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Details about Gilles Dufrénot

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Homepage:https://www.amse-aixmarseille.fr/users/dufrenot#profile-membres
Workplace:École d'Économie d'Aix-Marseille (Aix-Marseille School of Economics (AMSE)), Aix-Marseille Université (Aix-Marseille University), (more information at EDIRC)
Centre d'études prospectives et d'informations internationales (CEPII) (French Center in International Economics), (more information at EDIRC)

Access statistics for papers by Gilles Dufrénot.

Last updated 2023-01-19. Update your information in the RePEc Author Service.

Short-id: pdu14


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Working Papers

2022

  1. Potential growth and natural yield curve in Japan
    Post-Print, HAL View citations (1)
    Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2019) Downloads View citations (5)
    Working Papers, HAL (2019) Downloads View citations (5)

    See also Journal Article Potential growth and natural yield curve in Japan, Journal of International Money and Finance, Elsevier (2022) Downloads View citations (1) (2022)
  2. Sovereign bond market integration in the euro area: a new empirical conceptualization
    Post-Print, HAL Downloads
    See also Journal Article Sovereign bond market integration in the euro area: a new empirical conceptualization, Annals of Operations Research, Springer (2022) Downloads (2022)

2021

  1. A State-Space Model to Estimate Potential Growth in the Industrialized Countries
    PSE-Ecole d'économie de Paris (Postprint), HAL
    Also in Post-Print, HAL (2021)

    See also Chapter A State-Space Model to Estimate Potential Growth in the Industrialized Countries, Dynamic Modeling and Econometrics in Economics and Finance, Springer (2021) (2021)
  2. Crises épidémiques et mondialisation
    Post-Print, HAL
  3. Exchange rate policy and external vulnerabilities in Sub-Saharan Africa: nominal, real or mixed targeting?
    Post-Print, HAL Downloads
    Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2018) Downloads
    PSE-Ecole d'économie de Paris (Postprint), HAL (2021) Downloads
    Working Papers, HAL (2018) Downloads

    See also Journal Article Exchange rate policy and external vulnerabilities in Sub-Saharan Africa: nominal, real or mixed targeting?, Applied Economics, Taylor & Francis Journals (2021) Downloads (2021)
  4. How do inequalities affect the natural interest rate, and how do they impact monetary policy? Comparing Germany, Japan and the US
    AMSE Working Papers, Aix-Marseille School of Economics, France Downloads View citations (1)
    Also in Working Papers, HAL (2021) Downloads View citations (1)
    Working Papers, Department of Applied Economics II, Universidad de Valencia (2021) Downloads View citations (1)
  5. Linking Covid-19 epidemic and emerging market OAS: Evidence using dynamic copulas and Pareto distributions
    Working Papers, HAL Downloads
    Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2021) Downloads
  6. Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time Series
    Post-Print, HAL
    See also Chapter Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time Series, Dynamic Modeling and Econometrics in Economics and Finance, Springer (2021) (2021)
  7. Recent Econometric Techniques for Macroeconomic and Financial Data
    Post-Print, HAL View citations (2)
  8. Risk sharing in Europe: new empirical evidence on the capital markets channel
    Post-Print, HAL View citations (1)
    Also in Working papers, Banque de France (2020) Downloads View citations (1)

    See also Journal Article Risk sharing in Europe: new empirical evidence on the capital markets channel, Applied Economics, Taylor & Francis Journals (2021) Downloads View citations (2) (2021)
  9. The Effect of ENSO Shocks on Commodity Prices: A Multi-Time Scale Approach
    AMSE Working Papers, Aix-Marseille School of Economics, France Downloads View citations (4)
    Also in Working Papers, HAL (2021) Downloads View citations (3)

2020

  1. Mémoire longue dans les séries financières (Chapitre 2)
    Post-Print, HAL
  2. Unconventional monetary policy reaction functions: evidence from the US
    Post-Print, HAL Downloads View citations (2)
    See also Journal Article Unconventional monetary policy reaction functions: evidence from the US, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2020) Downloads View citations (2) (2020)

2019

  1. Does International Financial Integration Increase the Standard of Living in Africa? A Frontier Approach
    Working Papers, HAL Downloads View citations (3)
    Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2019) Downloads View citations (3)
  2. Power-law distribution in the external debt-to-fiscal revenue ratios: Empirical evidence and a theoretical model
    Post-Print, HAL Downloads View citations (2)
    See also Journal Article Power-law distribution in the external debt-to-fiscal revenue ratios: Empirical evidence and a theoretical model, Journal of Macroeconomics, Elsevier (2019) Downloads (2019)
  3. Public finance sustainability in Europe: a behavioral model
    Working Papers, HAL Downloads
    Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2019) Downloads

2018

  1. A model of fiscal dominance under the “Reinhart Conjecture”
    Post-Print, HAL View citations (5)
    See also Journal Article A model of fiscal dominance under the “Reinhart Conjecture”, Journal of Economic Dynamics and Control, Elsevier (2018) Downloads View citations (5) (2018)
  2. Inflation et macroéconomie dans la globalisation
    Post-Print, HAL
  3. Les pauvres vont-ils révolutionner le XXIe siècle ?: transcender le capitalisme
    Post-Print, HAL
  4. Recent developments in macro-econometric modeling: theory and applications
    Post-Print, HAL Downloads
    See also Journal Article Recent Developments in Macro-Econometric Modeling: Theory and Applications, Econometrics, MDPI (2018) Downloads (2018)
  5. Secular Stagnation: New Challenges for the Industrialized Countries in the 21st Century
    AMSE Working Papers, Aix-Marseille School of Economics, France Downloads View citations (2)
    Also in Working Papers, HAL (2018) Downloads View citations (2)
  6. Sovereign debt in emerging market countries: not all of them are serial defaulters
    Post-Print, HAL View citations (2)
    See also Journal Article Sovereign debt in emerging market countries: not all of them are serial defaulters, Applied Economics, Taylor & Francis Journals (2018) Downloads View citations (2) (2018)
  7. The third demographic dividend: measuring the “demographic tax” in the Arab Countries in Transition
    Working Papers, CEPII research center Downloads

