DUFRENOT Gilles

We investigate the effect of changing ENSO patterns on global commodity prices, including energy, metals/minerals and agriculture real commodity price subsets, while controlling for global economic output and interest rate via a global factor local projections (GFALP) model. We study the responses to climate shocks using a nonlinear multivariate model to assess differential effects across ENSO climate regimes. We find that commodity inflation is reactive to El Niño and La Niña events, but that this sensitivity can occur either in the short-or long-term depending on the commodity under investigation. For commodities in agriculture, we uncover an asymmetric influence of El Niño and La Niña shocks. More central banks are questioning whether climate change is part of their mission to stabilize prices. Our results indicate the existence of a direct link between weather anomalies and commodity inflation, one that should be integrated into the central banks' inflation targeting framework.

This paper investigates the dependence of the Option-Adjusted Spread (OAS) for several ICE BofA Emerging Markets Corporate Plus Indexes to the outbreaks of the Covid-19 viral pandemics between March 1, 2020, and April 30, 2021. We investigate whether the number of new cases, the reproduction rate, death rate and stringency policies have resulted in an increase/decrease in the spreads. We study the bivariate distributions of epidemiological indicators and spreads to investigate their concordance using dynamic copula analysis and estimate the Kendall rankcorrelation coefficient. We also investigate the effect of the epidemiological variables on the extreme values of the spreads by fitting a tail index derived from a Pareto type I distribution. We highlight the existence of correlations, robust to the type of copulas used (Clayton or Gumbel). Moreover, we show that the epidemiological variables explain well the extreme values of the spreads.

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.

In this paper we analyze how growing income/wealth inequality and the functional income distribution inequality have contributed to the sustained low potential growth observed in the industrialized economies during the last two decades, a period that includes the Great Recession (GR). Growing inequality may constitute a drawback for the recovery of these economies, especially after the Great Pandemic (GP). To this aim, we modify the semi-structural model originally proposed by Holston, Laubach and William, by considering the effects of several types of inequalities. We jointly estimate potential growth and the natural interest rates. We show that the latter can substantially modify the time path of the real interest rate that prevails when economies are at full strength and inflation is stable.

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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.

Is globalization responsible for pandemics? If so, should we unravel the threads woven over several centuries? Trade routes have always coincided with the appearance, disappearance and re-emergence of new viruses. This book explains why the evolution of globalization has strengthened these links: deforestation, intensive agriculture, the disruption of geological and geophysical cycles, global warming, as well as attacks on animal and plant biodiversity, have increased health risks. This book proposes to rethink globalization by inventing mechanisms of resilience to epidemic crises. Far from simplistic solutions, its authors lift the veil on the complexity of the issues raised by the articulation of sanitary objectives with international trade rules. The authors are convinced that in order to deal with the epidemic risks of the 21st century, it will be necessary to favour an approach that combines globalization, the environment and health.

This thesis analyzes external debt restructuring episodes that have occurred since 2000. We begin in the first chapter by presenting the episodes of private external debt restructuring that sovereigns have faced between 2014 and the present. This allows us to draw out the main features of recent events, in particular the shift in the type of instruments restructured to Eurobonds, the increased fragmentation of creditor bases to which collective action clauses have provided a response, as well as the quantification of losses incurred by creditors. We then turn, in the next two chapters, to the pattern of restructurings in one of the largest lenders to governments: China. We begin by gathering descriptive evidence through a case study analysis that allows us to identify salient facts, in particular the distinction between two restructuring methods: nominal haircuts and debt rescheduling. We then turn to a formalized approach by compiling a new database of Chinese restructuring episodes since 2000. We perform a statistical analysis via a Jordà model that finds a significant reduction in Chinese loans to governments after debt rescheduling. Finally, in light of the current COVID-19 crisis, we focus on African sovereigns. After presenting the evolution of their debt patterns, we focus on the risks of future restructuring episodes. We conclude by presenting options that could prove effective.

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This thesis asks the question of how fiscal policy could be used for development financing. It identifies and explores the channels through which developing countries can effectively mobilize resources (domestic and external) for development financing. To do so, we conduct policy-oriented research (using appropriate statistical and econometric tools) and make policy recommendations to developing countries. The first part of this thesis focuses on the issue of external resource mobilization in developing countries (Chapter 1 and Chapter 2). In Chapter 1, we analyze the effects of government spending on interest rate spreads in emerging countries. We show that developing countries could have better access to international financial markets by increasing their public investment and reducing their current expenditure. Specifically, spending on human capital (education and health) and other public infrastructure significantly reduces credit spreads. They should also improve the quality of governance since financial markets reward well-governed countries with better borrowing conditions. In Chapter 2, we examine the strength of fiscal policy rules in terms of improving developing countries' access to international capital markets. We find that the adoption of fiscal rules reduces interest rates on sovereign bond holdings and therefore improves access to financial markets. We explain this result through the credibility channel of fiscal policy: credible governments are rewarded in international financial markets with low interest rates and high sovereign debt ratings. Our results provide evidence that the adoption and proper implementation of fiscal policy rules is a substantial way for policymakers to improve developing countries' access to international financial markets. The second part of this thesis focuses on what developing countries could do to improve domestic resource mobilization (Chapter 3 and Chapter 4). Indeed, we explore the relationship between the adoption of fiscal rules and the reduction of income inequality (Chapter 3) and find that the adoption of fiscal rules reduces income inequality. These countries will be able to finance their development in a sustainable way (through reducing inequality) by adopting fiscal rules. In addition, we assess the effects of combating illicit financial flows on tax revenue mobilization (Chapter 4). We find that countries that comply with the Financial Action Task Force (FATF) Anti-Money Laundering and Combating the Financing of Terrorism (AML/CFT) Recommendations (cooperative countries) raise higher amounts of tax revenue than countries that do not comply with the FATF Recommendations (non-cooperative countries). Therefore, developing countries will be able to raise more tax revenue by implementing policies to prevent illicit financial flows. At the same time, they need to build good institutions.

