Details about Gilles Dufrénot
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
- 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) View citations (5) Working Papers, HAL (2019) View citations (5)
See also Journal Article Potential growth and natural yield curve in Japan, Journal of International Money and Finance, Elsevier (2022) View citations (1) (2022)
- Sovereign bond market integration in the euro area: a new empirical conceptualization
Post-Print, HAL 
See also Journal Article Sovereign bond market integration in the euro area: a new empirical conceptualization, Annals of Operations Research, Springer (2022) (2022)
2021
- 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)
- Crises épidémiques et mondialisation
Post-Print, HAL
- Exchange rate policy and external vulnerabilities in Sub-Saharan Africa: nominal, real or mixed targeting?
Post-Print, HAL 
Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2018)  PSE-Ecole d'économie de Paris (Postprint), HAL (2021)  Working Papers, HAL (2018) 
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) (2021)
- 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 View citations (1)
Also in Working Papers, HAL (2021) View citations (1) Working Papers, Department of Applied Economics II, Universidad de Valencia (2021) View citations (1)
- Linking Covid-19 epidemic and emerging market OAS: Evidence using dynamic copulas and Pareto distributions
Working Papers, HAL 
Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2021)
- 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)
- Recent Econometric Techniques for Macroeconomic and Financial Data
Post-Print, HAL View citations (2)
- 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) 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) View citations (2) (2021)
- The Effect of ENSO Shocks on Commodity Prices: A Multi-Time Scale Approach
AMSE Working Papers, Aix-Marseille School of Economics, France View citations (4)
Also in Working Papers, HAL (2021) View citations (3)
2020
- Mémoire longue dans les séries financières (Chapitre 2)
Post-Print, HAL
- Unconventional monetary policy reaction functions: evidence from the US
Post-Print, HAL View citations (2)
See also Journal Article Unconventional monetary policy reaction functions: evidence from the US, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2020) View citations (2) (2020)
2019
- Does International Financial Integration Increase the Standard of Living in Africa? A Frontier Approach
Working Papers, HAL View citations (3)
Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2019) View citations (3)
- Power-law distribution in the external debt-to-fiscal revenue ratios: Empirical evidence and a theoretical model
Post-Print, HAL 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) (2019)
- Public finance sustainability in Europe: a behavioral model
Working Papers, HAL 
Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2019)
2018
- 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) View citations (5) (2018)
- Inflation et macroéconomie dans la globalisation
Post-Print, HAL
- Les pauvres vont-ils révolutionner le XXIe siècle ?: transcender le capitalisme
Post-Print, HAL
- Recent developments in macro-econometric modeling: theory and applications
Post-Print, HAL 
See also Journal Article Recent Developments in Macro-Econometric Modeling: Theory and Applications, Econometrics, MDPI (2018) (2018)
- Secular Stagnation: New Challenges for the Industrialized Countries in the 21st Century
AMSE Working Papers, Aix-Marseille School of Economics, France View citations (2)
Also in Working Papers, HAL (2018) View citations (2)
- 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) View citations (2) (2018)
- The third demographic dividend: measuring the “demographic tax” in the Arab Countries in Transition
Working Papers, CEPII research center
2017
- Austérité budgétaire: remède ou poison ? La zone euro à l'épreuve de la crise
Post-Print, HAL
- Introduction: recent developments of switching models for financial data
Post-Print, HAL View citations (1)
See also Journal Article Introduction: recent developments of switching models for financial data, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2017) View citations (1) (2017)
- 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) (2017)
2016
- 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) View citations (1) (2016)
- 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) View citations (2) (2016)
- 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
- Macroeconomic imbalances, financial stress and fiscal vulnerability in the euro area before the debt crises: A market view
Post-Print, HAL 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) View citations (12) (2016)
- Power-Law Distribution in the Debt-to-Fiscal Revenue Ratio: Empirical Evidence and a Theoretical Model
Working Papers, HAL 
Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2016)
- 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) View citations (1) (2016)
- 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) View citations (1) Documents de Travail, CEREGMIA, Université des Antilles et de la Guyane (2013) 
See also Journal Article Tax evasion, tax corruption and stochastic growth, Economic Modelling, Elsevier (2016) View citations (14) (2016)