2017

  1. Austérité budgétaire: remède ou poison ? La zone euro à l'épreuve de la crise
    Post-Print, HAL
  2. Introduction: recent developments of switching models for financial data
    Post-Print, HAL Downloads View citations (1)
    See also Journal Article Introduction: recent developments of switching models for financial data, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2017) Downloads View citations (1) (2017)
  3. Monetary Policy Switching in the Euro Area and Multiple Steady States: An Empirical Investigation
    Post-Print, HAL
    See also Journal Article MONETARY POLICY SWITCHING IN THE EURO AREA AND MULTIPLE STEADY STATES: AN EMPIRICAL INVESTIGATION, Macroeconomic Dynamics, Cambridge University Press (2017) Downloads (2017)

2016

  1. Advances and challenges in decision-making, monetary policy and financial markets
    Post-Print, HAL View citations (1)
    See also Journal Article Advances and challenges in decision-making, monetary policy and financial markets, Economic Modelling, Elsevier (2016) Downloads View citations (1) (2016)
  2. Fiscal policies enhancing growth in Europe: does one size fit all?
    Post-Print, HAL View citations (2)
    See also Journal Article Fiscal policies enhancing growth in Europe: does one size fit all?, Oxford Economic Papers, Oxford University Press (2016) Downloads View citations (2) (2016)
  3. Latin American Countries in Financial Globalization: Do We Have Learned from Past Crises?
    (L'Amérique latine dans la globalisation financière: a-t-on appris des crises passées ?)
    Post-Print, HAL Downloads
  4. Macroeconomic imbalances, financial stress and fiscal vulnerability in the euro area before the debt crises: A market view
    Post-Print, HAL Downloads View citations (10)
    See also Journal Article Macroeconomic imbalances, financial stress and fiscal vulnerability in the euro area before the debt crises: A market view, Journal of International Money and Finance, Elsevier (2016) Downloads View citations (12) (2016)
  5. Power-Law Distribution in the Debt-to-Fiscal Revenue Ratio: Empirical Evidence and a Theoretical Model
    Working Papers, HAL Downloads
    Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2016) Downloads
  6. Regime-Dependent Fiscal Multipliers in the United States
    Post-Print, HAL View citations (1)
    See also Journal Article Regime-Dependent Fiscal Multipliers in the United States, Open Economies Review, Springer (2016) Downloads View citations (1) (2016)
  7. Tax evasion, tax corruption and stochastic growth
    Post-Print, HAL View citations (8)
    Also in William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan (2013) Downloads View citations (1)
    Documents de Travail, CEREGMIA, Université des Antilles et de la Guyane (2013) Downloads

    See also Journal Article Tax evasion, tax corruption and stochastic growth, Economic Modelling, Elsevier (2016) Downloads View citations (14) (2016)

2015

  1. A Comparison of the Fed’s and ECB’s Strategies during the Subprime Crisis
    Post-Print, HAL View citations (1)
    See also Chapter A Comparison of the Fed’s and ECB’s Strategies during the Subprime Crisis, International Symposia in Economic Theory and Econometrics, Emerald Group Publishing Limited (2015) Downloads View citations (1) (2015)
  2. Financial integration and growth correlation in Sub-Saharan Africa
    Working papers, Banque de France Downloads View citations (1)
  3. Nonlinear effects of asset prices on fiscal policy: Evidence from the UK, Italy and Spain
    Post-Print, HAL View citations (3)
    See also Journal Article Nonlinear effects of asset prices on fiscal policy: Evidence from the UK, Italy and Spain, Economic Modelling, Elsevier (2015) Downloads View citations (6) (2015)
  4. Reactions to Shocks and Monetary Policy Regimes: Inflation Targeting Versus Flexible Currency Board in Sub-Saharan Africa
    Post-Print, HAL
    See also Journal Article Reactions to Shocks and Monetary Policy Regimes: Inflation Targeting Versus Flexible Currency Board in Sub-Saharan Africa, The Developing Economies, Institute of Developing Economies (2015) Downloads (2015)
  5. The ECOWAS countries’ growth rates: what makes them similar and what makes them different? A quantile regression analysis
    Post-Print, HAL View citations (2)

2014

  1. A small macro econometric model for Kazakhstan: a retrospective of alternative economic policies undertaken during the transition process
    Post-Print, HAL View citations (2)
    Also in Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon (2013) Downloads

    See also Journal Article A small macro econometric model for Kazakhstan: a retrospective of alternative economic policies undertaken during the transition process, Economic Change and Restructuring, Springer (2014) Downloads View citations (1) (2014)
  2. A small macro econometric model for Kazakhstan: a retrospective of alternative economic policies undertaken during the transition process [Working papers]
    Working Papers, HAL Downloads View citations (1)
  3. Anticipated Macroeconomic Fundamentals, Sovereign Spreads and Regime-Switching: The Case of the Euro Area
    Post-Print, HAL
  4. Business cycles synchronization in East Asia: A Markov-switching approach
    Post-Print, HAL View citations (12)
    Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2013) Downloads
    Working Papers, HAL (2013) Downloads