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.

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.

This thesis aims to study in depth the dynamics and determinants of the exchange rate. It also examines the link between internal and external imbalances. The first chapter focuses on the effect of the changeover to the euro on the vulnerability of the current account to demand shocks and exchange rate misalignments. Our results show that with the adoption of the single currency, the vulnerability of the current account to demand shocks and exchange rate misalignments increases significantly. The second chapter of the thesis analyzes the robustness of the Balassa Samuelson (BS) effect for a panel of 38 developing and emerging economies over the period 1980-2016. We examine the internal and external versions of the BS hypothesis based on five different measures of the BS effect. We show that the internal version of the BS effect is only verified if the labor productivity differential between tradable and non-tradable sectors is used. We also find a robust effect of the relative price of non-traded goods to traded goods on the real effective exchange rate (REER). The third chapter studies the non-linear effects of infrastructure on the REER by estimating a Panel Smooth Transition Regression (PSTR) model, aiming to highlight a differentiated impact of infrastructure on the REER depending on the value taken by the transition variable. We consider three different transition variables: the stock of telecommunications per 1000 workers, the Electricity Generating Capacity (EPC) per 1000 workers and the quality of the electricity network. When the network is not completed or the infrastructure stock is low, an increase in EPC and telecommunications stock depreciates the REER, while the additional depreciation is smaller or non-existent once the network is established. The results obtained are discussed in light of several transmission channels.

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.

This thesis addresses three critical issues in exchange rate modeling: policy, seasonality, and determination. First, it proposes to model exchange rate management policies by uncovering the de facto renminbi basket since China's shift from a fixed to an intermediate regime in June 2010. With a non-linear model that identifies long- and short-term objectives, we demonstrate a slight deviation of the renminbi from its parity with the U.S. dollar to a basket peg. Second, this thesis studies the monthly seasonality of the foreign exchange market. Focusing on the US dollar-Deutsche mark followed by the dollar-euro in a non-linear framework, we document the persistent effects of January and December on the foreign exchange market from 1971 to 2017. The German-US equity return differential and corresponding two-way equity flows reveal similar effects over two-thirds of the sample, suggesting that seasonal outperformance of one country's stock market relative to another may induce carry trades via simultaneous capital flight to the higher-yielding stock market and appreciation of its currency. Finally, this thesis proposes a new variable for the determination of exchange rates, including the relative uncertainty in the stock markets of two countries. Focusing on the yen-dollar exchange rate returns from 2009 to 2019 in a non-linear framework, we find that an increase in the relative uncertainty of a stock market will lead capital to flow to the safer stock market and appreciate its currency.

This doctoral thesis empirically studies monetary optimality in ECOWAS. It is subdivided into four chapters and is based on a dynamic approach to the theory of Optimal Currency Areas (OCAs). Chapter 1 shows that the traditional theory of OMZs does not allow for a credible and clear-cut judgment on the capacity of West African states to form an optimal monetary space. It also highlights the ambiguity of the results obtained in previous empirical work. However, this work is dated and most of it is static and omits structural changes that may occur in the zone. Chapter 2 analyzes the degree of asymmetry of shocks within ECOWAS. We show that the region's economies are marked by relatively high degrees of asymmetries. However, we emphasize the need for a dynamic analysis of shocks because a monetary union that is considered costly at the outset may become beneficial over time. Chapter 3 identifies the determinants of business cycle synchronization in ECOWAS. We show that bilateral trade and financial integration are determinants of business cycle synchronization in the region. Furthermore, we show that the single currency increases business cycle synchronization through bilateral trade. Chapter 4 analyzes income and consumption smoothing mechanisms within ECOWAS. We show that official development assistance and gross savings help to smooth asymmetric shocks between ECOWAS countries. Furthermore, we show that although the degree of risk sharing has increased over time, it remains low. Thus, the creation of a fiscal fund could provide an additional tool to mitigate asymmetric shocks in the region.

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.

"Understanding. This is the purpose of this book. Why does France have unemployment that is struggling to be reduced? Why do prices rise or fall? Why do exchange rates vary and where does economic growth come from? Too often, we despair about unemployment and worry about weak economic growth without knowing the origins. Even worse, we criticize and praise the single currency without knowing its mechanisms and functions. Similarly, it is tempting to assert that all the government needs to do is increase its spending, or the European Central Bank to lower interest rates, in order to get the economy moving again. All these topics deserve to be explored in depth, in this age of misinformation and social networks. In the public and political debate it is often the economic issues that take a back seat or that are qualified as "technocratic". This book is intended for anyone who wants to understand current economic issues as well as for students who want to deepen and complete their knowledge of the subject. It is an intermediary between complex academic books and popularization that does not provide any demonstration. It uses both historical examples and scientific studies to educate the reader, while making economics accessible to all. In short, this book will speak Of economics." (source: publisher's website).

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. We consider global factors exerting downward pressures on inflation and examine how the neutral yield curve has affected the snowball effect in the dynamics of the Japanese public debt ratio.

This paper provides evidence that the external debt-to-fiscal revenue ratio in emerging countries follows a power-law distribution. Such a distribution reflects the fact that external debt distress or debt crises correspond to extreme events that have been found to happen fairly often. We formally test the hypothesis of a power-law, going further than the usual visual inspection of the distribution of the variable of interest on a doubly logarithmic scale. We also show that such a distribution can be derived from a theoretical model in which uncertainty comes from tax evasion and corruption. Using the framework of an optimal stochastic growth model, we model the external debt-to-fiscal revenue ratio as a diffusion process for which the stochastic steady state distribution is derived using the properties of Itô diffusion processes.

