BEC Frederique

This paper proposes a reference quarterly dating for periods of expansion and recession in France since 1970, carried out by the Dating Committee of the French Economic Association (AFSE). The methodology used is based on two pillars: (i) econometric estimations from various key data to identify candidate periods, and (ii) a narrative approach that describes the economic background that prevailed at that time to finalize the dating chronology. Starting from 1970, the committee has identified four economic recession periods: the two oil shocks 1974-75 and 1980, the investment cycle of 1992-93, and the Great Recession 2008-09 spawned by the Global Financial Crisis. The peak before the Covid-19 recession has been dated to the last quarter of 2019.

This thesis studies the agricultural determinants of industrialization from both a theoretical and empirical perspective. The purpose of the first chapter is to determine the nature of the technical progress that has allowed a spillover of the labor force from agriculture to industry and services. Is it an improvement in the productivity of agricultural land, or an improvement in the productivity of agricultural labour? A simple theoretical model estimated from national data suggests that in developing countries where agricultural production is close to the subsistence level of households, both types of technical progress contribute to the spillover of the agricultural labor force. In contrast, in developed countries, labor productivity is the predominant factor, while a technological change that is similar to land expansion could instead attract more workers to the agricultural sector. The purpose of the second chapter is to determine whether the sectoral distribution of employment at the national level reflects the functioning of an economy that is closed to international trade or, on the contrary, the functioning of an economy that is open to trade and that is price-taking. The results of the estimation of a panel of data for some 15 developed and developing countries are favourable to the thesis of an economy closed to trade, in which the sectors whose relative size is growing are those with the lowest labour productivity growth. This means that an industrialization strategy must involve strong growth in agricultural labor productivity, which will allow both a decline in food prices and a growth in purchasing power towards non-food goods, and a surplus of labor for the secondary and tertiary sectors. The purpose of the third chapter is to quantify the effects of a reform of the agricultural land rental market on the sectoral distribution of the labor force. In many developing countries, these markets are not very active because of numerous legal constraints and weak protection of property rights for landowners. Can an improvement in the functioning of these markets contribute to the spillover of agricultural workers into the nonagricultural sectors, or to the increase of farmers' work in nonagricultural activities? Theoretically, the question is complex because partial equilibrium effects and general equilibrium effects lead to opposite conclusions. In partial equilibrium, when the land rental market increases in activity, this encourages workers to join the agricultural sector. In general equilibrium, agricultural prices fall, and this encourages farm workers to leave the industry. Nevertheless, the simulations show that a reform of the land rental market could contribute to a significant increase in farmers' income and welfare.

This paper proposes t−like unit root tests which are consistent against any stationary alternatives, nonlinear or noncausal ones included. It departs from existing tests in that it uses an unbounded grid set including all possible values taken by the series. In our setup, thanks to the very simple nonlinear stationary alternative specification and the particular choice of the thresholds set, the proposed unit root test contains the standard ADF test as a special case. This, in turn, yields a sufficient condition for consistency against any ergodic stationary alternative. From a Monte-Carlo study, it turns out that the power of our unbounded non adaptive tests, in their average and exponential versions, outperforms existing bounded tests, either adaptive or not. This is illustrated by an application to interest rate spread data.

This paper develops an asymmetrical overshooting correction autoregressive model to capture excessive nominal exchange rate variation. It is based on the widely accepted perception that open economies might react differently to under-evaluation or over-evaluation of their currency because of the trade-off between fostering their net exports and maintaining their international purchasing power. Our approach departs from existing works by considering explicitly both size and sign effects: the strength of the overshooting correction mechanism is indeed allowed to differ between large and small depreciations and appreciations. Evidence of overshooting correction is found in most G20 countries. Formal statistical tests confirm sign and/or size asymmetry of the overshooting correction mechanism in most countries. It turns out that the overshooting correction specification is heterogeneous among countries, even though most of Emerging Market and Developing Economies are found to adjust to over-depreciation whereas the Euro Area and the US are shown to adjust to over-appreciation only.