    See also Journal Article Business cycles synchronization in East Asia: A Markov-switching approach, Economic Modelling, Elsevier (2014) Downloads View citations (18) (2014)
  5. Fiscal Policy and Asset Price Cycles: Evidence from Four European Countries
    Post-Print, HAL
  6. Fiscal Policy and Macroeconomic Imbalances
    Workshop and Conferences, Bank of Italy, Economic Research and International Relations Area Downloads View citations (3)
  7. Global Imbalances And Financial Sector Instabilities: Introduction
    Post-Print, HAL
    See also Journal Article GLOBAL IMBALANCES AND FINANCIAL SECTOR INSTABILITIES: INTRODUCTION, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2014) Downloads (2014)
  8. Is financial repression a solution to reduce fiscal vulnerability? The example of France since the end of World War II
    Post-Print, HAL View citations (7)
    See also Journal Article Is financial repression a solution to reduce fiscal vulnerability? The example of France since the end of World War II, Applied Economics, Taylor & Francis Journals (2014) Downloads View citations (12) (2014)
  9. Managing the fragility of the Eurozone by Paul de Grauwe
    Post-Print, HAL View citations (4)
    See also Journal Article MANAGING THE FRAGILITY OF THE EUROZONE BY PAUL De GRAUWE, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2014) Downloads View citations (4) (2014)
  10. Market microstructure and nonlinear dynamics: keeping financial crisis in context
    Grenoble Ecole de Management (Post-Print), HAL View citations (2)
    Also in Post-Print, HAL (2014) View citations (1)
  11. Monetary Policy Switching in the Euro Area and Multiple Equilibria: An Empirical Investigation
    AMSE Working Papers, Aix-Marseille School of Economics, France Downloads View citations (1)
    Also in Working Papers, HAL (2014) Downloads View citations (1)
  12. New tools to assess fiscal and financial vulnerabilities in advanced economies
    Post-Print, HAL
    See also Journal Article New tools to assess fiscal and financial vulnerabilities in advanced economies, Applied Economics, Taylor & Francis Journals (2014) Downloads (2014)
  13. Shift-Volatility Transmission in East Asian Equity Markets
    AMSE Working Papers, Aix-Marseille School of Economics, France Downloads View citations (2)
    Also in Working Papers, HAL (2013) Downloads
  14. Shift-volatility transmission in East Asian equity markets: new indicators
    Post-Print, HAL View citations (4)
  15. Spillover effects of the 2008 global financial crisis on the volatility of the Indian equity markets: Coupling or uncoupling? A study on sector-based data
    Post-Print, HAL View citations (4)
    See also Journal Article Spillover effects of the 2008 global financial crisis on the volatility of the Indian equity markets: Coupling or uncoupling? A study on sector-based data, International Review of Financial Analysis, Elsevier (2014) Downloads View citations (4) (2014)
  16. Which of the real money gap or nominal money gap helped predict inflation in Europe? A retrospective analysis
    Post-Print, HAL

2013

  1. A smooth transition long-memory model
    Post-Print, HAL
    Also in Working Papers, HAL (2012) Downloads View citations (1)
    AMSE Working Papers, Aix-Marseille School of Economics, France (2012) Downloads View citations (4)

    See also Journal Article A smooth transition long-memory model, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2013) Downloads View citations (2) (2013)
  2. Computational tools in econometric modeling for macroeconomics and finance
    Grenoble Ecole de Management (Post-Print), HAL
    Also in Post-Print, HAL (2013) View citations (1)

    See also Journal Article Computational tools in econometric modeling for macroeconomics and finance, Economic Modelling, Elsevier (2013) Downloads View citations (1) (2013)
  3. Reactions to Shocks and Monetary Policy Regimes: Inflation Targeting Versus Flexible Currency Board in Ghana, South Africa and the WAEMU
    William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan Downloads View citations (2)
  4. Using time-varying transition probabilities in Markov switching processes to adjust US fiscal policy for asset prices
    Post-Print, HAL
    See also Journal Article Using time-varying transition probabilities in Markov switching processes to adjust US fiscal policy for asset prices, Economic Modelling, Elsevier (2013) Downloads View citations (6) (2013)
  5. West African Single Currency and Competitiveness
    Post-Print, HAL View citations (4)
    See also Journal Article West African Single Currency and Competitiveness, Review of Development Economics, Wiley Blackwell (2013) Downloads View citations (5) (2013)

2012

  1. Adjusting the U.S. Fiscal Policy for Asset Prices: Evidence from a TVP-MS Framework
    NIPE Working Papers, NIPE - Universidade do Minho Downloads View citations (1)
  2. Public debt ratio and its determinants in France since 1890 Does econometrics support the historical evidence?
    Working papers, Banque de France Downloads View citations (4)
  3. The effects of the subprime crisis on the Latin American financial markets: an empirical assessment
    Post-Print, HAL
    Also in Working Papers, CEPII research center (2010) Downloads View citations (2)
    Working Papers, HAL (2011) Downloads View citations (31)

    See also Journal Article The effects of the subprime crisis on the Latin American financial markets: An empirical assessment, Economic Modelling, Elsevier (2011) Downloads View citations (30) (2011)
  4. The slow convergence of per capita income between the developing countries: ‘growth resistance’ and sometimes ‘growth tragedy’
    Post-Print, HAL View citations (1)
    Also in Discussion Papers, University of Nottingham, CREDIT (2009) Downloads View citations (5)
  5. Why have governments succeeded in reducing French public debt historically and can these successes inspired us for the future? An historical perspective since 1890
    Working papers, Banque de France Downloads View citations (4)

2011

  1. Is the Impact of Macroeconomic Fundamentals on the Euro Area Sovereign Spread Influenced by Financial Reforms?
    (L'impact des fondamentaux macroéconomiques sur les spreads souverains de la zone euro est-il influencé par les réformes financières ?)
    Post-Print, HAL
  2. Les effets de la crise des subprimes sur le marché financier mexicain
    Post-Print, HAL
    See also Journal Article Les effets de la crise des subprimes sur le marché financier mexicain, Revue économique, Presses de Sciences-Po (2011) Downloads (2011)
  3. The Borrowing Behaviors of French Regions. How Heterogeneous Are They?
    (Les comportements d'emprunt des régions françaises. Quel degré d'hétérogénéité?)
    Post-Print, HAL

