Does State Dependence Matter in Relation to Oil Price Shocks on Global Economic Conditions?Journal articleGilles Dufrénot, William Ginn, Marc Pourroy and Adam Sullivan, Studies in Nonlinear Dynamics & Econometrics, 2024

A common thread in the literature shows that an oil price shock can have a major impact on global economic conditions. We examine the global dimensions of changes to the global oil price and world economic uncertainty using three model types: ordinary least square (OLS); general additive model (GAM); and non-linear vector autoregression (VAR) model with local projections (LP). Our study highlights a positive and statistically significant effect of oil prices on economic uncertainty during non-expansionary periods, yet the impact is negative on economic uncertainty during periods of economic growth. Using a VAR-LP we analyze the global dimensions of a world oil price shock on global economic conditions and investigate whether there is consistency in how an oil price shock influences economic growth, consumer prices and economic uncertainty based on the state of economic conditions. The empirical evidence shows that during an expansionary (a non-expansionary) period, the impact of an oil price shock lowers (elevates) economic uncertainty. The empirical evidence from the three model types taken together indicate a presence of state dependence on the influence of an oil price shock.

Impact of socioeconomic determinants on the speed of epidemic diseases: a comparative analysisJournal articleGilles Dufrénot, Ewen Gallic, Pierre Michel, Norgile Midopkè Bonou, Ségui Gnaba and Iness Slaoui, Oxford Economic Papers, pp. gpae003, 2024

We study the impact of socioeconomic factors on two key parameters of epidemic dynamics. Specifically, we investigate a parameter capturing the rate of deceleration at the very start of an epidemic, and a parameter that reflects the pre-peak and post-peak dynamics at the turning point of an epidemic like coronavirus disease 2019 (COVID-19). We find two important results. The policies to fight COVID-19 (such as social distancing and containment) have been effective in reducing the overall number of new infections, because they influence not only the epidemic peaks, but also the speed of spread of the disease in its early stages. The second important result of our research concerns the role of healthcare infrastructure. They are just as effective as anti-COVID policies, not only in preventing an epidemic from spreading too quickly at the outset, but also in creating the desired dynamic around peaks: slow spreading, then rapid disappearance.

Does relationship lending matter in an emerging market?Journal articleNaël Shehadeh, Faicel Belaid, Gilles Dufrénot and Christelle Lecourt, Applied Economics, pp. 1-17, 2023

Based on a unique database (data on 2529 bank-firm relationships of 403 firms from 2012 to 2018) provided by the Central Bank of Tunisia, this article analyses the impact of the intensity and duration of bank-firm relationship on loan quality. By estimating a panel ordered probit model, the results show that the intensity of the lending relationship has a positive (negative) impact on high (medium or low) quality loans. In addition, the duration of the bank-firm relationship increases the probability of low-quality loans. We also find that the impact of relationship lending on loan quality differs according to the level of profitability of the firm. Low and non-performing firms tend to have longer and closer bank relationship, whereas it is the opposite for performing firms. Our results suggest that in an emerging market concentrated around a few banks, longer and closer banking relationships are mainly in favour of low and non-performing firms, reflecting adverse selection and strong moral hazard.

Determinants of partial versus full cross-border acquisitions for Sovereign Wealth FundsJournal articleJeanne Amar, Mohamed Arouri, Gilles Dufrénot and Christelle Lecourt, Review of World Economics, 2023

In this paper, we investigate the determinants of equity shares purchased by Sovereign Wealth Funds (SWFs). Based on the literature of cross-border acquisitions and entry mode choice theory, we shed light on the real drivers of these state-owned funds when they buy small or large stakes in cross-border target firms. Using an original dataset of SWF acquisitions over the period 2000–2015, a Two-Part Fractional Regression Model is estimated to account for both the fractional nature of the dependent variable as well as the separation between the decision to invest and that concerning the share of equity invested. We find that the decision to invest and the decision on the share of equity to be acquired are two distinct processes. We also find that SWFs take the investment decision in cross-border target firms by trying to reduce transaction costs and information asymmetry according to the cross-border acquisition theory, and also by taking the legal and institutional environment of the host country into consideration. However, the fact that they do not hesitate to take large shares or to acquire targeted firms that are considered to be strategic and located in politically unstable countries suggests that their motives may go beyond financial consideration.