The relative importance of survey-based, VAR-based or myopic expectations is evaluated in accounting for US inflation dynamics in a New Keynesian Phillips Curve (NKPC) setting. Our contribution is threefold. First, we estimate the NKPC with both final and real-time vintage data in order to control for large revisions in the real GDP data. Second, we distinguish between two different series for VAR-based inflation forecasts-derived by a recursive or rolling-window method-to account for changes in the conduct and transmission mechanisms of US monetary policy after World War II. Third, joint restrictions are tested in the NKPC to assess whether one of the expectational variables is able, on its own, to capture inflation dynamics. On a statistical basis, we find that there is no clear-cut winner between VAR-and survey-based inflation expectations. Most of our estimated NKPC variants conclude that survey inflation expectations tend to have the largest numerical weight. Nevertheless, the difference between VAR-and survey-based expectations' estimated coefficients is not statistically significant. Moreover, myopic expectations do not play any significant role in the majority of the estimated NKPC variants.

This paper stresses the bimodality of the widely used Student's t likelihood function applied in modelling Mixed causal-noncausal AutoRegressions (MAR). It first shows that a local maximum is very often to be found in addition to the global Maximum Likelihood Estimator (MLE), and that standard estimation algorithms could end up in this local maximum. It then shows that the issue becomes more salient as the causal root of the process approaches unity from below. The consequences are important as the local maximum estimated roots are typically interchanged , attributing the noncausal one to the causal component and vice-versa, which severely changes the interpretation of the results. The properties of unit root tests based on this Student's t MLE of the backward root are obviously affected as well. To circumvent this issues, this paper proposes an estimation strategy which i) increases noticeably the probability to end up in the global MLE and ii) retains the maximum relevant for the unit root test against a MAR stationary alternative. An application to Brent crude oil price illustrates the relevance of the proposed approach. Keywords: Mixed autoregression, non-causal autoregression, maximum likelihood estimation, unit root test, Brent crude oil price.

In this thesis, we compare IMS, DMS and PLS forecasts at multiple horizons, focusing on the combinatorial properties of PLS. We build on an interesting paper by Franses & Legerstee (2010), which suggests how the so-called partial least squares (PLS) method can be considered, in the context of multi-step forecasting, as an intermediate technique between IMS and DMS. In fact, rather than an "intermediate", we like to think of PLS as a form of combination of IMS and DMS.This thesis consists of four chapters.In Chapter 1, we provide a review of the literature that serves as background for the following chapters. In Chapter 2, we explore the functionality of PLS as a combination of IMS and DMS. We study the properties of PLS using an algorithm suggested by Garthwaite (1994).We investigate the relationship between IMS, DMS and PLS and compare the accuracy of their predictions at several horizons. We analyze the combinatorial properties of PLS in multistage forecasting using a simple AR model (2). To compare forecasting performance, we evaluate their asymptotic properties under well-specified and misspecified models. We confirm our analytical study through extensive simulations of the relative forecast accuracy of different multistage forecasting techniques. Through these simulations, we support the asymptotic analysis and investigate the conditions that make PLS better than IMS or DMS.In Chapter 3, we conduct an empirical study of multi-step forecasting based on univariate AR models and focus on the 121 monthly macroeconomic time series in the U.S. We provide an empirical analysis to determine the circumstances that make PLS preferable to IMS or DMS. For easier comparison with the literature, we follow Marcellino et al. (2006) and McCracken & McGillicuddy (2019) in many respects. In addition, we extend their results in some directions, such as path prediction evaluation, alternative measurement techniques, and different subsamples.We explore the benefits in relation to the persistence of the series measured by the degree of fractional integration.Through this empirical analysis, we reconfirm the results of previous studies and discover several new facts: (i) the relative advantages of PLS over IMS tend to disappear as the forecast horizon expands. (ii) PLS is generally better when the model uses short lags. and (iii) PLS performs better than IMS when the data undergo periods of high volatility.The final chapter extends Chapter 3 to multivariate models. We compare a brief analytical study of the rationale for PLS and then empirically compare the forecasting performance of IMS, IMS, and DMS in the context of bivariate forecasting models. For each forecasting model, we generate and evaluate forecasts over a single horizon and over trajectories (ranges of horizons). Our results confirm those of the univariate models: PLS is favored in the short run, but the crucial issue is data persistence. In this respect, the data for the nominal prices, wages and money group show a form of persistence that does not clearly follow an I (1) or I (2) trend and produces much better PLS performance. Overall, we also find that PLS is generically preferred to DMS, so it should be an alternative for the practitioner whenever direct forecasting techniques can be considered.

