear perspective
    Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations (1)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1999) View citations (2)
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. (1999) View citations (7)
    See also Journal Article in Recherches économiques de Louvain (2006)

2005

14. The Autoregressive Conditional Root (ACR) Model
    Working Papers, Centre de Recherche en Economie et Statistique View citations (4)
15. The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change ?
    Working Papers, Centre de Recherche en Economie et Statistique
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2007)

2002

16. Adaptive Consistent Unit Root Tests Based on Autoregressive Threshold Model
    Working Papers, Centre de Recherche en Economie et Statistique View citations (1)
    See also Journal Article in Journal of Econometrics (2008)

2000

17. Nonlinear Economic Policies: Pitfalls in the Lucas Critique Empirical Counterpart
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (3)

1999

18. Mondialisation, mobilite du capital et stabilite macro-economique
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1999)

1998

19. Trading Costs for Goods and PPP. A Nonlinear Alternative for Real Exchange rate Dynamics
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1998)

1996

20. Fiscal policies, public deficit retraints and European stabilization
    Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)

1992

21. La transmission internationale des fluctuations: une explication de la correlation croisee des consommations
    Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1)
    See also Journal Article in Revue économique (1994)

Journal Articles

2013

1. Are Southeast Asian real exchange rates mean reverting?
   Journal of International Financial Markets, Institutions and Money, 2013, 23, (C), 265-282
   See also Working Paper (2012)

2012

2. Le rôle des stocks en sortie de crise: Une étude empirique sur données d'enquête
   Revue d'économie politique, 2012, 122, (6), 811-822
3. Préface
   Revue d'économie politique, 2012, 122, (6), 789-789

2010

4. Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime star Model
   Annales d'Economie et de Statistique, 2010, (99-100), 395-427
   See also Working Paper (2010)

2009

5. Federal Funds Rate Stationarity: New Evidence
   Economics Bulletin, 2009, 29, (2), 867-872
   See also Working Paper (2008)

2008

6. Adaptive consistent unit-root tests based on autoregressive threshold model
   Journal of Econometrics, 2008, 142, (1), 94-133 View citations (20)
   See also Working Paper (2002)
7. Purchasing power parity: A nonlinear multivariate perspective
   Economics Bulletin, 2008, 6, (39), 1-6
8. The ACR Model: A Multivariate Dynamic Mixture Autoregression
   Oxford Bulletin of Economics and Statistics, 2008, 70, (5), 583-618 View citations (4)
   See also Working Paper (2008)

2007

9. The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change?
   Studies in Nonlinear Dynamics & Econometrics, 2007, 11, (4), 5 View citations (1)
   See also Working Paper (2005)

2006

10. Real exchange rates and real interest rates: a nonlinear perspective
    Recherches économiques de Louvain, 2006, 72, (2), 177-194 View citations (1)
    See also Working Paper (2006)

2004

11. L'ajustement à seuildes processus cointégrés. Que sait-on des modèles à trois régimes ?
    Revue d'économie politique, 2004, Volume 114, (4), 467-488
12. Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship
    Journal of Business & Economic Statistics, 2004, 22, 382-395 View citations (28)
13. Vector equilibrium correction models with non-linear discontinuous adjustments
    Econometrics Journal, 2004, 7, (2), 628-651 View citations (10)

2002

14. Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks
    Studies in Nonlinear Dynamics & Econometrics, 2002, 6, (2), 3 View citations (53)

1997

15. Fédéralisme budgétaire et stabilisation macroéconomique en Europe
    Revue économique, 1997, n° 48, (3), 505-517
    Also in Revue Économique, 1997, 48, (3), 505-517 (1997)
16. Une évaluation empirique de l'efficience du marché des changes
    Revue économique, 1997, n° 48, (4), 921-936
    Also in Revue Économique, 1997, 48, (4), 921-936 (1997)

1994

17. Impulsions dominantes et analyse des fluctuations de l’économie française
    L'Actualité Economique, 1994, 70, (1), 5-26
18. La transmission internationale des fluctuations: une explication de la corrélation croisée des consommations
    Revue économique, 1994, n° 45, (1), 89-114
    Also in Revue Économique, 1994, 45, (1), 89-114 (1994)
    See also Working Paper (1992)

1993

19. Taux d'intérêt, politique monétaire et activité économique en France: un examen empirique
    Économie et Prévision, 1993, 109, (3), 13-24
20. Une étude empirique des sources des fluctuations économiques dans le cadre d'un modéle à tendances communes
    Annales d'Economie et de Statistique, 1993, (30), 85-120 View citations (2)