2010

  1. Après la Crise: les politiques économique dans le monde
    Post-Print, HAL
  2. Are the effects of fiscal changes different in times of crisis and non-crisis? The French Case
    Working papers, Banque de France Downloads View citations (2)
    See also Journal Article Are the effects of fiscal changes different in times of crisis and non crisis? The French case, Revue d'économie politique, Dalloz (2011) Downloads View citations (13) (2011)
  3. Asymmetric Terms-of-Trade Shocks in a Monetary Union: An Application to West Africa
    Post-Print, HAL View citations (4)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2010) View citations (6)

    See also Journal Article Asymmetric Terms-of-Trade Shocks in a Monetary Union: An Application to West Africa, Journal of African Economies, Centre for the Study of African Economies (2010) Downloads View citations (6) (2010)
  4. Financial spillovers from the US financial markets to the emerging markets during the subprime crisis: the example of Indian equity markets
    Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE) Downloads
    Also in Post-Print, HAL (2010)
  5. Fiscal developments in the euro area beyond the crisis: some lessons drawn from fiscal reaction functions
    Working papers, Banque de France Downloads
  6. Modeling transition in Central Asia: the Case of Kazakhstan
    William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan Downloads
  7. Pegging the future West African single currency in regard to internal/external competitiveness: a counterfactual analysis
    William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan Downloads
  8. Structural Reforms, Macroeconomic Policies and the Future of Kazakhstan Economy
    EcoMod2004, EcoMod Downloads
    Also in Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE) (2004) Downloads
  9. Testing the finance-growth link: is there a difference between developed and developing countries?
    Working Papers, HAL Downloads View citations (3)
    Also in Working Papers, HAL (2008) Downloads View citations (1)
    Working Papers, CEPII research center (2007) Downloads View citations (3)

    See also Journal Article Testing the finance-growth link: is there a difference between developed and developing countries?, Economics Bulletin, AccessEcon (2010) Downloads View citations (6) (2010)
  10. The French Regions’ Borrowing Behaviours. How heterogeneous are they?
    Working papers, Banque de France Downloads View citations (2)
  11. The changing role of house price dynamics over the business cycle
    Working papers, Banque de France Downloads View citations (2)
    See also Journal Article The changing role of house price dynamics over the business cycle, Economic Modelling, Elsevier (2012) Downloads View citations (8) (2012)

2009

  1. A forewarning indicator system for financial crises: the case of six Central and Eastern European countries
    Post-Print, HAL Downloads View citations (3)
    Also in Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE) (2007) Downloads View citations (3)
    Post-Print, HAL (2007) Downloads View citations (5)
    Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon (2007) Downloads View citations (5)
    William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan (2007) Downloads View citations (6)

    See also Journal Article A Forewarning Indicator System for Financial Crises: the Case of Six Central and Eastern European Countries, Journal of Economic Integration, Center for Economic Integration, Sejong University (2009) View citations (3) (2009)
  2. Finite sample properties of tests for STGARCH models and application to the US stock returns
    Post-Print, HAL
  3. Le comportement du taux de change allemand: mémoire longue ou dynamique non linéaire ?
    Post-Print, HAL
  4. Term of Trade Shocks in a Monetary Union: an Application to West-Africa
    Working Papers, CEPII research center Downloads View citations (7)
  5. The Trade-Growth Nexus in the Developing Countries: a Quantile Regression Approach
    Working Papers, CEPII research center Downloads View citations (15)
    See also Journal Article The trade-growth nexus in the developing countries: a quantile regression approach, Review of World Economics (Weltwirtschaftliches Archiv), Springer (2010) Downloads View citations (63) (2010)

2008

  1. A SIMPLE FRACTIONALLY INTEGRATED MODEL WITH A TIME-VARYING LONG MEMORY PARAMETER Dt - [Document de travail n°2008 - 10]
    Working Papers, HAL Downloads View citations (10)
  2. A simple fractionally integrated model with a time-varying long memory parameter dt
    Post-Print, HAL View citations (12)
    See also Journal Article A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t, Computational Economics, Springer (2008) Downloads View citations (14) (2008)
  3. Changing-regime volatility: A fractionally integrated SETAR model
    Post-Print, HAL Downloads View citations (3)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2008) Downloads View citations (6)
    Working Papers, HAL (2006) Downloads View citations (1)
    PSE-Ecole d'économie de Paris (Postprint), HAL (2008) Downloads View citations (2)

    See also Journal Article Changing-regime volatility: a fractionally integrated SETAR model, Applied Financial Economics, Taylor & Francis Journals (2008) Downloads View citations (5) (2008)
  4. Explaining the European exchange rates deviations: long memory or nonlinear adjustment?
    Post-Print, HAL View citations (23)
    See also Journal Article Explaining the European exchange rates deviations: Long memory or non-linear adjustment?, Journal of International Financial Markets, Institutions and Money, Elsevier (2008) Downloads View citations (26) (2008)
  5. Modelling the slow mean-reversion of the Central and Eastern European countries ' real exchange rates
    Post-Print, HAL
    See also Journal Article MODELLING THE SLOW MEAN‐REVERSION OF THE CENTRAL AND EASTERN EUROPEAN COUNTRIES' REAL EXCHANGE RATES*, Manchester School, University of Manchester (2008) Downloads View citations (1) (2008)
  6. Which predictor is the best to predict inflation in Europe: the real money-gap or a nominal money based indicator?
    Working Papers, HAL Downloads
    Also in Research Papers, Macquarie University, Department of Economics (2006) Downloads

2006

  1. Persistent misalignments of the European exchange rates: some evidence from non-linear cointegration
    Post-Print, HAL View citations (16)
    Also in International Finance, University Library of Munich, Germany (2003) Downloads
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2002) Downloads View citations (5)

    See also Journal Article Persistent misalignments of the European exchange rates: some evidence from non-linear cointegration, Applied Economics, Taylor & Francis Journals (2006) Downloads View citations (23) (2006)