This paper develops an asymmetrical overshooting correction autoregressive model to capture excessive nominal exchange rate variation. It is based on the widely accepted perception that open economies might prefer under-evaluation to over-evaluation of their currency so as to foster their net exports. Our approach departs from existing works by allowing the strength of the overshooting correction mechanism to differ between over-depreciations and over-appreciations. It turns out that most of monthly effective exchange rates for the G20 countries are in fact well characterized by an overshooting correction after an over-appreciation only.

This paper stresses the bimodality of the widely used Student's t likelihood function applied in modelling Mixed causal-noncausal AutoRegressions (MAR). It first shows that a local maximum is very often to be found in addition to the global Maximum Likelihood Estimator (MLE), and that standard estimation algorithms could end up in this local maximum. It then shows that the issue becomes more salient as the causal root of the process approaches unity from below. The consequences are important as the local maximum estimated roots are typically interchanged , attributing the noncausal one to the causal component and vice-versa, which severely changes the interpretation of the results. The properties of unit root tests based on this Student's t MLE of the backward root are obviously affected as well. To circumvent this issues, this paper proposes an estimation strategy which i) increases noticeably the probability to end up in the global MLE and ii) retains the maximum relevant for the unit root test against a MAR stationary alternative. An application to Brent crude oil price illustrates the relevance of the proposed approach. Keywords: Mixed autoregression, non-causal autoregression, maximum likelihood estimation, unit root test, Brent crude oil price.

The relative importance of survey-based, VAR-based or myopic expectations is evaluated in accounting for US inflation dynamics in a New Keynesian Phillips Curve (NKPC) setting. Our contribution is threefold. First, we estimate the NKPC with both final and real-time vintage data in order to control for large revisions in the real GDP data. Second, we distinguish between two different series for VAR-based inflation forecasts-derived by a recursive or rolling-window method-to account for changes in the conduct and transmission mechanisms of US monetary policy after World War II. Third, joint restrictions are tested in the NKPC to assess whether one of the expectational variables is able, on its own, to capture inflation dynamics. On a statistical basis, we find that there is no clear-cut winner between VAR-and survey-based inflation expectations. Most of our estimated NKPC variants conclude that survey inflation expectations tend to have the largest numerical weight. Nevertheless, the difference between VAR-and survey-based expectations' estimated coefficients is not statistically significant. Moreover, myopic expectations do not play any significant role in the majority of the estimated NKPC variants.

This chapter proposes an empirical study of the shape of financial market recoveries using a threshold autoregressive model augmented by a rebound effect. The model is estimated on the monthly returns of American and French stocks since January 1973. The presence and form of the rebound effect are formally tested. The results show that the rebound effect (i) is statistically significant, (ii) has the same shape in both countries, and (iii) improves the 1-month forecasts compared to the standard linear or autoregressive threshold models. * This work was carried out in the context of a collective work to be published by Editions Economica. It reflects the personal ideas of the authors and does not necessarily express the position of the Banque de France. Frédérique Bec thanks the Labex MME-DII project (ANR11-LBX-0023-01).

This paper proposes a theoretical model of forecasts formation which implies that in presence of information observation and forecasts communication costs, rational professional forecasters might find it optimal not to revise their forecasts continuously, or at any time. The threshold time- and state-dependence of the observation review and forecasts revisions implied by this model are then tested using inflation forecast updates of professional forecasters from recent Consensus Economics panel data for France and Germany. Our empirical results support the presence of both kinds of dependence, as well as their threshold-type shape. They also imply an upper bound of the optimal time between two information observations of about six months and the co-existence of both types of costs, the observation cost being about 1.5 times larger than the communication cost.

While the majority of studies find positive impacts of public infrastructure on economic activity, the issue of public expenditure versus resource allocation remains. This empirical thesis presents a novel work for Mauritania and is limited to three types of infrastructure. First, we study the link between the evolution of the total road stock and GDP per capita through a Coob-Douglas type production function. Our main result is as follows: the road stock in Mauritania has indeed had a positive and significant impact on GDP per capita. Second, we analyze the contribution of health capital to economic growth. By estimating several models, three main results emerge: 1) The level of public spending on health does not have a significant effect on the growth of life expectancy, but it does appear to have positive impacts on the reduction of crude mortality per 1000 people. 2) Public spending on health has a positive effect on overall GDP, but this effect becomes insignificant when it comes to GDP per capita. 3) Initial life expectancy and its growth have positive and significant effects on GDP per capita. Finally, we explore the impact of ICT on economic growth. By studying a production function and a VAR model, we show that both ICT capital and the evolution of fixed telephone subscribers have significantly boosted economic activity.

