Dufrénot

Publications

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.

Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time SeriesBook chapterGilles Dufrénot, Takashi Matsuki and Kimiko Sugimoto, In: Recent Econometric Techniques for Macroeconomic and Financial Data, Gilles Dufrénot and Takashi Matsuki (Eds.), 2021-01, Volume 27, pp. 3-34, Springer, 2021

This chapter presents a survey of some recent methods used in economics and finance to account for cyclical dependence and account for their multifaced dynamics: nonlinearities, extreme events, asymmetries, non-stationarity, time-varying moments. To circumvent the caveats of the standard spectral analysis, new tools are now used based on copula spectrum, quantile spectrum and Laplace periodogram in both non-parametric and parametric contexts. The chapter presents a comprehensive overview of both theoretical and empirical issues as well as a computational approach to explain how the methods can be implemented using the R Package.

Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time SeriesBook chapterGilles Dufrénot, Takashi Matsuki and Kimiko Sugimoto, In: Recent Econometric Techniques for Macroeconomic and Financial Data, Gilles Dufrénot and Takashi Matsuki (Eds.), 2021-01, Volume 27, pp. 3-34, Springer, 2021

This chapter presents a survey of some recent methods used in economics and finance to account for cyclical dependence and account for their multifaced dynamics: nonlinearities, extreme events, asymmetries, non-stationarity, time-varying moments. To circumvent the caveats of the standard spectral analysis, new tools are now used based on copula spectrum, quantile spectrum and Laplace periodogram in both non-parametric and parametric contexts. The chapter presents a comprehensive overview of both theoretical and empirical issues as well as a computational approach to explain how the methods can be implemented using the R Package.

Recent Econometric Techniques for Macroeconomic and Financial DataBookDynamic Modeling and Econometrics in Economics and Finance, Gilles Dufrénot and Takashi Matsuki (Eds.), 2021-01, Volume 27, 387 pages, Springer International Publishing, 2021

The book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and non-stationary behavior, stochastic volatility models, and the econometrics of commodity markets and globalization. Furthermore, it demonstrates the application of recent techniques in various fields: in the frequency domain, in the analysis of persistent dynamics, in the estimation of state space models and new classes of volatility models.
The book is divided into two parts: The first part applies econometrics to the field of macroeconomics, discussing trend/cycle decomposition, growth analysis, monetary policy and international trade. The second part applies econometrics to a wide range of topics in financial economics, including price dynamics in equity, commodity and foreign exchange markets and portfolio analysis. The book is essential reading for scholars, students, and practitioners in government and financial institutions interested in applying recent econometric time series methods to financial and economic data.

Exchange rate policy and external vulnerabilities in Sub-Saharan Africa: nominal, real or mixed targeting?Journal articleFadia Al Hajj, Gilles Dufrénot and Benjamin Keddad, Applied Economics, Volume 53, Issue 3, pp. 380-399, 2021

This paper discusses the theoretical choice of exchange rate regimes in Sub-Saharan African countries that are facing external vulnerabilities. To reduce instability, policymakers choose among promoting external competitiveness using a real anchor, lowering the burden of foreign debt using a nominal anchor or using a policy mix of both anchors. We observe that these countries tend to adopt mixed anchor policies. We solve a state space model to explain the determinants of and the strategy behind this policy. We find that the mixed targeting policy is a two-step strategy: First, monetary authorities choose the degree of nominal exchange rate flexibility according to the velocity of money, trade openness, foreign debt, degree of exchange rate pass-through and exchange rate target zone. Second, authorities seek to stabilize the real exchange rate depending on the degree of competition in the domestic goods market and the degree of foreign exchange intervention. We conclude with regime-switching estimations to provide empirical evidence of how these economic fundamentals influence exchange rate policy in Sub-Saharan Africa.

Risk sharing in Europe: new empirical evidence on the capital markets channelJournal articleGilles Dufrénot, Jean-Baptiste Gosse and Caroline Clerc, Applied Economics, Volume 53, Issue 2, pp. 262-276, 2021

This paper assesses the effectiveness of risk sharing mechanisms in Europe by breaking down the factor income components into their sub-components, and aims to further examine whether financial integration and international portfolio diversification boosts or dampens risk sharing. Using a panel of European countries, we compare the years before and after the 2008 financial crisis. We extend the literature by properly taking into account the heterogeneity (in both country and time dimensions) in the panel through new econometric models. Our results show that financial income has become a major channel of risk sharing in recent years and that a higher integration in the bond and equity markets significantly improves risk sharing in the long term.

Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITsBook chapterMarcel Aloy, Floris Laly, Sébastien Laurent and Christelle Lecourt, In: Recent Econometric Techniques for Macroeconomic and Financial Data, Gilles Dufrénot and Takashi Matsuki (Eds.), 2021-01, pp. 229-264, Springer International Publishing, 2021

Beta coefficients are the cornerstone of asset pricing theory in the CAPM and multiple factor models. This chapter proposes a review of different time series models used to estimate static and time-varying betas, and a comparison on real data. The analysis is performed on the USA and developed Europe REIT markets over the period 2009–2019 via a two-factor model. We evaluate the performance of the different techniques in terms of in-sample estimates as well as through an out-of-sample tracking exercise. Results show that dynamic models clearly outperform static models and that both the state space and autoregressive conditional beta models outperform the other methods.

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.

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 !

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.

Sovereign bond market integration in the euro area: a new empirical conceptualizationJournal articleGilles Dufrénot, Fredj Jawadi and Zied Ftiti, Annals of Operations Research, Forthcoming

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.