This paper investigates the sustainability of public finances in the European countries since 2002. We provide evidence of heterogenous behaviors among the EU countries and show that, even if they had been forced to focus their fiscal efforts on correcting the deviations of debt from their ceiling -through a correcting mechanism such as the recent TSCG rule-, this would not necessarily have changed the likelihood that debt and deficits become more sustainable. Sources of deviations from stable debt and deficits are related to the macroeconomic environment: the interest-growth differential, momentum dynamics in the sovereign bond markets, how markets react to rising debt.

We specify unconventional monetary policy reaction functions for the Fed using linear and nonlinear econometric frameworks. We find that nonstandard policy measures are largely driven by the dynamics of inflation and the output gap, with the effect being particularly strong during QE rounds. Moreover, we uncover the presence of asymmetry and regime dependence in central bank’s actions since the global financial crisis, especially concerning the response of the term spread and the shadow short rate to the growth rate of central bank reserves. From a policy perspective and given the lack of a systematic response of monetary policy to asset price growth in nonstandard times, our findings seem to corroborate the view that concerns about asset price bubbles, financial sector pro-cyclicality and systemic risk should be part of the macro-prudential policy toolkit.

We investigate whether a higher financial integration with the rest of the world can help the African countries reduce their production inefficiency and/or push up their efficient frontier of production. We use two alternative empirical approaches based, respectively, on a stochastic frontier analysis and quantile regressions. We provide evidence of heterogeneous situations across countries and time. This paper proposes a new approach for defining, at the aggregate level, a link between financial openness and production efficiency. We show that one size does not fit all: international financial integration can increase or decrease African countries' standard of living.

The back cover states: "The nerve center of capitalism is finance, whose raison d'être is to make money with money. Regularly shaken by crises, it poses a threat of instability to our societies. Above all, this capitalism is responsible for the explosion of social inequalities and the destruction of the planet's resources and climate, major ruptures that endanger the survival of future generations. The challenge of this book is to show that we can "civilize capitalism". By reintegrating the economy into social relations and restoring the commons, we can put capitalism back on the path to inclusive and sustainable growth. This book lays the conceptual foundations for this transformation, which requires participatory democracy in order to articulate social justice and political ecology. A fundamental book to think differently and in the long term about the relationship between finance, growth and climate".

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According to the author, professor of economics at the University of Aix-Marseille, the status of the poor has changed. Long forgotten by capitalism, they have become pillars of commercial profit. From this relationship between two contradictory entities emerges a questioning of the foundations and the future of the capitalist economic system. ©Electre 2018.

For at least two decades, the economies of the industrialized countries have been experiencing a trend deceleration in inflation and a flattening of inflation cycles. These phenomena are the result of several structural factors. The first is the weakening of the national determinants of inflation, which is reflected in the fact that inflation is less responsive to market pressures.

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This paper discusses the theoretical choice of exchange rate anchors 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 external 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 choice of policy mix is a two-step strategy: First, 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 trade integration with the rest of world and the degree of foreign exchange interventions. We conclude with regime-switching estimations to provide empirical evidence of how these economic fundamentals influence exchange rate policy in Sub-Saharan Africa.

Developments in macro-econometrics have been evolving since the aftermath of the Second World War.[.].

This paper proposes some simple models where the central bank trades off between stabilizing the business cycle and targeting inflation to a level that stabilizes the public debt ratio. We show that in a closed economy fiscal dominance does not necessarily imply hyperinflation. Moreover, in an open economy it is successful in lowering debt ratios when output is reactive enough to unconventional monetary policy and when the expectations of future inflation are well anchored to the debt-stabilization inflation target. We show that the dynamics of both inflation and public debt ratio are described by first-difference equations with time varying coefficients. We provide some conditions for the asymptotic solutions of the long-run steady states. In particular, we define two regimes of respectively strong and weak fiscal dominance, depending upon whether or not the central bank's action ensures both the sustainability and the speed of convergence of debt to its long-term level.

This paper attempts to provide an overview of the main challenges facing industrialized in a context of secular stagnation. There is no consensus on the meaning of this concept and various alternative views coexist. We present the key issues in the debates today, accounting for phenomena like the slowdown in factor productivity, liquidity and safety traps, the decline of natural interest rates, the historical downward trend of potential growths and low inflation rates. We provide a bird’s eye survey of the available literature on the causes of secular stagnation from a historical perspective, the symptoms, the main causes as well as some policies proposed to overcome it. We give some illustrations for the United Kingdom, the United States, the euro area and Japan.

Avoiding to assign emerging market countries a ‘typical’ behaviour, this article considers the heterogeneity across them and through time to predict their sovereign default episodes. Moreover, it focuses on the imbalance between defaulted debt and GDP. For the first time, we use a panel nonlinear regime-switching model whose explanatory factors have a different impact on sovereign default, depending on the regime the country belongs to. We mitigate some common views of the literature (in particular the ‘serial default’ theory) and identify countries deserving to be monitored carefully, because of a higher exposure to sovereign default risk.

While the austerity policies and budgetary reforms decided by the euro zone are having an increasingly perceptible impact on millions of european citizens, this book attempts to offer an answer to the questions that are running through public opinion. Beyond an overview of the euro zone, this book questions the relevance of austerity choices and raises the question of the adjustments to be made in a monetary union between heterogeneous countries.

After September 2008, due to the freezing of the interbank market, a lack of liquidity, a loss of confidence and the difficulties of financial institutions, the transmission of monetary policy within the euro zone was severely impaired. The European Central Bank (ECB) has therefore had to resort to unconventional monetary policies. Considering, within the Eurozone, the constraints imposed on the central bank and the fragmentation of the financial markets, the objective of this empirical thesis is to evaluate the transmission channels of the ECB's conventional and non-conventional monetary policies. Since banks' lending behavior is related to their funding costs, the first essay focuses on the transmission channel of bank lending. It studies the evolution of syndicated lending activities of European financial institutions and their response to ECB policies. Central bank communication is of particular importance in a monetary union. The second and third essays focus on the signaling channel. The second essay examines communication during monthly press conferences and its effects on the predictability of monetary policy decisions and on financial market returns and volatility. The last essay focuses on the use of forward guidance, an unconventional communication informing markets of the future level of short-term interest rates. It studies the effectiveness of this announcement and its ability to influence the interest rate forecasts made by market participants.