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The objective of this thesis is to shed new light on some issues related to real exchange rate misalignments and exchange rate regimes in developing and emerging economies. In a first line of research, we re-examine the link between exchange rate misalignments and growth, incorporating a transmission channel known as "foreign currency debt". We show the existence of a financial channel of foreign currency debt through which exchange rate misalignments exert an opposite effect on growth than the traditional channel of price competitiveness. Furthermore, we highlight the role played by the exchange rate regime in the exchange rate misalignment-growth relationship and the importance of the compatibility of the prevailing monetary regime with the structure of foreign currency debt. In the second line of research, we focus on the effectiveness of exchange rate policy in preventing/correcting exchange rate misalignments. We first show that, as things stand, it is difficult to establish a robust relationship between exchange rate regimes and exchange rate misalignments, partly because of the different definitions of monetary regimes adopted by de facto classifications of exchange rate regimes. In particular, only classifications that distinguish between flawed currency regimes can discriminate the performance of exchange rate regimes in terms of exchange rate misalignments. Finally, we show that the pass-through of nominal exchange rate changes to the real exchange rate is not systematically related to the magnitude of the nominal adjustment but depends strongly on the initial distortion of the real exchange rate.

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Progresses in fiscal consolidation programs are often expressed in cyclically-adjusted terms, meaning that business cycles have to be accurately estimated. In this paper, we put forward a parametric framework enabling to assess business cycles, especially at the end of recession periods by accounting for bounce-back effects. We explore the various shapes that the recoveries may exhibit within an extended Markov-Switching model as proposed by Kim, Morley and Piger (2005) and extend the methodology by proposing i) a more flexible bounce-back model, ii) explicit tests to select the appropriate bounce-back function, if any, and iii) a suitable measure of the permanent impact of recessions. By applying this approach to post-WWII quarterly growth rates of US, UK and French real GDPs, we show that the shape of recoveries is country-specific.

This paper empirically investigates two alternative combination strategies, namely forecast combination and information pooling, in the context of nowcasting French GDP in real time with monthly survey opinions. According to the encompassing paradigm, we claim that the outperformance of the forecast combination strategy reported by recent works may be related to the issues of model selection and misspecification. To address these issues, we promote the blocking modeling approach to allow us to handle mixed frequencies in a linear framework that is compatible with an automatic model selection algorithm. Selected restricted- and pooled-information models are specified and tested for forecast encompassing in order to determine the best combination strategy. The results suggest that the forecast combination strategy dominates as long as no individual (restricted) model encompasses the rivals. However, when a predictive encompassing model is obtained by pooling the information sets, this model outperforms the most accurate forecast combination scheme.

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This thesis consists of three empirical papers on central bank institutional design.Chapter 1 contributes to the debate on the importance of central bank independence (CBI) in lowering inflation rates. It stresses the relevance of employing indices of central bank independence computed dynamically in two ways. First, it recomputes the evolution of the Grilli et al. (1991) index of CBI and shows that the timing of large legislative reforms is closely related to inflation rate dynamics. Using unit root tests with endogenous structural breaks, I find that reforms that modify the degree of CBI represent structural breaks in the inflation rate dynamics. Second, employing the dynamic Grilli et al. (1991) index of independence confirms the negative relationship between CBI and inflation in a sample of 10 advanced economies.Chapter 2 presents a new and comprehensive database of central bank institutional design for 65 countries over the period 1972--2014. This chapter describes in detail the sources of information and the coding rules used to create a new index of central bank independence. It also compares this new index with the classical measures of CBI and highlights the new aspects of central bank institutional design included in this database such as financial independence and accountability. An important innovation of this new index is its dynamic nature. This enables an investigation of the endogenous determination of the level of independence of central banks and suggests several instruments for the CBI index. Using an instrumental variable approach, this chapter provides strong support for a causal, negative CBI-inflation nexus.Chapter 3 uses a political economy framework to investigate the drivers of reforms in central bank institutional design. Using the new CBI index developed in Chapter 2, this Chapter investigates the determinants of central bank reforms in a sample of 65 countries over the period 1972--2014. The results obtained suggest that the incentives generated by initial reforms which increased the level of independence, as well as a regional convergence, represent important drivers of reforms in central bank design. At the same time, an external pressure to reform, such as obtaining an IMF loan or joining a monetary union, also increases the likelihood of reforms, while government changes or crises episodes have little impact.

