Details about Frédérique Bec
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Short-id: pbe92
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Working Papers
2020
- A simple unit root test consistent against any stationary alternative
THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise 
Also in Working Papers, HAL (2020)
- An asymmetrical overshooting correction model for G20 nominal effective exchange rates
THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise 
Also in Working Papers, HAL (2020)  PSE Working Papers, HAL (2020) 
See also Journal Article in Economics Bulletin (2020)
2019
- Dornsbush revisited from an asymmetrical perspective: Evidence from G20 nominal effective exchange rates
THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise 
Also in Working Papers, HAL (2019)  Erudite Working Paper, Erudite (2019)
- Is inflation driven by survey-based, VAR-based or myopic expectations?
Working Papers, HAL View citations (1)
- Le modèle autorégressif autorégressif à seuil avec effet rebond: Une application aux rendements boursiers français et américains *
Working Papers, HAL
- Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing
Working Papers, Center for Research in Economics and Statistics View citations (1)
Also in Working Papers, HAL (2019) View citations (1) THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2019) View citations (1)
See also Journal Article in Oxford Bulletin of Economics and Statistics (2020)
2017
- Why Are Inflation Forecasts Sticky? Theory and Application to France and Germany
AMSE Working Papers, Aix-Marseille School of Economics, France 
Also in Working papers, Banque de France (2017)  Working Papers, HAL (2017)
- Why are inflation forecasts sticky?
Working Papers, Center for Research in Economics and Statistics 
Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2017)
2016
- How do oil price forecast errors impact inflation forecast errors? An empirical analysis from US, French and UK inflation forecasts
Post-Print, HAL View citations (1)
See also Journal Article in Economic Modelling (2016)
2015
- Comparing the shapes of recoveries: France, the UK and the US
Post-Print, HAL View citations (5)
See also Journal Article in Economic Modelling (2015)
- Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup
Post-Print, HAL
Also in TSE Working Papers, Toulouse School of Economics (TSE) (2014)  IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse (2014)
- Do stock returns rebound after bear markets?
Post-Print, HAL
2014
- How do oil price forecast errors impact inflation forecast errors? An empirical analysis from French and US inflation forecasts
Working papers, Banque de France
- The way out of recessions: A forecasting analysis for some Euro area countries
Post-Print, HAL View citations (2)
See also Journal Article in International Journal of Forecasting (2014)
- The way out of recessions: Evidence from a bounce-back augmented threshold regression
Post-Print, HAL
2013
- Are Southeast Asian Real Exchange Rates Mean Reverting?
Post-Print, HAL
Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2012)  Working Papers, HAL (2012) 
See also Journal Article in Journal of International Financial Markets, Institutions and Money (2013)
- 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 
See also Journal Article in Journal of Empirical Finance (2015)
- Inventory Investment Dynamics and Recoveries: A Comparison of Manufacturing and Retail Trade Sectors
Post-Print, HAL 
Also in Post-Print, HAL (2013) Working papers, Banque de France (2012) 
See also Journal Article in Economics Bulletin (2013)
- Inventory investment and the business cycle: the usual suspect
Post-Print, HAL
Also in PSE-Ecole d'économie de Paris (Postprint), HAL (2013) Working Papers, Center for Research in Economics and Statistics (2012) View citations (4)
See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2013)
- Nowcasting French GDP in Real-Time from Survey Opinions: Information or Forecast Combinations ?