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The main objective of the authorities in Sub-Saharan Africa is to create sustainable growth in light of recent growth slowdowns. Sustainable growth could be achieved by rehabilitating internal and external vulnerabilities to avoid macroeconomic disruptions. In Sub-Saharan Africa, internal vulnerabilities stem from poor governance, ineffective economic policy choices, and other factors such as civil wars. Their external vulnerabilities are related to their high debt and trade dependence. Therefore, this thesis focuses on mitigating both vulnerabilities. The first chapter proposes a comparison of the resilience of two monetary policies to several types of shocks. It considers inflation targeting in Ghana and South Africa and the currency board in the WAEMU while simulating shocks on the FPAS model. The second chapter focuses on the objective of addressing external vulnerabilities. A strategy for anchoring the nominal and real exchange rate regime to stabilize the cost of debt and promote trade competitiveness is proposed. We solve a general equilibrium model to find its main determinants while safeguarding our results using SVAR and MS-VAR estimations. Thus, the third chapter solves for internal vulnerabilities. We test the role of a fiscal policy-driven monetary policy and the existence of a large parallel exchange rate in the propagation of chronic high inflation in a context of civil disorder by estimating an SVAR and a VECM in the fragile state of Sudan.

The objective of this thesis is to better understand the determinants of sovereign risk and fiscal sustainability in emerging countries, in order to identify the elements that would allow these countries to protect themselves from such risk. We implement econometric and theoretical tools adapted to the specificities of these countries. These tools are then used to try to anticipate episodes of severe sovereign default via a regime change model of the "early warning" type, to carry out stochastic simulations of the sovereign debt ratio in the medium term and to evaluate the effects of fiscal policies defined at this horizon and finally, to characterize the distribution of the external debt ratio of these countries. This thesis intends to identify the countries that seem to be the most exposed to sovereign risk and to define policy recommendations that take into account the heterogeneity within the "bloc" of emerging countries and over time.

This research work is devoted to studying the stability of the long-run equilibrium associated with a liquidity trap, investigating the consequences of one of the unconventional monetary policies implemented since the Great Recession, and the possibility of using a feature of the monetary policy operating framework as an additional tool that would allow central banks to implement a policy that strengthens the real economy while simultaneously addressing any concerns about increased risk-taking in the economy due to low interest rates.

This paper discusses the monetary and exchange policies followed by Latin American countries during the financial crises that have appeared each decade since the beginning of the 1980s. We examine the implications of a phenomenon defined by Reinhart as “this time is different”. In particular, we report errors in the diagnosis of the structural causes of past financial crises, and the damages caused by the choice of fixed exchange rates. The article also looks at the problems facing the countries today: the resource curse, the dilemma between currency appreciation and financial bubbles, inflation targeting policy. We suggest that governments have learned from past crises, by further anchoring their financial policies to the reality of their economies: the exchange rate regime is no longer the guiding element of inflation policy, loans in local currency have increased due to the rise in domestic bond markets, monetary policies have remained accommodative during the 2008 financial crisis, and central banks have used swap agreements to meet their needs of international currencies. Classification JEL: E52, F14, F31, F33, F42, O11, O54.

This paper provides evidence that the external debt-to-fiscal revenue ratio in the emerging countries has a power-law distribution. Such a distribution reflects the fact that debt distress or debt crises are extreme events that have been found to happen fairly often. We formally test the hypothesis of a power-law, going further than the usual visual inspection of the distribution of the variable of interest on a doubly logarithmic scale. We further show that such a distribution can be derived from a theoretical model in which the debt dynamics is explained by tax evasion and corruption. Using the framework of an optimal stochastic growth model, we model the debt-to-fiscal revenue ratio as a diffusion process for which the stochastic steady state distribution is derived using the properties of Itô diffusion processes.

Globalization is probably the main characteristic of the world economy of the 21st century. It is reflected in particular in the integration through trade, financial and commodity markets. While such a context affects all types of economies in a very significant way, it should be emphasized that small open economies dependent on commodity exports, and open to global financial markets, are generally the most exposed. The Chilean economy has all these characteristics. It is in this context that this thesis explores the effectiveness of Chilean fiscal policy and the effects of commodity prices and international financial shocks on Chilean GDP and other important macroeconomic variables. To this end, an empirical approach based on vector autoregressive models is used.

This thesis contributes to the literature on prudential standards for bank risk management, the causality between financial development and economic growth, and the moral hazard hypotheses of bank capital regulation. The subprime crisis of 2007 has paradoxically served to highlight once again the shortcomings of the Basel I and Basel II prudential standards, due to its various consequences on global banking systems. By adopting an econometric approach and exploiting panel data on a sample of banks in sub-Saharan Africa and the Maghreb, we have used more specifically the Granger causality technique and the GMM estimation technique in order to carry out empirical studies on the causality between financial development and the real economy on the one hand, and on the other hand the relationship between capital and profitability (risk) of banks. The results underline the dependence between certain variables of bank profitability and economic growth on the one hand, and on the other hand, the behavior of African banks, in terms of capital ownership and excessive risk taking, fits perfectly with the moral hazard hypotheses and the capital regulation of the Basel Committee.