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This paper proposes a two-regime Bounce-Back Function augmented Self-Exciting Threshold AutoRegression (SETAR) model which allows for various shapes of recoveries from the recession regime. It relies on the bounce-back effects which were first analyzed in a Markov-Switching setup by Kim, Morley, and Piger (2005), and were recently extended by Bec, Bouabdallah, and Ferrara (2011). This approach is then applied to the post-1973 quarterly growth rates of French, German, Italian, Spanish and Euro area real GDPs. Both the linear autoregression and the standard SETAR without the bounce-back effect null hypotheses are strongly rejected against the Bounce-Back augmented SETAR alternative in all cases but Italy. The relevance of our proposed model is further assessed by a comparison of its short-term forecasting performances with those obtained from a linear autoregression and a standard SETAR. It turns out that the bounce-back model’s one-step-ahead forecasts generally outperform the other ones, particularly during the last recovery period in 2009Q3–2010Q4.

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This paper explores the existence of a bounce-back effect in inventory investment using the European Commission opinion survey on stocks of finished products in manufacturing and retail trade sectors for France, Germany and a European aggregate, from 1985q1 to 2011q4. Our empirical findings support the existence of a high recovery episode for inventory investment, during the quarters immediately following the recessions: it occurs later and lasts longer in manufacturing than in retail trade sector. Since a third phase of rapid recovery has not been found in final sales data so far, the rebound in inventories could in turn explain the GDP growth bounce-back pointed out in previous empirical studies. This calls for a careful modeling of the inventory investment behavior in any sensible theoretical explanation of aggregate business cycles.

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The introduction of the Euro in 1999 was a major economic event for European countries. The financial crisis of 2007, followed by the sovereign debt crisis in 2010, has led to question the sustainability of the Eurozone, and the ability of some of its members to meet their commitments to the single currency. The austerity measures implemented within the Economic and Monetary Union in the current crisis context may constitute for some States an additional temptation to leave the single currency and recover their monetary and fiscal independence. An exit of Greece from the Eurozone, or even of other Member States in difficulty (Portugal, Ireland, Italy, and Spain) is today a scenario that can no longer be excluded. This thesis proposes to consider the question of the optimal monetary regime, flexible exchange rate regime or monetary union, for the 17 countries of the Eurozone, in the context of the financial and sovereign debt crises that currently affect them. The first chapter is general and aims to formally demonstrate the occurrence of a structural break due to the transition to the single currency in 1999. It shows that such a break did occur for the countries of the Euro zone around 1992, which marked the adoption of the Maastricht Treaty and the establishment of the convergence criteria for the adoption of the Euro. This break is not shared by the three European countries that have preserved their currency (United Kingdom, Sweden and Denmark). The second chapter constitutes the heart of this work. It presents the reference model used to compare the two monetary regimes considered for the Euro zone. It is a two-country model incorporating financial rigidities in the context of interbank transactions between member states. The model, once calibrated for the Eurozone, suggests that financial rigidities can play a considerable role in the dynamics of these states, as shocks affecting partner economies can contribute significantly to national dynamics. Preliminary numerical simulations of financial crises carried out on the model do not provide conclusive answers as to the performance of the two monetary regimes considered, with the flexible exchange rate regime appearing to lead to greater stability, whereas a monetary union allows for a more rapid recovery from the initial crisis. The final chapter has a dual purpose. First, it proposes a formal welfare criterion for evaluating the respective performances of the two regimes under consideration. It also develops a number of extensions to the reference model, in order to integrate sovereign debt and the credit policies (Covered Bonds Purchase Programme and Securities Markets Programme) implemented by the ECB since the beginning of the crisis. The results show that in the absence of interventionist policies by the European Central Bank, a large majority of Eurozone countries (15 out of 17) would benefit from a higher level of welfare in a flexible exchange rate regime. However, the conclusions are reversed under the Securities Markets Programme, where member states become overwhelmingly in favour of a monetary union regime. This suggests that the ECB has a role to play within the European monetary area that goes beyond its primary function of initiating monetary policy.