Working Papers, Center for Research in Economics and Statistics View citations (1)
Also in Working papers, Banque de France (2013) View citations (1)
See also Journal Article in International Journal of Forecasting (2015)
- The European Way out of Recession
Post-Print, HAL
Also in Working papers, Banque de France (2012) View citations (1) THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2011) View citations (1)
2012
- Le rôle des stocks en sortie de crise: Une étude empirique sur données d'enquête
PSE-Ecole d'économie de Paris (Postprint), HAL
Also in Post-Print, HAL (2012) Post-Print, HAL (2012)
See also Journal Article in Revue d'économie politique (2012)
2011
- The Possible Shapes of Recoveries in Markov-Switching Models
Working Papers, Center for Research in Economics and Statistics View citations (8)
Also in Working papers, Banque de France (2011) View citations (3) THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2011) View citations (3)
2010
- Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model
Post-Print, HAL View citations (10)
Also in CIRANO Working Papers, CIRANO (2009) View citations (2) RCER Working Papers, University of Rochester - Center for Economic Research (RCER) (2004) View citations (20)
See also Journal Article in Annals of Economics and Statistics (2010)
2009
- Assets Returns Volatility and Investment Horizon: The French Case
CESifo Working Paper Series, CESifo View citations (2)
Also in IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse (2008)  THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2008)
- Cyclicality and Term Structure of Value-at-Risk in Europe
TSE Working Papers, Toulouse School of Economics (TSE) 
Also in IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse (2009)
- Term Structure and Cyclicity of Value-at-Risk: Consequences for the Solvency Capital Requirement
CESifo Working Paper Series, CESifo View citations (1)
2008
- 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)
- The ACR model: a multivariate dynamic mixture autoregression
THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (24)
See also Journal Article in Oxford Bulletin of Economics and Statistics (2008)
2006
- 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 (2)
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 (12)
See also Journal Article in Recherches économiques de Louvain (2006)
2005
- The Autoregressive Conditional Root (ACR) Model
Working Papers, Center for Research in Economics and Statistics View citations (4)
- The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change ?
Working Papers, Center for Research in Economics and Statistics 
See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2007)
2002
- Adaptive Consistent Unit Root Tests Based on Autoregressive Threshold Model
Working Papers, Center for Research in Economics and Statistics View citations (1)
See also Journal Article in Journal of Econometrics (2008)
2000
- Nonlinear Economic Policies: Pitfalls in the Lucas Critique Empirical Counterpart
Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (6)
1999
- 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
- 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)
1997
- An empirical testing of exchange market efficiency hypothesis
(Une évaluation empirique de l'efficience du marché deschanges)
Post-Print, HAL
- Automatic Stabilizers in a European Perspective
Post-Print, HAL
Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (1997)
- Les implications de la structure des marchés financiers pour la dynamique des modèles d'équilibre général à deux pays
Post-Print, HAL
Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (1997) View citations (1)
1996
- 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)
1995
- The International Transmission of Real Business Cycles
Post-Print, HAL View citations (1)
1992
- 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)
1991
- Une analyse empirique de différentes structures de taux d'intérêt: une comparaison entre les Etats-Unis et la France
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
Also in Post-Print, HAL (1991)
Journal Articles
2020
- An asymmetrical overshooting correction model for G20 nominal effective exchange rates
Economics Bulletin, 2020, 40, (3), 1937-1947 
See also Working Paper (2020)
- Is inflation driven by survey-based, VAR-based or myopic expectations? An empirical assessment from US real-time data
The North American Journal of Economics and Finance, 2020, 51, (C)
- Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing
Oxford Bulletin of Economics and Statistics, 2020, 82, (6), 1413-1428 
See also Working Paper (2019)
2016
- How do oil price forecast errors impact inflation forecast errors? An empirical analysis from US, French and UK inflation forecasts
Economic Modelling, 2016, 53, (C), 75-88 View citations (9)
See also Working Paper (2016)
2015
- Comparing the shape of recoveries: France, the UK and the US
Economic Modelling, 2015, 44, (C), 327-334 View citations (12)
See also Working Paper (2015)
- Cyclical and Term Structure of Value-at-Risk within a Threshold Autoregression Setup
Bankers, Markets & Investors, 2015, (134), 18-32 View citations (1)
- Do stock returns rebound after bear markets? An empirical analysis from five OECD countries
Journal of Empirical Finance, 2015, 30, (C), 50-61 View citations (1)
See also Working Paper (2013)
- Nowcasting French GDP in real-time with surveys and “blocked” regressions: Combining forecasts or pooling information?