2015
- 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) View citations (1) (2015)
- Financial integration and growth correlation in Sub-Saharan Africa
Working papers, Banque de France View citations (1)
- 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) View citations (6) (2015)
- 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) (2015)
- 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
- 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) 
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) View citations (1) (2014)
- A small macro econometric model for Kazakhstan: a retrospective of alternative economic policies undertaken during the transition process [Working papers]
Working Papers, HAL View citations (1)
- Anticipated Macroeconomic Fundamentals, Sovereign Spreads and Regime-Switching: The Case of the Euro Area
Post-Print, HAL
- 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)  Working Papers, HAL (2013) 
See also Journal Article Business cycles synchronization in East Asia: A Markov-switching approach, Economic Modelling, Elsevier (2014) View citations (18) (2014)
- Fiscal Policy and Asset Price Cycles: Evidence from Four European Countries
Post-Print, HAL
- Fiscal Policy and Macroeconomic Imbalances
Workshop and Conferences, Bank of Italy, Economic Research and International Relations Area View citations (3)
- 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) (2014)
- 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) View citations (12) (2014)
- 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) View citations (4) (2014)
- 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)
- Monetary Policy Switching in the Euro Area and Multiple Equilibria: An Empirical Investigation
AMSE Working Papers, Aix-Marseille School of Economics, France View citations (1)
Also in Working Papers, HAL (2014) View citations (1)
- 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) (2014)
- Shift-Volatility Transmission in East Asian Equity Markets
AMSE Working Papers, Aix-Marseille School of Economics, France View citations (2)
Also in Working Papers, HAL (2013)
- Shift-volatility transmission in East Asian equity markets: new indicators
Post-Print, HAL View citations (4)
- 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) View citations (4) (2014)
- Which of the real money gap or nominal money gap helped predict inflation in Europe? A retrospective analysis
Post-Print, HAL
2013
- A smooth transition long-memory model
Post-Print, HAL
Also in Working Papers, HAL (2012) View citations (1) AMSE Working Papers, Aix-Marseille School of Economics, France (2012) View citations (4)
See also Journal Article A smooth transition long-memory model, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2013) View citations (2) (2013)
- 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) View citations (1) (2013)
- 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 View citations (2)
- 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) View citations (6) (2013)
- 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) View citations (5) (2013)
2012
- Adjusting the U.S. Fiscal Policy for Asset Prices: Evidence from a TVP-MS Framework
NIPE Working Papers, NIPE - Universidade do Minho View citations (1)
- Public debt ratio and its determinants in France since 1890 Does econometrics support the historical evidence?
Working papers, Banque de France View citations (4)
- 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) View citations (2) Working Papers, HAL (2011) 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) View citations (30) (2011)
- 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) View citations (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 View citations (4)
2011
- 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
- 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) (2011)
- 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
- Après la Crise: les politiques économique dans le monde
Post-Print, HAL
- Are the effects of fiscal changes different in times of crisis and non-crisis? The French Case
Working papers, Banque de France 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) View citations (13) (2011)
- 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) View citations (6) (2010)
- 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) 
Also in Post-Print, HAL (2010)
- Fiscal developments in the euro area beyond the crisis: some lessons drawn from fiscal reaction functions
Working papers, Banque de France
- Modeling transition in Central Asia: the Case of Kazakhstan
William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan
- 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
- Structural Reforms, Macroeconomic Policies and the Future of Kazakhstan Economy
EcoMod2004, EcoMod 
Also in Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE) (2004)
- Testing the finance-growth link: is there a difference between developed and developing countries?
Working Papers, HAL View citations (3)
Also in Working Papers, HAL (2008) View citations (1) Working Papers, CEPII research center (2007) 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) View citations (6) (2010)
- The French Regions’ Borrowing Behaviours. How heterogeneous are they?