This study focuses on foreign direct investment and international tourism. It is a simultaneous study on international tourism demand in terms of both arrivals and receipts. These elements have been the subject of little previous work, due to the specificity of tourism and the gaps in statistical data. This work is in two parts. The first part is divided into two chapters. The first chapter presents an economic analysis of FDI, including the tourism sector and international tourism. In the second chapter, the main determinants of FDI and the tourism sector are studied. The second part concerns econometric applications and typological classification of FDI determinants. In the first chapter, the statistical data, the methodology concerning descriptive statistics, and the econometric models are studied in order to demonstrate the link of interdependence and interaction. The second chapter is devoted to the analysis of the tests of the countries involved. The association of the results of the econometric tests with a study of the monograph of each country allows us to establish a ranking of the determinants of FDI for tourism.

This note provides an overview on recent theoretical and empirical developments in decision-making under uncertainty, monetary policy and financial markets. It introduces in particular a special issue that contains a selection of papers presented at the third International Symposium in Computational Economics and Finance (ISCEF) in April 2014 in Paris (www.iscef.com). The papers, both theoretical and empirical, discuss issues that improve our understanding of how computational tools can be used to facilitate our understanding of the agents' behaviors and policies.

This paper proposes a regime-dependent model to estimate fiscal multipliers in the US. Output, consumption and investment are assumed to respond to tax and spending changes in a nonlinear manner. Fiscal multipliers are time-varying because their size and sign depend upon the state of the economy (upturns and downturns). Keynesian effects appear essentially during downturns, while anti-Keynesian effects are observed during expansions. Transfer payments contributes to a higher private consumption when they are given to consumers in bad times. Reducing taxes boosts consumption in good times. Investment responds positively to lower taxes during downturns, but negatively in the upturn regime. Our results thus suggest that Keynesian effects have been associated to expansionary policies during recessions, while anti-Keynesian effects were observed during expansions illustrating situations of expansionary fiscal consolidation. The effectiveness of fiscal positive impulses increases in downturns relative to upturns. A corollary is therefore that austerity measures during recessions would have detrimental effects on the GDP and its components.

This paper tries to identify the macro-financial imbalances that exposed the euro area countries to fiscal stress before the outbreak of the European debt crises. Contrary to conventional wisdom that interprets fiscal stress in terms of fiscal sustainability, we focus on short-term fiscal vulnerability as reflected by the conditions of debt refinancing in the sovereign bond markets. We find that market-based indicators capturing risk perceptions of sovereign debts have been influenced by the indicators defined in the European Macroeconomic Imbalance Procedure (MIP) and by variables of financial vulnerability. When pricing the risk of sovereign bonds, the holders of government debts take into account, not only the macroeconomic imbalances, but also factors such as banking distress, corporate bond risk, liquidity risks in the interbank market or the volatility of stock prices.

This paper investigates, in the case of the euro area, the standard assumption that the liquidity trap steady state, which arises from the existence of the zero lower bound on the nominal interest rate, is locally unstable. We show that the policy function of the European Central Bank (ECB) is described by a nonlinear Taylor rule. Then, using our estimations, we show that around the liquidity trap steady state the equilibrium is locally determinate for most plausible parameter values. Finally, we find that an inflation shock is more efficient than a demand shock to escape the liquidity trap steady state.

This paper provides evidence of various reactions of growth rates to changes in the composition of taxes and public spending in Europe. We use a quantile estimator to allow different slopes of fiscal variables, across countries and years. We find that sovereign spending should be encouraged in the medium term if growth is low, but the medium-term effect on the economic activity is not positive in situations of moderate or rapid growth. Human capital expenditure jeopardizes growth, if a country belongs to the group of under-performers, while the initial costs are progressively transformed into growth-friendly factors for the group of over-achievers. Welfare expenditure is unproductive in the medium term, but only above a given growth threshold. Higher direct taxes are more harmful for low-growth countries, since their effects are more persistent than for countries with high growth. Our findings are contrary the idea that one size fits all.

This paper presents a continuous time stochastic growth model to study the effects of tax evasion and tax corruption on the level and volatility of private investment and public spending that are both factors of growth. The model highlights several channels through which the mean and volatility of these variables are affected. We first stress the role of equity markets, showing that the evasion outcome for the private sector is not necessarily viewed as a burden. Equity market performs here have the same role as a policy of tax exemption. In societies in which the share of private investment in percentage of GDP is growing, in which tax cheaters usually choose to shelter the proceeds of their illegal activities from the official financial institutions, and in which the productivity of public spending is often low, tax evasion and tax corruption may contribute to the development of private capital if people find an opportunity to invest the proceeds of their illegal activities in equity markets.

The purpose of this thesis is to study the links between macroeconomic imbalances and crises, and to see to what extent taking them into account can help improve crisis management in the eurozone countries. The different chapters of this thesis attempt to answer three important questions: What macro-financial indicators could help to better anticipate episodes of fiscal stress in eurozone countries? What would be the consequences of the implementation of a bank deposit guarantee scheme on macroeconomic variables and on the behavior of investors, investors who would take into account the risk of sovereign default? To what extent could a better quality of institutions and governance help to improve the long-term growth of an economy constrained by the international capital market? Taking a short-term approach, the first two chapters show the importance of market confidence in the analysis of the link between macroeconomic imbalances and crises. In the third chapter, we adopt a longer-term perspective to analyze the effects of market confidence on growth dynamics. Our approach is both theoretical and empirical. The theoretical approach is based on DSGE models (dynamic stochastic general equilibrium models) and the modeling of a crisis in a small open economy. The empirical approach focuses on Probit/Logit models on panel data and on an early warning indicators model.