International Journal of Forecasting, 2015, 31, (4), 1021-1042 View citations (6)
See also Working Paper (2013)
2014
- The way out of recessions: A forecasting analysis for some Euro area countries
International Journal of Forecasting, 2014, 30, (3), 539-549 View citations (12)
See also Working Paper (2014)
2013
- Are Southeast Asian real exchange rates mean reverting?
Journal of International Financial Markets, Institutions and Money, 2013, 23, (C), 265-282 View citations (3)
See also Working Paper (2013)
- Inventory Investment Dynamics and Recoveries: A Comparison of Manufacturing and Retail Trade Sectors
Economics Bulletin, 2013, 33, (3), 2209-2222 
See also Working Paper (2013)
- Inventory investment and the business cycle: the usual suspect
Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (3), 335-343 
See also Working Paper (2013)
2012
- Le rôle des stocks en sortie de crise: Une étude empirique sur données d'enquête
Revue d'économie politique, 2012, 122, (6), 811-822 
See also Working Paper (2012)
- Préface
Revue d'économie politique, 2012, 122, (6), 789-789
2010
- Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime star Model
Annals of Economics and Statistics, 2010, (99-100), 395-427 View citations (3)
See also Working Paper (2010)
2009
- Federal Funds Rate Stationarity: New Evidence
Economics Bulletin, 2009, 29, (2), 867-872 View citations (5)
See also Working Paper (2008)
2008
- Adaptive consistent unit-root tests based on autoregressive threshold model
Journal of Econometrics, 2008, 142, (1), 94-133 View citations (37)
See also Working Paper (2002)
- Purchasing power parity: A nonlinear multivariate perspective
Economics Bulletin, 2008, 6, (39), 1-6 View citations (2)
- The ACR Model: A Multivariate Dynamic Mixture Autoregression*
Oxford Bulletin of Economics and Statistics, 2008, 70, (5), 583-618 View citations (22)
See also Working Paper (2008)
2007
- 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), 1-25 View citations (2)
See also Working Paper (2005)
2006
- Real exchange rates and real interest rates: a nonlinear perspective
Recherches économiques de Louvain, 2006, 72, (2), 177-194 View citations (2)
See also Working Paper (2006)
2004
- L'ajustement à seuildes processus cointégrés. Que sait-on des modèles à trois régimes ?
Revue d'économie politique, 2004, 114, (4), 467-488
- 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 (73)
- Vector equilibrium correction models with non-linear discontinuous adjustments
Econometrics Journal, 2004, 7, (2), 628-651 View citations (33)
2002
- Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks
Studies in Nonlinear Dynamics & Econometrics, 2002, 6, (2), 1-22 View citations (90)
- Mondialisation, mobilité du capital et volatilité macro-économique
Economie & Prévision, 2002, n° 152-153, (1), 29-53 
Also in Économie et Prévision, 2002, 152, (1), 29-53 (2002)
1997
- Fédéralisme budgétaire et stabilisation macroéconomique en Europe
Revue Économique, 1997, 48, (3), 505-517
- Une évaluation empirique de l'efficience du marché des changes
Revue Économique, 1997, 48, (4), 921-936
1994
- Impulsions dominantes et analyse des fluctuations de l’économie française
L'Actualité Economique, 1994, 70, (1), 5-26
- La transmission internationale des fluctuations: une explication de la corrélation croisée des consommations
Revue Économique, 1994, 45, (1), 89-114 View citations (3)
See also Working Paper (1992)
1993
- Taux d'intérêt, politique monétaire et activité économique en France: un examen empirique
Économie et Prévision, 1993, 109, (3), 13-24 View citations (1)
- Une étude empirique des sources des fluctuations économiques dans le cadre d'un modéle à tendances communes
Annals of Economics and Statistics, 1993, (30), 85-120 View citations (5)
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