Working papers, Banque de France View citations (2)
- The changing role of house price dynamics over the business cycle
Working papers, Banque de France View citations (2)
See also Journal Article The changing role of house price dynamics over the business cycle, Economic Modelling, Elsevier (2012) View citations (8) (2012)
2009
- A forewarning indicator system for financial crises: the case of six Central and Eastern European countries
Post-Print, HAL View citations (3)
Also in Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE) (2007) View citations (3) Post-Print, HAL (2007) View citations (5) Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon (2007) View citations (5) William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan (2007) 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)
- Finite sample properties of tests for STGARCH models and application to the US stock returns
Post-Print, HAL
- Le comportement du taux de change allemand: mémoire longue ou dynamique non linéaire ?
Post-Print, HAL
- Term of Trade Shocks in a Monetary Union: an Application to West-Africa
Working Papers, CEPII research center View citations (7)
- The Trade-Growth Nexus in the Developing Countries: a Quantile Regression Approach
Working Papers, CEPII research center 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) View citations (63) (2010)
2008
- A SIMPLE FRACTIONALLY INTEGRATED MODEL WITH A TIME-VARYING LONG MEMORY PARAMETER Dt - [Document de travail n°2008 - 10]
Working Papers, HAL View citations (10)
- 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) View citations (14) (2008)
- Changing-regime volatility: A fractionally integrated SETAR model
Post-Print, HAL View citations (3)
Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2008) View citations (6) Working Papers, HAL (2006) View citations (1) PSE-Ecole d'économie de Paris (Postprint), HAL (2008) View citations (2)
See also Journal Article Changing-regime volatility: a fractionally integrated SETAR model, Applied Financial Economics, Taylor & Francis Journals (2008) View citations (5) (2008)
- 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) View citations (26) (2008)
- 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) View citations (1) (2008)
- Which predictor is the best to predict inflation in Europe: the real money-gap or a nominal money based indicator?
Working Papers, HAL 
Also in Research Papers, Macquarie University, Department of Economics (2006)
2006
- 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)  THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2002) 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) View citations (23) (2006)
2005
- Long-memory dynamics in a SETAR model - Applications to stock markets
Post-Print, HAL 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) View citations (7) (2005)
- Modelling squared returns using a SETAR model with long-memory dynamics
Post-Print, HAL View citations (8)
See also Journal Article Modelling squared returns using a SETAR model with long-memory dynamics, Economics Letters, Elsevier (2005) View citations (12) (2005)
- Real Exchange Rate Misalignment: A Panel Co-Integration and Common Factor Analysis
IMF Working Papers, International Monetary Fund View citations (29)
2004
- 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) View citations (19) (2004)
- 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) (2004)
- 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) (2004)
- Structural reforms, macroeconomic policies and the future of Kazakhstan
Post-Print, HAL
2003
- A SETAR model with long-memory dynamics
Econometrics, University Library of Munich, Germany View citations (6)
- Business cycles asymmetry and monetary policy: a further investigatio= n=20 using MRSTAR models
Macroeconomics, University Library of Munich, Germany View citations (1)
- 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
- Further Monte Carlo results on tests of GARCH against STGARCH models
Post-Print, HAL
- LSTGARCH effects in stock returns: the case of U.S., U.K. and France
Post-Print, HAL View citations (1)
- 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 
Also in International Finance, University Library of Munich, Germany (2003) 
See also Journal Article Modelling the misalignments of the Dollar-Sterling real exchange rate: A nonlinear cointegration perspective, Economics Bulletin, AccessEcon (2004) View citations (2) (2004)
- Real Exchange Rates in Central and Eastern Europe: What Scope for the Underlying Fundamentals?