2005

  1. Long-memory dynamics in a SETAR model - Applications to stock markets
    Post-Print, HAL Downloads View citations (9)
    See also Journal Article Long-memory dynamics in a SETAR model - applications to stock markets, Journal of International Financial Markets, Institutions and Money, Elsevier (2005) Downloads View citations (7) (2005)
  2. Modelling squared returns using a SETAR model with long-memory dynamics
    Post-Print, HAL Downloads View citations (8)
    See also Journal Article Modelling squared returns using a SETAR model with long-memory dynamics, Economics Letters, Elsevier (2005) Downloads View citations (12) (2005)
  3. Real Exchange Rate Misalignment: A Panel Co-Integration and Common Factor Analysis
    IMF Working Papers, International Monetary Fund Downloads View citations (29)

2004

  1. Business Cycles Asymmetry and Monetary Policy: A Further Investigation using MRSTAR Models
    Post-Print, HAL View citations (14)
    See also Journal Article Business cycles asymmetry and monetary policy: a further investigation using MRSTAR models, Economic Modelling, Elsevier (2004) Downloads View citations (19) (2004)
  2. Cointégration entre les taux de change et les fondamentaux: changement de régime ou mémoire longue ?
    Post-Print, HAL
    See also Journal Article Coïntégration entre les taux de change et les fondamentaux. Changement de régime ou mémoire longue ?, Revue économique, Presses de Sciences-Po (2004) Downloads (2004)
  3. Modeling the volatility of the US S&P500 index using an LSTGARCH model
    Post-Print, HAL
    See also Journal Article Modeling the volatility of the US SαP 500 index using an LSTGARCH model, Revue d'économie politique, Dalloz (2004) Downloads (2004)
  4. Structural reforms, macroeconomic policies and the future of Kazakhstan
    Post-Print, HAL Downloads

2003

  1. A SETAR model with long-memory dynamics
    Econometrics, University Library of Munich, Germany Downloads View citations (6)
  2. Business cycles asymmetry and monetary policy: a further investigatio= n=20 using MRSTAR models
    Macroeconomics, University Library of Munich, Germany Downloads View citations (1)
  3. Expliquer les déviations des taux de change européens: mémoire longue ou ajustement non linéaire ?
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
  4. Further Monte Carlo results on tests of GARCH against STGARCH models
    Post-Print, HAL
  5. LSTGARCH effects in stock returns: the case of U.S., U.K. and France
    Post-Print, HAL View citations (1)
  6. Modelling the misalignement of the Dollar-Sterling real exchange rate: A nonlinear cointegration perspective
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Downloads
    Also in International Finance, University Library of Munich, Germany (2003) Downloads

    See also Journal Article Modelling the misalignments of the Dollar-Sterling real exchange rate: A nonlinear cointegration perspective, Economics Bulletin, AccessEcon (2004) Downloads View citations (2) (2004)
  7. Real Exchange Rates in Central and Eastern Europe: What Scope for the Underlying Fundamentals?
    Development and Comp Systems, University Library of Munich, Germany Downloads View citations (2)
    Also in Development and Comp Systems, University Library of Munich, Germany (2003) Downloads View citations (7)
  8. Real exchange rate misalignment in Hungary: a fractionally integrated threshold model
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Downloads
  9. Real exhange rate misalignment in Hungary: a fractionally integrated=20 threshold model
    Econometrics, University Library of Munich, Germany Downloads

2001

  1. Modeling stock returns with multivariate LSTGARCH models
    Post-Print, HAL
  2. Modeling volatilities with LSTGARCH models: application to US, UK and France stock returns
    Post-Print, HAL
  3. Testing for transition variable in STGARCH Models
    Post-Print, HAL

Journal Articles

2022

  1. Potential growth and natural yield curve in Japan
    Journal of International Money and Finance, 2022, 124, (C) Downloads View citations (1)
    See also Working Paper Potential growth and natural yield curve in Japan, Post-Print (2022) View citations (1) (2022)
  2. Risque de stagnation séculaire et conséquences sur les taux d’intérêt réels
    Revue d'économie financière, 2022, N° 145, (1), 65-83 Downloads
  3. Sovereign bond market integration in the euro area: a new empirical conceptualization
    Annals of Operations Research, 2022, 318, (1), 147-161 Downloads
    See also Working Paper Sovereign bond market integration in the euro area: a new empirical conceptualization, Post-Print (2022) Downloads (2022)

2021

  1. Exchange rate policy and external vulnerabilities in Sub-Saharan Africa: nominal, real or mixed targeting?
    Applied Economics, 2021, 53, (3), 380-399 Downloads
    See also Working Paper Exchange rate policy and external vulnerabilities in Sub-Saharan Africa: nominal, real or mixed targeting?, Post-Print (2021) Downloads (2021)
  2. Risk sharing in Europe: new empirical evidence on the capital markets channel
    Applied Economics, 2021, 53, (2), 262-276 Downloads View citations (2)
    See also Working Paper Risk sharing in Europe: new empirical evidence on the capital markets channel, Post-Print (2021) View citations (1) (2021)

2020

  1. Unconventional monetary policy reaction functions: evidence from the US
    Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (4), 18 Downloads View citations (2)
    See also Working Paper Unconventional monetary policy reaction functions: evidence from the US, Post-Print (2020) Downloads View citations (2) (2020)

2019

  1. Power-law distribution in the external debt-to-fiscal revenue ratios: Empirical evidence and a theoretical model
    Journal of Macroeconomics, 2019, 60, (C), 341-359 Downloads
    See also Working Paper Power-law distribution in the external debt-to-fiscal revenue ratios: Empirical evidence and a theoretical model, Post-Print (2019) Downloads View citations (2) (2019)