Microfinance has been developing considerably in the world for a long time. It remained insignificant until the 1990s in the member states of the Economic and Monetary Community of Central Africa (CEMAC) before experiencing, under the combined effect of the World Bank's active role in the fight against poverty, a poorly codified legal context and exclusive economic policies, its rapid growth and expansion marked by a certain anarchy and many bankruptcies with negative consequences on the economies and morale of the poor populations that are clients of microfinance institutions (MFIs).Aware of the political stakes and encouraged by World Bank experts, the CEMAC heads of state sought solutions to regulate this sector by entrusting the Central African Banking Commission (COBAC) with the mission of building a regulatory framework and ensuring supervision.Despite this regulation, the failure rate of MFIs remains high, which suggests that there are structural flaws that hinder the applicability of the texts and/or the exercise of good supervision.Based on an empirical study built around a sample of microfinance organizations, the study highlights failures whose characteristics can be analyzed in order to identify appropriate strategies to remedy them.The study dismisses the lack of client assets as a risk factor justifying prudential regulation. It shows that MFIs operate in a context of imperfect information with joint liability group loans and individual repeat loans. This regulation of microfinance in CEMAC tends to conform to international prudential standards. However, it appears that it needs to be corrected for greater effectiveness and efficiency.

This thesis investigates the distortions and frictions that create capital misallocation in emerging economies, i.e. heterogeneous capital accumulation between the private and public sectors, excessive savings (by households and firms), and the slowdown of investment in certain sectors. The first chapter shows, through a dynamic general equilibrium model including different types of firms, that in the Chinese economy, the allocation of household savings to state-owned enterprises (SOEs) by the banking system has both a domestic and an international scope. First of all, it helps to explain to a large extent the configuration of capital flows in China: despite the strong growth of its total factor productivity, China observes a strong accumulation of foreign exchange reserves while the inflow of Foreign Direct Investment (FDI) is important. Moreover, by channelling household savings into SOEs, this allocation of capital also explains, in this model, the fall in consumption (which is a major current problem in China's transition). Additional frictions are introduced in the model, such as privatization, capital expropriation, moral hazard and capital controls, also playing a significant role in the appearance of imbalances in the Chinese economy. The second chapter focuses on the distortion that played a key role in the misallocation of capital in the Chinese economy, the credit bias in favor of SOEs, and extends its analysis to other emerging countries by focusing on FDI inflows. The study is empirical with global and sectoral approaches, using different methodologies applied to two samples of emerging countries. The increase in the distribution of credit to SOEs, to the detriment of private firms, slows down the increase of FDI inflows, specifically in the manufacturing sectors. Indeed, the latter have a high dependence on external financing and the share of private enterprises is higher than in the tertiary sectors. In order to correct the imbalances of the Chinese economy analyzed in the theoretical framework of the first chapter, the third chapter proposes a tax system consisting of heterogeneous taxes between the different types of enterprises in China (SOEs, domestic and foreign private firms), as well as taxes on household income and on credit repayments. The reforms aim at reducing overinvestment by most firms, increasing consumption, and maximizing welfare. Some reforms impose higher taxes on state-owned enterprises, allowing for a reallocation of labor to private domestic and foreign firms. In addition, the adjustment of factor costs (labor and capital) between the private and public sectors, and between domestic and foreign firms, is sometimes necessary during the reforms applied in this model. These reforms to increase consumption and decrease investment bring welfare benefits to households, and the rebalancing of domestic demand does not necessarily require an adjustment in the external financial position. Finally, the thesis concludes with an extension of the previous model, with nominal rigidities and taxes on consumption of foreign and domestic goods applied during the consumption-increasing reforms.

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.

This thesis studies the choice of exchange rate regimes in particular economic contexts. The first part (Chapters 1 and 2) considers the case of small countries whose debts are denominated in foreign currencies and the case of a region made up of such small countries when there is a similarity in the composition of the baskets defining their effective exchange rates. The second part of the thesis (Chapters 3 and 4) focuses on the consideration of different exchange rate regimes in the monetary context of liquidity traps compared to a traditional monetary environment. Based on DSGE theoretical modeling, Bayesian econometrics and panel data, the thesis mainly uses the analysis of response functions, welfare functions and monetary misalignments as criteria for comparing several alternative monetary regimes. The main findings of this thesis can be summarized as follows. The flexible exchange rate appears to be the best regime for small open economies such as those in Southeast Asia. At the regional level, it is shown that effective targeting leads to stability in the region's bilateral exchange rates, a kind of exchange rate fixity that would resemble a de facto currency area. In the monetary context of liquidity traps, it is found that, contrary to the common belief during the eurozone crisis, monetary union is more effective than national flexible exchange rate policies. Only an intervention on the nominal exchange rate could allow the independent exchange rate regime to dominate the monetary union. Through a theoretical and empirical analysis of the effect of the liquidity trap on the magnitude of monetary misalignments, it is also shown that the ZLB constraint tends to reduce monetary misalignment in a currency union compared to national floating policies.This argues for strengthening monetary integration within a union during the liquidity trap period.

We test for nonlinear effects of asset prices on the fiscal policy of three major European economies (the UK, Italy and Spain). We model primary government spending and government revenue as time-varying transition probability Markovian processes (TVPMS). We find that while in Italy fiscal policy is substantially neutral vis-à-vis asset price movements, fiscal authorities in the UK and Spain seem to track the dynamics of wealth. In particular, revenue-based fiscal policy interventions in the UK are particularly effective in counteracting shocks in the asset markets induced by sharp wealth fluctuations. Similarly, in Spain, the spending-side of the fiscal policy plays a dominant role in stabilizing stock and housing markets.

No summary available.

The objective of this thesis is to further analyze the convergence process and the drivers of economic growth in the Franc Zone (FTZ). First, the use of the panel unit root test with structural shocks by Carrion-I-Silvestre et al. (2005) revealed a stochastic convergence only in the WAEMU. The complementary analysis in terms of β-convergence in the latter showed a process of catching up by Burkina Faso and Mali, a convergence of Togo towards the community average and divergences of Niger and Senegal from this average. Next, we estimated the impact of the FTA by comparing member countries to other similar developing countries. The random-effects panel estimation showed that, on average, ZF countries had lower growth than their counterfactuals. This inferiority was also helped by inflation, government spending, and bank lending policies but mitigated by investment policies. Finally, the use of iterative Bayesian estimation and comparison of these estimators revealed that the FTA and African economic and/or monetary groupings did not introduce specificities in convergence and economic growth drivers. Beyond the FTA, this approach highlighted the preponderance of natural endowments in the convergence and economic growth processes of African countries. Ultimately, the results of this thesis suggest further reflections on how the FTA works.