Development and Comp Systems, University Library of Munich, Germany View citations (2)
Also in Development and Comp Systems, University Library of Munich, Germany (2003) View citations (7)
- Real exchange rate misalignment in Hungary: a fractionally integrated threshold model
THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
- Real exhange rate misalignment in Hungary: a fractionally integrated=20 threshold model
Econometrics, University Library of Munich, Germany
2001
- Modeling stock returns with multivariate LSTGARCH models
Post-Print, HAL
- Modeling volatilities with LSTGARCH models: application to US, UK and France stock returns
Post-Print, HAL
- Testing for transition variable in STGARCH Models
Post-Print, HAL
Journal Articles
2022
- Potential growth and natural yield curve in Japan
Journal of International Money and Finance, 2022, 124, (C) View citations (1)
See also Working Paper Potential growth and natural yield curve in Japan, Post-Print (2022) View citations (1) (2022)
- Risque de stagnation séculaire et conséquences sur les taux d’intérêt réels
Revue d'économie financière, 2022, N° 145, (1), 65-83
- Sovereign bond market integration in the euro area: a new empirical conceptualization
Annals of Operations Research, 2022, 318, (1), 147-161 
See also Working Paper Sovereign bond market integration in the euro area: a new empirical conceptualization, Post-Print (2022) (2022)
2021
- Exchange rate policy and external vulnerabilities in Sub-Saharan Africa: nominal, real or mixed targeting?
Applied Economics, 2021, 53, (3), 380-399 
See also Working Paper Exchange rate policy and external vulnerabilities in Sub-Saharan Africa: nominal, real or mixed targeting?, Post-Print (2021) (2021)
- Risk sharing in Europe: new empirical evidence on the capital markets channel
Applied Economics, 2021, 53, (2), 262-276 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
- Unconventional monetary policy reaction functions: evidence from the US
Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (4), 18 View citations (2)
See also Working Paper Unconventional monetary policy reaction functions: evidence from the US, Post-Print (2020) View citations (2) (2020)
2019
- 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 
See also Working Paper Power-law distribution in the external debt-to-fiscal revenue ratios: Empirical evidence and a theoretical model, Post-Print (2019) View citations (2) (2019)
2018
- A model of fiscal dominance under the “Reinhart Conjecture”
Journal of Economic Dynamics and Control, 2018, 93, (C), 332-345 View citations (5)
See also Working Paper A model of fiscal dominance under the “Reinhart Conjecture”, Post-Print (2018) View citations (5) (2018)
- Recent Developments in Macro-Econometric Modeling: Theory and Applications
Econometrics, 2018, 6, (2), 1-5 
See also Working Paper Recent developments in macro-econometric modeling: theory and applications, Post-Print (2018) (2018)
- Sovereign debt in emerging market countries: not all of them are serial defaulters
Applied Economics, 2018, 50, (59), 6406-6443 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
- Introduction: recent developments of switching models for financial data
Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (1), 1-2 View citations (1)
See also Working Paper Introduction: recent developments of switching models for financial data, Post-Print (2017) View citations (1) (2017)
- MONETARY POLICY SWITCHING IN THE EURO AREA AND MULTIPLE STEADY STATES: AN EMPIRICAL INVESTIGATION
Macroeconomic Dynamics, 2017, 21, (5), 1175-1188 
See also Working Paper Monetary Policy Switching in the Euro Area and Multiple Steady States: An Empirical Investigation, Post-Print (2017) (2017)
2016
- Advances and challenges in decision-making, monetary policy and financial markets
Economic Modelling, 2016, 52, (PA), 1-2 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)
- Fiscal policies enhancing growth in Europe: does one size fit all?
Oxford Economic Papers, 2016, 68, (4), 1146-1165 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)
- L'Amérique latine dans la globalisation financière: a-t-on appris des crises passées ?
