Details about Frédérique Bec

Access statistics for papers by Frédérique Bec.

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Short-id: pbe92

Working Papers

2019

1. Is inflation driven by survey-based, VAR-based or myopic expectations?
   Working Papers, HAL
2. Le modèle autorégressif autorégressif à seuil avec effet rebond: Une application aux rendements boursiers français et américains *
   Working Papers, HAL
3. Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing
   Working Papers, Center for Research in Economics and Statistics
   Also in Working Papers, HAL (2019)

2017

4. 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)
5. 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)

2015

6. Comparing the shapes of recoveries: France, the UK and the US
   Post-Print, HAL
   See also Journal Article in Economic Modelling (2015)

2014

7. Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup
   IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse
   Also in TSE Working Papers, Toulouse School of Economics (TSE) (2014)
8. How do oil price forecast errors impact inflation forecast errors? An empirical analysis from French and US inflation forecasts
   Working papers, Banque de France
9. The way out of recessions: Evidence from a bounce-back augmented threshold regression
   Post-Print, HAL

2013

10. 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)
11. Inventory Investment Dynamics and Recoveries: A Comparison of Manufacturing and Retail Trade Sectors
    Post-Print, HAL
    Also in Working papers, Banque de France (2012) View citations (1)
    See also Journal Article in Economics Bulletin (2013)
12. Inventory investment and the business cycle: the usual suspect
    Post-Print, HAL
    Also in Working Papers, Center for Research in Economics and Statistics (2012) View citations (4)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2013)
13. 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)

2012

14. 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)
15. Le rôle des stocks en sortie de crise: Une étude empirique sur données d'enquête
    Post-Print, HAL
    Also in Post-Print, HAL (2012)
    See also Journal Article in Revue d'économie politique (2012)
16. The European way out of recession
    Working papers, Banque de France View citations (1)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2011) View citations (1)

2011

17. 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

18. Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model
    Post-Print, HAL View citations (9)
    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

19. Assets Returns Volatility and Investment Horizon: The French Case
    CESifo Working Paper Series, CESifo Group Munich View citations (2)
    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)
20. 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)
21. Term Structure and Cyclicity of Value-at-Risk: Consequences for the Solvency Capital Requirement
    CESifo Working Paper Series, CESifo Group Munich View citations (1)

2008

22. 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)
23. The ACR model: a multivariate dynamic mixture autoregression
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (22)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2008)

2006

24. 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

25. The Autoregressive Conditional Root (ACR) Model
    Working Papers, Center for Research in Economics and Statistics View citations (4)
26. 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

27. 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

28. Nonlinear Economic Policies: Pitfalls in the Lucas Critique Empirical Counterpart
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (6)

1999

29. 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

30. 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

31. An empirical testing of exchange market efficiency hypothesis
    (Une évaluation empirique de l'efficience du marché deschanges)
    Post-Print, HAL
32. Automatic Stabilizers in a European Perspective
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
33. Les implications de la structure des marchés financiers pour la dynamique des modèles d'équilibre général à deux pays
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL

1996

34. 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

35. The International Transmission of Real Business Cycles
    Post-Print, HAL View citations (1)

1992

36. 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

37. 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

Journal Articles

2016

1. 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 (4)

2015

2. Comparing the shape of recoveries: France, the UK and the US
   Economic Modelling, 2015, 44, (C), 327-334 View citations (7)
   See also Working Paper (2015)
3. Cyclical and Term Structure of Value-at-Risk within a Threshold Autoregression Setup
   Bankers, Markets & Investors, 2015, (134), 18-32 View citations (1)
4. Do stock returns rebound after bear markets? An empirical analysis from five OECD countries
   Journal of Empirical Finance, 2015, 30, (C), 50-61
   See also Working Paper (2013)
5. 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

6. The way out of recessions: A forecasting analysis for some Euro area countries
   International Journal of Forecasting, 2014, 30, (3), 539-549 View citations (6)

2013

7. Are Southeast Asian real exchange rates mean reverting?
   Journal of International Financial Markets, Institutions and Money, 2013, 23, (C), 265-282 View citations (2)
   See also Working Paper (2012)
8. 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)
9. 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

10. 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)
11. Préface
    Revue d'économie politique, 2012, 122, (6), 789-789

2010

12. 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 (2)
    See also Working Paper (2010)

2009

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

2008

14. Adaptive consistent unit-root tests based on autoregressive threshold model
    Journal of Econometrics, 2008, 142, (1), 94-133 View citations (32)
    See also Working Paper (2002)
15. Purchasing power parity: A nonlinear multivariate perspective
    Economics Bulletin, 2008, 6, (39), 1-6 View citations (1)
16. The ACR Model: A Multivariate Dynamic Mixture Autoregression*
    Oxford Bulletin of Economics and Statistics, 2008, 70, (5), 583-618 View citations (20)
    See also Working Paper (2008)

2007

17. 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

18. 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

19. L'ajustement à seuildes processus cointégrés. Que sait-on des modèles à trois régimes ?
    Revue d'économie politique, 2004, 114, (4), 467-488
20. 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 (66)
21. Vector equilibrium correction models with non-linear discontinuous adjustments
    Econometrics Journal, 2004, 7, (2), 628-651 View citations (32)

2002

22. 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 (87)
23. Mondialisation, mobilité du capital et volatilité macro-économique
    Économie et Prévision, 2002, 152, (1), 29-53
    Also in Economie & Prévision, 2002, n° 152-153, (1), 29-53 (2002)

1997

24. Fédéralisme budgétaire et stabilisation macroéconomique en Europe
    Revue Économique, 1997, 48, (3), 505-517
25. Une évaluation empirique de l'efficience du marché des changes
    Revue Économique, 1997, 48, (4), 921-936

1994

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

1993

28. Taux d'intérêt, politique monétaire et activité économique en France: un examen empirique
    Économie et Prévision, 1993, 109, (3), 13-24 View citations (1)
29. 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 (3)