We test for nonlinear effects of asset prices on the fiscal policy of three major European economies (the UK, Italy and Spain). We model primary government spending and government revenue as time-varying transition probability Markovian processes (TVPMS). We find that while in Italy fiscal policy is substantially neutral vis-à-vis asset price movements, fiscal authorities in the UK and Spain seem to track the dynamics of wealth. In particular, revenue-based fiscal policy interventions in the UK are particularly effective in counteracting shocks in the asset markets induced by sharp wealth fluctuations. Similarly, in Spain, the spending-side of the fiscal policy plays a dominant role in stabilizing stock and housing markets.

No summary available.

The paper examines the monetary policy actions through which central banks in sub-Saharan Africa have tried to eliminate the negative impacts of the shocks facing their economies. We compare two different monetary policy regimes: a currency board regime (in the CFA zone) and an inflation targeting policy regime (Ghana and South Africa) when central banks respond to demand, supply, and fiscal shocks. We extend the usual forecasting and policy analysis system models to replicate the economic features of these economies during the period 2002–12 and to evaluate the impact of several policies in response to these shocks. We find that both policies are inappropriate in helping the economies escape from the effects of negative demand shocks, both are essential when negative shocks to primary balance occur, while inflation targeting dominates the currency board regime as a strategy to cope with positive shocks to inflation.

The objective of this work is to analyze the transmission channels of monetary policy in the context of a monetary union. We first analyzed the governance, independence and transparency of the institutional framework for implementing monetary policy. Using the Grilli et al. (1991) model, we found that the BCEAO has a high degree of independence, consistent with modern central banks. Then, the estimation of structural VAR models on quarterly data, in which policy rates are considered exogenous and other variables weakly exogenous, shows the heterogeneity・ of the effects of monetary policy in the union member countries and the existence of two main transmission channels, namely the interbank rate channel and the credit channel. Our results confirm small but significant effects of key interest rates on inflation and investment. The direct effect of policy rates on GDP is small and insignificant. Finally, the study of the BCEAO's reaction function allows us to address issues related to the trade-off between inflation and output in the conduct of monetary policy. The estimation of a modified Taylor rule, incorporating an explicit intermediate target for external assets, leads to a trade-off in favor of activity since the implementation of the 1989 monetary policy reform.

This paper uses a quantile regression analysis to investigate differences across the ECOWAS countries of the engine of growth. Specifically, we want to see whether differences in the growth rates are related to domestic factors of economic growth (investment, human capital and financial intermediation), policy variables (inflation and government consumption) and institutional factors (degree of bureaucracy, accountability, corruption and property rights). Our empirical investigation provides evidence of heterogeneity in the determinants of economic growth depending upon the location of countries in the conditional distribution of per-capita GDP growth. We find that in the upper tails of the distribution, governance and institutional variables are more crucial in impacting growth than the standard determinants of growth in the neoclassical growth models. Conversely, for the lower tails of growth distribution, the economic growth seems to depend more heavily on the accumulation of physical capital and on education.

This thesis offers four contributions to the study of monetary policy in the context of the Vietnamese economy, from 1995-1996 to the present.Chapter 1 provides an overview of the Vietnamese economy and its monetary policy. It is a chapter that problematizes the issues dealt with econometrically in the rest of the thesis.Chapter 2 show that there is a long-term relationship between the black market exchange rate and its monetary variables. The official exchange rate, money supply gap and domestic interest rate have significant positive effects on the black market exchange rate while real domestic output and foreign interest rate have a significant negative impact on this index. Chapter 3 provide strong evidence on the long-run relationship between the exchange rate and its relative monetary fundamentals. Although the signs of the estimated interest rates are ambiguous, the estimated coefficients on money and yield are consistent with all traditional variants of the monetary model of exchange rate determination. Finally, we find that the pass-through of the exchange rate to inflation is strong and rapid, and that the exchange rate has a significant positive effect on inflation. The money supply plays an important role in determining inflation while the interest rate does not seem to have a significant impact on inflation. In addition, the price of oil has a significant influence. A US interest rate shock plays an insignificant role in explaining the variability of domestic macroeconomic variables.

This thesis focuses on the macroeconomic effects of exchange rate regimes on the one hand, and on recent developments in fiscal policy and decentralization on the other. Part I focuses primarily on the interaction between exchange rate regimes (ERs) and fiscal, monetary and tax policy. First, we show that ERs can have a stabilizing effect on fiscal policy (chapter 1). However, this stabilizing effect of CRs is not automatic but rather depends on the consequences of a lax fiscal policy. Chapter 2 looks at the causality between CRs and crises (banking/financial, exchange rate and debt) and challenges the bipolar view that claims that intermediate CRs are more vulnerable to crises than wedge solutions (fixed/flexible CRs). Our analysis shows that macroeconomic fundamentals (private sector credit volatility, deficit financing, and the debt-to-GDP ratio) play a considerable role. Chapter 3 highlights a link between CRs and fiscal policy. Countries with fixed CRs show a greater reliance on domestic revenues - such as VAT - than countries with intermediate/flexible exchange rates to compensate for losses in seigniorage revenues (substitution effect). In addition, these countries with fixed CRs collect more domestic revenues to compensate for the loss of customs revenues as a result of trade liberalization (competitiveness effect). In the last three chapters (Part II), we focus on fiscal policy and the effects of decentralization. Chapter 4 reveals a non-linear relationship between fiscal policy and the business cycle, which depends on the level of public debt. When the latter exceeds a certain threshold (87%), fiscal policy loses all countercyclical properties. We also show that the ex-ante disciplinary effect of fiscal rules helps to restore the countercyclicality of fiscal policy. In chapter 5, we show that fiscal decentralization, in a politico-institutional framework free of corruption, improves the supply of public goods and services. Chapter 6 concludes that decentralization has a positive impact on the structural balance. However, an asymmetry between expenditure and revenue decentralization increases the dependence of local governments on the central government in terms of transfers, and would considerably undermine the positive effect of decentralization.