Revue d'économie financière, 2016, n° 124, (4), 61-77
- 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 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) View citations (10) (2016)
- Regime-Dependent Fiscal Multipliers in the United States
Open Economies Review, 2016, 27, (5), 923-944 View citations (1)
See also Working Paper Regime-Dependent Fiscal Multipliers in the United States, Post-Print (2016) View citations (1) (2016)
- Tax evasion, tax corruption and stochastic growth
Economic Modelling, 2016, 52, (PA), 251-258 View citations (14)
See also Working Paper Tax evasion, tax corruption and stochastic growth, Post-Print (2016) View citations (8) (2016)
2015
- Nonlinear effects of asset prices on fiscal policy: Evidence from the UK, Italy and Spain
Economic Modelling, 2015, 44, (C), 358-362 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)
- 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 
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
- 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 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)
- Business cycles synchronization in East Asia: A Markov-switching approach
Economic Modelling, 2014, 42, (C), 186-197 View citations (18)
See also Working Paper Business cycles synchronization in East Asia: A Markov-switching approach, Post-Print (2014) View citations (12) (2014)
- GLOBAL IMBALANCES AND FINANCIAL SECTOR INSTABILITIES: INTRODUCTION
International Journal of Finance & Economics, 2014, 19, (1), 1-2 
See also Working Paper Global Imbalances And Financial Sector Instabilities: Introduction, Post-Print (2014) (2014)
- 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 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)
- MANAGING THE FRAGILITY OF THE EUROZONE BY PAUL De GRAUWE
International Journal of Finance & Economics, 2014, 19, (1), 3-11 View citations (4)
See also Working Paper Managing the fragility of the Eurozone by Paul de Grauwe, Post-Print (2014) View citations (4) (2014)
- New tools to assess fiscal and financial vulnerabilities in advanced economies
Applied Economics, 2014, 46, (6), 587-588 
See also Working Paper New tools to assess fiscal and financial vulnerabilities in advanced economies, Post-Print (2014) (2014)
- 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 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
- A smooth transition long-memory model
Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (3), 281-296 View citations (2)
See also Working Paper A smooth transition long-memory model, Post-Print (2013) (2013)
- Computational tools in econometric modeling for macroeconomics and finance
Economic Modelling, 2013, 34, (C), 1-4 View citations (1)
See also Working Paper Computational tools in econometric modeling for macroeconomics and finance, Grenoble Ecole de Management (Post-Print) (2013) (2013)
- Using time-varying transition probabilities in Markov switching processes to adjust US fiscal policy for asset prices
Economic Modelling, 2013, 34, (C), 25-36 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)
- West African Single Currency and Competitiveness
Review of Development Economics, 2013, 17, (4), 763-777 View citations (5)
See also Working Paper West African Single Currency and Competitiveness, Post-Print (2013) View citations (4) (2013)
2012
- 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
- 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
- TESTING CATCHING-UP BETWEEN THE DEVELOPING COUNTRIES: “GROWTH RESISTANCE” AND SOMETIMES “GROWTH TRAGEDY”
Bulletin of Economic Research, 2012, 64, (4), 470-508 View citations (3)
- The changing role of house price dynamics over the business cycle
Economic Modelling, 2012, 29, (5), 1960-1967 View citations (8)
See also Working Paper The changing role of house price dynamics over the business cycle, Working papers (2010) View citations (2) (2010)
2011
- 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 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) View citations (2) (2010)
- 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
- Les comportements d'emprunt des régions françaises. Quel degré d'hétérogénéité ?
Revue économique, 2011, 62, (5), 919-940
- Les effets de la crise des subprimes sur le marché financier mexicain
Revue économique, 2011, 62, (3), 461-470 
See also Working Paper Les effets de la crise des subprimes sur le marché financier mexicain, Post-Print (2011) (2011)
- Monetary autonomy in the West African countries: What do the policy rules tell us?
Journal of International Development, 2011, 23, (1), 63-81 View citations (2)
- New Challenges for Public Debt in Advanced Economies
Revue économique, 2011, 62, (6), 971-974 View citations (1)
- Nouveaux défis pour la dette publique dans les pays avancés
Revue économique, 2011, 62, (6), 965-969
- The effects of the subprime crisis on the Latin American financial markets: An empirical assessment
Economic Modelling, 2011, 28, (5), 2342-2357 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
- Asymmetric Terms-of-Trade Shocks in a Monetary Union: An Application to West Africa
Journal of African Economies, 2010, 19, (5), 657-690 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)
- 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)
- 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
- 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
- Testing the finance-growth link: is there a difference between developed and developing countries?