2018

  1. A model of fiscal dominance under the “Reinhart Conjecture”
    Journal of Economic Dynamics and Control, 2018, 93, (C), 332-345 Downloads View citations (5)
    See also Working Paper A model of fiscal dominance under the “Reinhart Conjecture”, Post-Print (2018) View citations (5) (2018)
  2. Recent Developments in Macro-Econometric Modeling: Theory and Applications
    Econometrics, 2018, 6, (2), 1-5 Downloads
    See also Working Paper Recent developments in macro-econometric modeling: theory and applications, Post-Print (2018) Downloads (2018)
  3. Sovereign debt in emerging market countries: not all of them are serial defaulters
    Applied Economics, 2018, 50, (59), 6406-6443 Downloads View citations (2)
    See also Working Paper Sovereign debt in emerging market countries: not all of them are serial defaulters, Post-Print (2018) View citations (2) (2018)

2017

  1. Introduction: recent developments of switching models for financial data
    Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (1), 1-2 Downloads View citations (1)
    See also Working Paper Introduction: recent developments of switching models for financial data, Post-Print (2017) Downloads View citations (1) (2017)
  2. MONETARY POLICY SWITCHING IN THE EURO AREA AND MULTIPLE STEADY STATES: AN EMPIRICAL INVESTIGATION
    Macroeconomic Dynamics, 2017, 21, (5), 1175-1188 Downloads
    See also Working Paper Monetary Policy Switching in the Euro Area and Multiple Steady States: An Empirical Investigation, Post-Print (2017) (2017)

2016

  1. Advances and challenges in decision-making, monetary policy and financial markets
    Economic Modelling, 2016, 52, (PA), 1-2 Downloads View citations (1)
    See also Working Paper Advances and challenges in decision-making, monetary policy and financial markets, Post-Print (2016) View citations (1) (2016)
  2. Fiscal policies enhancing growth in Europe: does one size fit all?
    Oxford Economic Papers, 2016, 68, (4), 1146-1165 Downloads View citations (2)
    See also Working Paper Fiscal policies enhancing growth in Europe: does one size fit all?, Post-Print (2016) View citations (2) (2016)
  3. L'Amérique latine dans la globalisation financière: a-t-on appris des crises passées ?
    Revue d'économie financière, 2016, n° 124, (4), 61-77 Downloads
  4. Macroeconomic imbalances, financial stress and fiscal vulnerability in the euro area before the debt crises: A market view
    Journal of International Money and Finance, 2016, 67, (C), 123-146 Downloads View citations (12)
    See also Working Paper Macroeconomic imbalances, financial stress and fiscal vulnerability in the euro area before the debt crises: A market view, Post-Print (2016) Downloads View citations (10) (2016)
  5. Regime-Dependent Fiscal Multipliers in the United States
    Open Economies Review, 2016, 27, (5), 923-944 Downloads View citations (1)
    See also Working Paper Regime-Dependent Fiscal Multipliers in the United States, Post-Print (2016) View citations (1) (2016)
  6. Tax evasion, tax corruption and stochastic growth
    Economic Modelling, 2016, 52, (PA), 251-258 Downloads View citations (14)
    See also Working Paper Tax evasion, tax corruption and stochastic growth, Post-Print (2016) View citations (8) (2016)

2015

  1. Nonlinear effects of asset prices on fiscal policy: Evidence from the UK, Italy and Spain
    Economic Modelling, 2015, 44, (C), 358-362 Downloads View citations (6)
    See also Working Paper Nonlinear effects of asset prices on fiscal policy: Evidence from the UK, Italy and Spain, Post-Print (2015) View citations (3) (2015)
  2. Reactions to Shocks and Monetary Policy Regimes: Inflation Targeting Versus Flexible Currency Board in Sub-Saharan Africa
    The Developing Economies, 2015, 53, (4), 237-271 Downloads
    See also Working Paper Reactions to Shocks and Monetary Policy Regimes: Inflation Targeting Versus Flexible Currency Board in Sub-Saharan Africa, Post-Print (2015) (2015)

2014

  1. A small macro econometric model for Kazakhstan: a retrospective of alternative economic policies undertaken during the transition process
    Economic Change and Restructuring, 2014, 47, (1), 1-39 Downloads View citations (1)
    See also Working Paper A small macro econometric model for Kazakhstan: a retrospective of alternative economic policies undertaken during the transition process, Post-Print (2014) View citations (2) (2014)
  2. Business cycles synchronization in East Asia: A Markov-switching approach
    Economic Modelling, 2014, 42, (C), 186-197 Downloads View citations (18)
    See also Working Paper Business cycles synchronization in East Asia: A Markov-switching approach, Post-Print (2014) View citations (12) (2014)
  3. GLOBAL IMBALANCES AND FINANCIAL SECTOR INSTABILITIES: INTRODUCTION
    International Journal of Finance & Economics, 2014, 19, (1), 1-2 Downloads
    See also Working Paper Global Imbalances And Financial Sector Instabilities: Introduction, Post-Print (2014) (2014)
  4. Is financial repression a solution to reduce fiscal vulnerability? The example of France since the end of World War II
    Applied Economics, 2014, 46, (6), 629-637 Downloads View citations (12)
    See also Working Paper Is financial repression a solution to reduce fiscal vulnerability? The example of France since the end of World War II, Post-Print (2014) View citations (7) (2014)
  5. MANAGING THE FRAGILITY OF THE EUROZONE BY PAUL De GRAUWE
    International Journal of Finance & Economics, 2014, 19, (1), 3-11 Downloads View citations (4)
    See also Working Paper Managing the fragility of the Eurozone by Paul de Grauwe, Post-Print (2014) View citations (4) (2014)
  6. New tools to assess fiscal and financial vulnerabilities in advanced economies
    Applied Economics, 2014, 46, (6), 587-588 Downloads
    See also Working Paper New tools to assess fiscal and financial vulnerabilities in advanced economies, Post-Print (2014) (2014)
  7. Spillover effects of the 2008 global financial crisis on the volatility of the Indian equity markets: Coupling or uncoupling? A study on sector-based data
    International Review of Financial Analysis, 2014, 33, (C), 17-32 Downloads View citations (4)
    See also Working Paper Spillover effects of the 2008 global financial crisis on the volatility of the Indian equity markets: Coupling or uncoupling? A study on sector-based data, Post-Print (2014) View citations (4) (2014)