New Challenges for Macroeconomic Policies: Economic Growth, Sustainable Development, Fiscal and Monetary PoliciesBookGilles Dufrénot, 2023-03, XXIV,451 pages, Springer International Publishing, 2023

This book examines the economic policies that will underpin the evolution of growth in industrialised economies in coming decades. The change in focus of policymakers away from short-term regulation and policies towards problems of structural change is discussed in relation to the Taylor rule and Fisher relationship. Both empirical observations and quantitative analyses are utilised to explore diverse but interrelating topics, including interest rates dynamics, macroeconomic equilibrium, economic vulnerability, poverty and inequality, environmental sustainability, and monetary and fiscal policies.
This book aims to propose policies that can produce economic growth without compromising social stability and environmental balances. It will be of interest to researchers and policymakers working within economic development and policy.

Sovereign bond market integration in the euro area: a new empirical conceptualizationJournal articleGilles Dufrénot, Fredj Jawadi and Zied Ftiti, Annals of Operations Research, Volume 318, Issue 1, pp. 147-161, 2022

This paper proposes a new empirical conceptualization of financial integration of sovereign bond markets in the euro area. We introduce a methodology based on the joint testing of the assumptions of efficient market and convergence/divergence of the yield spreads. We test these assumptions by proposing parametric and non-parametric techniques. We find that markets have been more fragmented than usually advocated in the literature. We also show that the information contained in the fundamentals are not always fully reflected in the spreads, which suggests that either they have insignificant effects, or that their coefficients in the spread equations appear with the wrong sign.

Potential growth and natural yield curve in JapanJournal articleGilles Dufrénot, Meryem Rhouzlane and Etienne Vaccaro-Grange, Journal of International Money and Finance, Volume 124, pp. 102628, 2022

We estimate the yield curve gap in Japan and examine whether it has contributed to the sustained low growth and low inflation rates observed since the beginning 2000s. We use a semi-structural empirical model that generalizes Laubach and Williams’ approach, considering the entire range of maturities of the interest rates and dealing with the issue of mixed frequency sampling. An important result is that, even in the absence of a zero lower bound, monetary and fiscal policies proved ineffective in bringing the Japanese economy out of a situation of prolonged stagnation and low inflation. This happened even when the yield curve moved below its natural level.

A State-Space Model to Estimate Potential Growth in the Industrialized CountriesBook chapterThomas Brand, Gilles Dufrénot and Antoine Mayerowitz, In: Recent Econometric Techniques for Macroeconomic and Financial Data, G. Dufrénot and T. Matsuki (Eds.), 2021-11, Volume 27, pp. 61-77, Springer International Publishing, 2021

This paper proposes new estimates of potential growth for 5 major industrialized countries. We use a state-space approach to obtain joint estimates of potential growth and the natural interest rates. The model is a reduced-form of a partial equilibrium model with a Phillips curve and an IS curve. In addition to the usual determinants of prices and business fluctuations, we consider financial variables as a determinant of the business cycle.

Statistiques pour l'économie et la gestionBookFrédéric Bertrand, Christian Derquenne, Gilles Dufrénot, Fredj Jawadi and Myriam Maumy, Claire Borsenberger (Eds.), 2021-08, 680 pages, De Boeck Supérieur, 2021

Statistiques pour l'économie et la gestion offre une présentation synthétique et rigoureuse de l’ensemble des connaissances en statistiques !

Crises épidémiques et mondialisation Des liaisons dangereuses ?BookGilles Dufrénot and Anne Levasseur-Franceschi, Oj.Economie, 2021-06, 288 pages, Odile Jacob, 2021

La mondialisation est-elle responsable des pandémies ? En ce cas, faut-il en défaire les fils tissés depuis plusieurs siècles ?
Depuis toujours, les routes commerciales ont coïncidé avec l’apparition, la disparition et la réémergence des nouveaux virus. Ce livre explique pourquoi les évolutions de la mondialisation ont renforcé ces liens : la déforestation, l’agriculture intensive, la perturbation des cycles géologiques et géophysiques, le réchauffement climatique, ainsi que les atteintes à la biodiversité, animale et végétale, ont accru les risques sanitaires.
Ce livre propose de repenser la mondialisation en inventant des mécanismes de résilience face aux crises épidémiques. Loin des solutions simplistes, ses auteurs lèvent le voile sur la complexité des enjeux que soulève l’articulation des objectifs sanitaires avec les règles du commerce international. Avec une conviction : pour faire face aux risques épidémiques du XXIe siècle, il sera nécessaire de privilégier une approche associant mondialisation, environnement et santé.

Topical Issues in International Development and Economics - Cambridge Scholars PublishingBookGilles Dufrénot and Désiré Avom, Forthcoming

Topical Issues in International Development and Economics - Cambridge Scholars Publishing