Economics Bulletin, 2010, 30, (3), 1794-1807 View citations (6)
See also Working Paper Testing the finance-growth link: is there a difference between developed and developing countries?, Working Papers (2010) View citations (3) (2010)
- The trade-growth nexus in the developing countries: a quantile regression approach
Review of World Economics (Weltwirtschaftliches Archiv), 2010, 146, (4), 731-761 View citations (63)
See also Working Paper The Trade-Growth Nexus in the Developing Countries: a Quantile Regression Approach, Working Papers (2009) View citations (15) (2009)
2009
- 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) View citations (3) (2009)
- CREDIT POLICY STRESS IN THE WEST AFRICAN ECONOMIC AND MONETARY UNION
The Developing Economies, 2009, 47, (4), 410-435
2008
- A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t
Computational Economics, 2008, 31, (3), 225-241 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)
- Changing-regime volatility: a fractionally integrated SETAR model
Applied Financial Economics, 2008, 18, (7), 519-526 View citations (5)
See also Working Paper Changing-regime volatility: A fractionally integrated SETAR model, Post-Print (2008) View citations (3) (2008)
- 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 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)
- MODELLING THE SLOW MEAN‐REVERSION OF THE CENTRAL AND EASTERN EUROPEAN COUNTRIES' REAL EXCHANGE RATES*
Manchester School, 2008, 76, (1), 21-43 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
- Macroeconomic policies in the Franc Zone, by David Fielding (Basingstoke: Palgrave Macmillan, 2005, pp. 240)
Journal of International Development, 2007, 19, (3), 447-448
2006
- Persistent misalignments of the European exchange rates: some evidence from non-linear cointegration
Applied Economics, 2006, 38, (2), 203-229 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
- Long-memory dynamics in a SETAR model - applications to stock markets
Journal of International Financial Markets, Institutions and Money, 2005, 15, (5), 391-406 View citations (7)
See also Working Paper Long-memory dynamics in a SETAR model - Applications to stock markets, Post-Print (2005) View citations (9) (2005)
- Modelling squared returns using a SETAR model with long-memory dynamics
Economics Letters, 2005, 86, (2), 237-243 View citations (12)
See also Working Paper Modelling squared returns using a SETAR model with long-memory dynamics, Post-Print (2005) View citations (8) (2005)
2004
- Business cycles asymmetry and monetary policy: a further investigation using MRSTAR models
Economic Modelling, 2004, 21, (1), 37-71 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)
- Coïntégration entre les taux de change et les fondamentaux. Changement de régime ou mémoire longue ?
Revue économique, 2004, 55, (3), 449-458 
See also Working Paper Cointégration entre les taux de change et les fondamentaux: changement de régime ou mémoire longue ?, Post-Print (2004) (2004)
- Modeling the French Consumption Function Using SETAR Models
Economics Bulletin, 2004, 3, (20), 1-16 View citations (7)
- Modeling the volatility of the US SαP 500 index using an LSTGARCH model
Revue d'économie politique, 2004, 114, (4), 453-465 
See also Working Paper Modeling the volatility of the US S&P500 index using an LSTGARCH model, Post-Print (2004) (2004)
- Modelling the misalignments of the Dollar-Sterling real exchange rate: A nonlinear cointegration perspective
Economics Bulletin, 2004, 3, (19), 1-11 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) (2003)
2002
- La cointégration non linéaire: une note méthodologique
Économie et Prévision, 2002, 155, (4), 117-137 View citations (1)
Also in Economie & Prévision, 2002, 155, (4), 117-137 (2002) View citations (1)
1994
- Les théories explicatives du taux de change: de Cassel au début des années quatre-vingt
Revue Française d'Économie, 1994, 9, (3), 53-111
- METHODS IN ECONOMICS: TESTING FOR LINEARITY
Journal des Economistes et des Etudes Humaines, 1994, 5, (2-3), 393-408
Edited books
2021
- Recent Econometric Techniques for Macroeconomic and Financial Data
Dynamic Modeling and Econometrics in Economics and Finance, Springer View citations (2)
2014
- Market Microstructure and Nonlinear Dynamics
Springer Books, Springer View citations (6)
Chapters
2021
- 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)
- 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
- Financial Integration and Business Cycle Synchronization in Sub-Saharan Africa
Springer
2015
- 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 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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