Since the late nineties, both theoretical and empirical analysis devoted to the real exchange rate suggest that their dynamics might be well approximated by nonlinear models. This paper examines this possibility for post-1970 monthly ASEAN-5 data, extending the existing research in two directions. First, we use recently developed unit root tests which allow for more flexible nonlinear stationary models under the alternative than the commonly used Self-Exciting Threshold or Exponantial Smooth Transition AutoRegressions. Second, while different nonlinear models survive the mis-specification tests, a Monte Carlo experiment from generalized impulse response functions is used to compare their relative relevance. Our results i) support the nonlinear mean-reverting hypothesis, and hence the Purchasing Power Parity, in most of the ASEAN-5 countries and ii) point to the Multiple Regime-Logistic Smooth Transition and the Exponantial Smooth Transition AutoRegression models as the most likely data generating processes of these real exchange rates.

This paper investigates the predictive accuracy of two alternative forecasting strategies, namely the forecast and information combinations. Theoretically, there should be no role for forecast combinations in a world where information sets can be instantaneously and costlessly combined. However, following some recent works which claim that this result holds in population but not necessarily in small samples, our paper questions this postulate empirically in a real-time and mixed-frequency framework. An application to the quarterly growth rate of French GDP reveals that, given a set of predictive models involving coincident indicators, a simple average of individual forecasts outperforms the individual forecasts, as long as no individual model encompasses the others. Furthermore, the simple average of individual forecasts outperforms, or it is statistically equivalent to, more sophisticated forecast combination schemes. However, when a predictive encompassing model is obtained by combining information sets, this model outperforms the most accurate forecast combination strategy.

From quarterly postwar US and French data, this paper provides evidence of a bounce-back effect in inventory investment but not in final sales data. Actually, from a bounce-back augmented threshold model, it appears that i) the null hypothesis of no bounce-back effect is strongly rejected by the inventory investment data and ii) the one-step ahead forecasting performances of the models accounting for this bounce-back effect are well improved compared to linear or standard threshold autoregressions. This supports the conventional wisdom that inventory investment exacerbates aggregate fluctuations, in line with the recent theoretical models by, e.g., Wang and Wen (Wang, P., and Y. Wen. 2009. "Inventory Accelerator in General Equilibrium." Working Paper 010, Federal Reserve Bank of St. Louis) and Wang, Wen and Xu (Wang, P., Y. Wen, and Z. Xu. 2011. "When do Inventories Destabilize the Economy? An Analytical Approach to (s,s) Policies." Working Paper 014, Federal Reserve Bank of St. Louis) which clearly predict a destabilizing role of inventory investment over the business cycle. By contrast, our empirical findings cast doubt on models based on the stockouts avoidance motive for holding inventories.

The following three chapters examine: 1) whether Southeast Asian real exchange rates are nonlinear, 2) Bayesian inference on nonlinear time series model with applications to the real exchange rate, and 3) cyclicality and rebound effect in the stock market.Since the late 1990s, theoretical and empirical analyses devoted to the real exchange rate suggest that the dynamics could be well estimated by nonlinear models. The first chapter examines this possibility using monthly ASEAN-5 data, and extends existing research in two directions. First, we use recently developed unit root tests which will allow for more flexibility in stationary nonlinear models as an alternative to the commonly used SETAR or ESTAR model. Second, although different nonlinear models survive mis-specification tests, a Monte Carlo experiment using generalized impulse response functions is used to compare their relative adequacy. Our results i) support the nonlinear mean-reversion hypothesis, and thus purchasing power parity, in half of the cases and ii) indicate MRLSTAR and ESTAR as the most likely processes generating real exchange rates.The second chapter analyzes ACR model. We propose a full Bayesian approach to inference and particular attention is paid to the parameters of the threshold variables. We discuss the choice of a priori distributions and propose a Markov chain Monte Carlo algorithm to estimate the parameters and latent variables. A simulation study and application to real exchange rate data illustrate the analysis.The third chapter explores that different forms of overlaps in financial markets can present in a Markov Switching model. It builds on the rebound effects first analyzed by Kim, Morley and Piger [2005] in the business cycle and generalized by Bec, Bouabdallah and Ferrara [2011] to allow for a more flexible rebound type.Our results i) show that the rebound effect is statistically significant and important in all cases, but Germany where the evidence is less clear and ii) the permanent negative impact of bear markets on the index is significantly reduced when the rebound is explicitly taken into account.