2013

  1. A smooth transition long-memory model
    Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (3), 281-296 Downloads View citations (2)
    See also Working Paper A smooth transition long-memory model, Post-Print (2013) (2013)
  2. Computational tools in econometric modeling for macroeconomics and finance
    Economic Modelling, 2013, 34, (C), 1-4 Downloads View citations (1)
    See also Working Paper Computational tools in econometric modeling for macroeconomics and finance, Grenoble Ecole de Management (Post-Print) (2013) (2013)
  3. Using time-varying transition probabilities in Markov switching processes to adjust US fiscal policy for asset prices
    Economic Modelling, 2013, 34, (C), 25-36 Downloads View citations (6)
    See also Working Paper Using time-varying transition probabilities in Markov switching processes to adjust US fiscal policy for asset prices, Post-Print (2013) (2013)
  4. West African Single Currency and Competitiveness
    Review of Development Economics, 2013, 17, (4), 763-777 Downloads View citations (5)
    See also Working Paper West African Single Currency and Competitiveness, Post-Print (2013) View citations (4) (2013)

2012

  1. Indicateurs de vulnérabilité macroéconomiques et financiers dans les économies avancées. Synthèse d’une conférence organisée à Strasbourg les 13 et 14 septembre 2012
    Bulletin de la Banque de France, 2012, (190), 135-142 Downloads
  2. Macroeconomic and financial vulnerability indicators in advanced economies Summary of the conference of 13-14 September 2012 organised by the Banque de France and the University of Strasbourg
    Quarterly selection of articles - Bulletin de la Banque de France, 2012, (28), 101-109 Downloads
  3. TESTING CATCHING-UP BETWEEN THE DEVELOPING COUNTRIES: “GROWTH RESISTANCE” AND SOMETIMES “GROWTH TRAGEDY”
    Bulletin of Economic Research, 2012, 64, (4), 470-508 Downloads View citations (3)
  4. The changing role of house price dynamics over the business cycle
    Economic Modelling, 2012, 29, (5), 1960-1967 Downloads View citations (8)
    See also Working Paper The changing role of house price dynamics over the business cycle, Working papers (2010) Downloads View citations (2) (2010)

2011

  1. Are the effects of fiscal changes different in times of crisis and non crisis? The French case
    Revue d'économie politique, 2011, 121, (3), 371-407 Downloads View citations (13)
    See also Working Paper Are the effects of fiscal changes different in times of crisis and non-crisis? The French Case, Working papers (2010) Downloads View citations (2) (2010)
  2. L'impact des fondamentaux macroéconomiques sur les spreads souverains de la zone euro est-il influencé par les réformes financières ?
    Revue économique, 2011, 62, (6), 1135-1145 Downloads
  3. Les comportements d'emprunt des régions françaises. Quel degré d'hétérogénéité ?
    Revue économique, 2011, 62, (5), 919-940 Downloads
  4. Les effets de la crise des subprimes sur le marché financier mexicain
    Revue économique, 2011, 62, (3), 461-470 Downloads
    See also Working Paper Les effets de la crise des subprimes sur le marché financier mexicain, Post-Print (2011) (2011)
  5. Monetary autonomy in the West African countries: What do the policy rules tell us?
    Journal of International Development, 2011, 23, (1), 63-81 Downloads View citations (2)
  6. New Challenges for Public Debt in Advanced Economies
    Revue économique, 2011, 62, (6), 971-974 Downloads View citations (1)
  7. Nouveaux défis pour la dette publique dans les pays avancés
    Revue économique, 2011, 62, (6), 965-969 Downloads
  8. The effects of the subprime crisis on the Latin American financial markets: An empirical assessment
    Economic Modelling, 2011, 28, (5), 2342-2357 Downloads View citations (30)
    See also Working Paper The effects of the subprime crisis on the Latin American financial markets: an empirical assessment, Post-Print (2012) (2012)

2010

  1. Asymmetric Terms-of-Trade Shocks in a Monetary Union: An Application to West Africa
    Journal of African Economies, 2010, 19, (5), 657-690 Downloads View citations (6)
    See also Working Paper Asymmetric Terms-of-Trade Shocks in a Monetary Union: An Application to West Africa, Post-Print (2010) View citations (4) (2010)
  2. Is Per Capita Growth in Africa Hampered by Poor Governance and Weak Institutions? An Empirical Study on the ECOWAS Countries
    African Development Review, 2010, 22, (2), 265-275 View citations (18)
  3. New challenges for public debt in advanced economies Summary of the conference held in Strasbourg on 16-17 September 2010
    Quarterly selection of articles - Bulletin de la Banque de France, 2010, (20), 95-107 Downloads
  4. Nouveaux défis pour la dette publique dans les pays avancés: synthèse du colloque tenu à Strasbourg les 16 et 17 septembre 2010
    Bulletin de la Banque de France, 2010, (182), 87-94 Downloads
  5. Testing the finance-growth link: is there a difference between developed and developing countries?
    Economics Bulletin, 2010, 30, (3), 1794-1807 Downloads View citations (6)
    See also Working Paper Testing the finance-growth link: is there a difference between developed and developing countries?, Working Papers (2010) Downloads View citations (3) (2010)
  6. The trade-growth nexus in the developing countries: a quantile regression approach
    Review of World Economics (Weltwirtschaftliches Archiv), 2010, 146, (4), 731-761 Downloads View citations (63)
    See also Working Paper The Trade-Growth Nexus in the Developing Countries: a Quantile Regression Approach, Working Papers (2009) Downloads View citations (15) (2009)

2009

  1. A Forewarning Indicator System for Financial Crises: the Case of Six Central and Eastern European Countries
    Journal of Economic Integration, 2009, 24, 87-115 View citations (3)
    See also Working Paper A forewarning indicator system for financial crises: the case of six Central and Eastern European countries, Post-Print (2009) Downloads View citations (3) (2009)
  2. CREDIT POLICY STRESS IN THE WEST AFRICAN ECONOMIC AND MONETARY UNION
    The Developing Economies, 2009, 47, (4), 410-435 Downloads

