Lecourt

Publications

Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysisJournal articleMichel Beine, Sébastien Laurent et Christelle Lecourt, European Economic Review, Volume 47, Issue 5, pp. 891-911, 2003

No abstract is available for this item.

Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange ratesJournal articleMichel Beine, Sébastien Laurent et Christelle Lecourt, Applied Financial Economics, Volume 12, Issue 8, pp. 589-600, 2002

This paper, estimates FIGARCH models introduced by Baillie et al. (1996a) for the four major daily exchange rates against the USD (DEM, FRF, YEN and the GBP). The former contributions are extended by accounting for the observed kurtosis through a Student- t based maximum likelihood estimation and by including variables capturing the effect of closing days. These estimations suggest that the introduction of these features improves the goodness of fit properties of the model on the one hand, and may lead to different interest parameters estimates on the other hand. In particular, it is shown that in the case of the DEM, volatility shocks may display much less persistence than documented by previous studies. Finally, it is shown that an ARFIMA-FIGARCH framework turns out to be relevant for all the currencies (except the GBP), without inducing any significant changes in the inference of the stochastic volatility process.

L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollarJournal articleAurélie Boubel, Sébastien Laurent et Christelle Lecourt, Revue Économique, Volume 52, Issue 2, pp. 353-370, 2001

[fre] Dans cet article, nous étudions l'impact des signaux de politique monétaire issus des réunions du Conseil de la Bundesbank et du FOMC sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar (fréquence à cinq minutes). Pour ce faire, nous estimons un modèle AR(1)-GARCH(1,1) qui incorpore une structure polynomiale elle-même fonction des variables de signal, sur la série désaisonnalisée de rendements du taux de change. Cette structure nous permet, en outre, de tester la persistance de ces signaux sur l'heure qui suit leur envoi et de mettre en évidence une dissymétrie entre l'effet des signaux de la Bundesbank et de la Fed sur la volatilité du taux de change.
[eng] The impact of monetary policy signals on the intradaily deutsche mark-dollar volatility. . In this paper, we investigate the impact of monetary policy signals stemming from the Bundesbank Council and the FOMC on the intradaily Deutsche Mark-dollar volatility (five minutes frequency). For that, we estimate an AR(1)-GARCH(1,1) model, which integrates a polynomials structure depending on signal variables, on the deseasonalized exchange rate returns series. This structure allows us to test the signals persistence one hour after their occurrence and to reveal a dissymmetry between the effect of the Bundesbank and the Federal Reserve signals on the exchange rate volatility.