This thesis first reviews the econometric theory of unit root tests allowing or not the possibility of one or more breaks. These tests are then applied to a set of US macroeconomic series. We then extend the analysis to the multivariate VAR case, in order to examine the stability or otherwise of the propagation mechanisms of monetary impulses. We will then consider the possibility of multiple breaks, at dates unknown a priori. The relevance of this extension will be examined in the light of the analysis of American monetary policy since the beginning of the 1960s. First, we consider two structural models, in which we identify a Taylor rule. In the first model we use the output gap, the federal funds rate and the current inflation rate as endogenous variables. In the second model we use the output gap, the federal funds rate and the expected inflation rate as endogenous variables. This should allow us, on the one hand, to contribute to the evaluation of the effects of a change in monetary policy on the US output gap and the two inflation rates, and on the other hand, to compare the effectiveness of US monetary policy between different periods. In a second step, we consider the same models but this time we assume three shocks are estimated simultaneously, a demand shock, a supply shock and a monetary shock. Our aim is to identify the sources of fluctuations in the variables in question.

The purpose of this thesis is to use modern tools of structural macroeconomics to answer a set of monetary questions. Price and wage rigidities as well as real frictions in the labor market are examined from different angles. In the first chapter, we take a purely positive approach to the evaluation of structural models. In the second chapter, we focus on the evaluation of monetary policy within the framework of models of the New Neoclassical Synthesis. In the third chapter, a new evaluation of the stylized facts proposed by the SVAR literature concerning the effects of a monetary policy shock on the economy is carried out. In the last chapter, we focus on real frictions in the labor market. We use a purely normative approach to assess the welfare cost of these real frictions in a monetary union.

This thesis constitutes empirical research on cyclical asymmetries in the conduct and transmission of monetary policy. By cyclical asymmetries we refer to the differences between the boom and bust phases of the business cycle. In chapter 1 we present a review of the literature on the Taylor rule and answer the question of whether this rule should be used as a normative or positive instrument. Chapter 2 estimates this rule using a Markov regime-switching model for five OECD economies. Chapter 3 provides a review of the theoretical and empirical literature on the asymmetric (sign, size and cycle) effects of monetary policy on economic activity. Chapter 4 introduces Markov regime-switching vector autoregression models (VAR-MS), our proposed definition of a nonlinear shock response function, and results of Monte Carlo simulations that show the superiority of our definition over the other two existing in the literature. Chapter 5 studies cycle asymmetries via the traditional interest rate channel using a VAR-MS model estimated for the US economy. Chapter 6 analyzes cycle asymmetries via the credit channel using a VAR-MS model estimated for the Eurozone economy. The results of these last two chapters are consistent with the theoretical literature.

A primary objective of this research is to identify the nature of the impulses behind the cyclical macroeconomic fluctuations observed in the main OECD countries. Beyond this identification, the aim is to demonstrate their impact on the level of economic activity and their degree of persistence. We therefore explicitly adopt the impulse-propagation approach for which economic fluctuations result from the propagation of exogenous shocks. This thesis brings original elements of evaluation to the debate on the sources of impulse of economic fluctuations that dominated the macroeconomy of the 1980s. The application of recent developments of the vector autoregressive methodology has led to enlightening results: domestic demand shocks contribute substantially to the variability of short-term activity. These shocks cause a positive and persistent response of the product. foreign demand shocks also have a stimulating effect on fluctuations. The convergence of these results for different countries reinforces their significance. We have sought to exploit them theoretically by studying the properties of an original model: the inclusion of government expenditure shocks in a two-country real business cycle model significantly improves its ability to reproduce the characteristics of observed international fluctuations, but is not sufficient to eliminate all the shortcomings of such a model. Our thesis therefore argues in favor of a syncretic view of economic fluctuations.