2008

  1. A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t
    Computational Economics, 2008, 31, (3), 225-241 Downloads View citations (14)
    See also Working Paper A simple fractionally integrated model with a time-varying long memory parameter dt, Post-Print (2008) View citations (12) (2008)
  2. Changing-regime volatility: a fractionally integrated SETAR model
    Applied Financial Economics, 2008, 18, (7), 519-526 Downloads View citations (5)
    See also Working Paper Changing-regime volatility: A fractionally integrated SETAR model, Post-Print (2008) Downloads View citations (3) (2008)
  3. Explaining the European exchange rates deviations: Long memory or non-linear adjustment?
    Journal of International Financial Markets, Institutions and Money, 2008, 18, (3), 207-215 Downloads View citations (26)
    See also Working Paper Explaining the European exchange rates deviations: long memory or nonlinear adjustment?, Post-Print (2008) View citations (23) (2008)
  4. MODELLING THE SLOW MEAN‐REVERSION OF THE CENTRAL AND EASTERN EUROPEAN COUNTRIES' REAL EXCHANGE RATES*
    Manchester School, 2008, 76, (1), 21-43 Downloads View citations (1)
    See also Working Paper Modelling the slow mean-reversion of the Central and Eastern European countries ' real exchange rates, Post-Print (2008) (2008)

2007

  1. Macroeconomic policies in the Franc Zone, by David Fielding (Basingstoke: Palgrave Macmillan, 2005, pp. 240)
    Journal of International Development, 2007, 19, (3), 447-448 Downloads

2006

  1. Persistent misalignments of the European exchange rates: some evidence from non-linear cointegration
    Applied Economics, 2006, 38, (2), 203-229 Downloads View citations (23)
    See also Working Paper Persistent misalignments of the European exchange rates: some evidence from non-linear cointegration, Post-Print (2006) View citations (16) (2006)

2005

  1. Long-memory dynamics in a SETAR model - applications to stock markets
    Journal of International Financial Markets, Institutions and Money, 2005, 15, (5), 391-406 Downloads View citations (7)
    See also Working Paper Long-memory dynamics in a SETAR model - Applications to stock markets, Post-Print (2005) Downloads View citations (9) (2005)
  2. Modelling squared returns using a SETAR model with long-memory dynamics
    Economics Letters, 2005, 86, (2), 237-243 Downloads View citations (12)
    See also Working Paper Modelling squared returns using a SETAR model with long-memory dynamics, Post-Print (2005) Downloads View citations (8) (2005)

2004

  1. Business cycles asymmetry and monetary policy: a further investigation using MRSTAR models
    Economic Modelling, 2004, 21, (1), 37-71 Downloads View citations (19)
    See also Working Paper Business Cycles Asymmetry and Monetary Policy: A Further Investigation using MRSTAR Models, Post-Print (2004) View citations (14) (2004)
  2. Coïntégration entre les taux de change et les fondamentaux. Changement de régime ou mémoire longue ?
    Revue économique, 2004, 55, (3), 449-458 Downloads
    See also Working Paper Cointégration entre les taux de change et les fondamentaux: changement de régime ou mémoire longue ?, Post-Print (2004) (2004)
  3. Modeling the French Consumption Function Using SETAR Models
    Economics Bulletin, 2004, 3, (20), 1-16 Downloads View citations (7)
  4. Modeling the volatility of the US SαP 500 index using an LSTGARCH model
    Revue d'économie politique, 2004, 114, (4), 453-465 Downloads
    See also Working Paper Modeling the volatility of the US S&P500 index using an LSTGARCH model, Post-Print (2004) (2004)
  5. Modelling the misalignments of the Dollar-Sterling real exchange rate: A nonlinear cointegration perspective
    Economics Bulletin, 2004, 3, (19), 1-11 Downloads View citations (2)
    See also Working Paper Modelling the misalignement of the Dollar-Sterling real exchange rate: A nonlinear cointegration perspective, THEMA Working Papers (2003) Downloads (2003)

2002

  1. La cointégration non linéaire: une note méthodologique
    Économie et Prévision, 2002, 155, (4), 117-137 Downloads View citations (1)
    Also in Economie & Prévision, 2002, 155, (4), 117-137 (2002) Downloads View citations (1)

1994

  1. Les théories explicatives du taux de change: de Cassel au début des années quatre-vingt
    Revue Française d'Économie, 1994, 9, (3), 53-111 Downloads
  2. METHODS IN ECONOMICS: TESTING FOR LINEARITY
    Journal des Economistes et des Etudes Humaines, 1994, 5, (2-3), 393-408 Downloads

Edited books

2021

  1. Recent Econometric Techniques for Macroeconomic and Financial Data
    Dynamic Modeling and Econometrics in Economics and Finance, Springer View citations (2)

2014

  1. Market Microstructure and Nonlinear Dynamics
    Springer Books, Springer View citations (6)

Chapters

2021

  1. A State-Space Model to Estimate Potential Growth in the Industrialized Countries
    Springer
    See also Working Paper A State-Space Model to Estimate Potential Growth in the Industrialized Countries, HAL (2021) (2021)
  2. Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time Series
    Springer
    See also Working Paper Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time Series, HAL (2021) (2021)

2018

  1. Financial Integration and Business Cycle Synchronization in Sub-Saharan Africa
    Springer

2015

  1. A Comparison of the Fed’s and ECB’s Strategies during the Subprime Crisis
    A chapter in Monetary Policy in the Context of the Financial Crisis: New Challenges and Lessons, 2015, vol. 24, pp 419-449 Downloads View citations (1)
    See also Working Paper A Comparison of the Fed’s and ECB’s Strategies during the Subprime Crisis, HAL (2015) View citations (1) (2015)
 
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