The complexity of financial markets and the resurgence of particularly severe crises are contributing to the evolution and questioning of so-called standard econometric models for explaining and forecasting financial dynamics. The warning given jointly by prudential managers and researchers aims at encouraging the development of more complex, non-linear models largely inspired by other disciplines. We argue in this thesis that a chaos-stochastic approach to financial chronicles is likely to lead to better results. The relevance of this association is evaluated for market risk in two distinct analytical frameworks. We show the interest of a synthesis of chaotic models and GARCH specifications with or without Markovian regime shifts (MRS) for the modeling and forecasting of the Value-at-Risk of Eurozone stock indices. This study shows better results for the chaos-stochastic models and, in the case of the MRS-GARCH specifications, a better adequacy of the chaotic model of Lasota(1977) for the Southern European indices, which are particularly more volatile than those of Northern Europe for which we recommend the Mackey-Glass(1977) model. This combination allows us, in a bivariate framework, to better understand the links between the different stock markets of the euro zone. We introduce two new specifications that integrate the issues related to correlation breaks: the first one allows us to distinguish, through a sub-period analysis, the interdependence relationships from the contagion phenomena and the second one proposes, in a unified framework, to integrate the correlation breaks. This dual analysis highlights the driving role of the Franco-German index pair, the existence of two distinct spheres made up of Northern European indices on the one hand and Southern European countries on the other, and the intensification of certain relationships between indices following the sovereign debt crisis. We note and insist on the relevance of a chaotic model on average to account for part of the volatility wrongly attributed to GARCH effects.

In the face of the success of Southeast Asian economies, favored by an export-led growth strategy, a large literature has developed around the question of the impact of exchange rate misalignments on economic growth. Our work sheds additional light on this subject, focusing on the particular case of Sub-Saharan African economies whose overall growth trend seems to have picked up since the beginning of the 21st century. In this perspective, we first address the issue of determining the equilibrium exchange rate, since it serves as a reference in the evaluation of misalignments. This step allows us to address the question of the contribution of the exchange rate regime in limiting misalignments. It then appears that the contribution of the exchange rate regime in terms of limiting misalignments is ambiguous. At the end of this analysis, we then consider the actual evaluation of the influence of misalignments on the growth of 16 Sub-Saharan African countries. At the end of this research, the results obtained show that overvaluation has a negative impact on economic growth. However, undervaluation does not have a favorable effect, regardless of the institutional framework used. As a result, it seems that the solution of leaving the monetary union for Franc Zone countries cannot be justified by the hope of regaining additional leeway through exchange rate manipulation.

This paper provides evidence that forecasts in macroeconomic fundamentals can drive the changes observed in the sovereign bond spreads in a nonlinear fashion. More specifically, the impact of the anticipated macroeconomic variables on sovereign spreads depends upon the global conditions prevailing in the financial markets (appetite for risk, market liquidity, health of the banking sector). We use a nonlinear model of sovereign spreads, namely a time-varying probability Markov-switching model. The paper adds to the empirical literature by documenting that the strength with which changes in market expectations of economic fundamentals are factored in the determination of the Euro area bond market spreads is regime-dependent. Such dependence implies multiple “equilibrium relationships” between spreads and macroeconomic variables, and switches between the equilibria. We contribute to the literature by first proposing a simple analytical model in which some sources of regime switches are described. In particular, spreads are affected by the investors’ perceived probability of default on debt servicing by governments and this probability varies across time because investors anticipate the future outcome of macroeconomic fundamentals influencing sovereign debts. We then consider a reduced-form of the analytical model to illustrate the empirical performance of time-varying Markov-switching model in describing the experience of the euro area spread between 2003 and 2009.

We test for non-linear effects of asset prices on the fiscal policy of four major European economies (France, Italy, Spain and UK). We model government spending and revenue as time-varying transition probability Markovian processes (TVPMS), and find that: (i) in France and Italy, the impact of housing prices on government revenue is conditioned by the phase of the stock price cycle. (ii) a similar asymmetric pattern is found for the UK when considering the effect of stock price fluctuations on government revenue and spending vis-à-vis the troughs and peaks of aggregate wealth. and (iii) for Spain, a fall in government revenue is typically associated with a negative performance of the housing market, while government spending does not seem to adjust to the dynamics of financial market. In addition, the magnitude of the contribution of housing prices to changes in government revenue appears to have dominated that of stock prices in France and the UK. As for government spending, changes in this policy instrument are correlated with changes in asset prices, but the effect depends on the magnitude of the price variation and the influence of the output cycle. Therefore, the empirical evidence corroborates the idea that accounting for the dynamics of asset markets provides a more accurate assessment of the fiscal stance.

The question examined in this paper is the following. Assuming that money played a role in the prediction of inflation, which of the nominal money gap or real money gap did the best job in the European countries? Answering this ques- tion helps us to compare the different strategies undertaken by the central banks in the countries that were members of the EMU. In the countries that participated in the Exchange rate mechanism (ERM) and then adopted the Euro, the policy preferences have been dominated by tacking monetary aggregates, while some non-euro countries preferred to focus on the direct effects of real money growth. The authors use panel data econometrics allowing for heterogeneous short-run and long-run dynamics among the countries. An important result is that the real money gap may be equally informative about future inflation. This plays against the dominant view of a quantitative theory approach of inflation in Europe.

This paper provides evidence that the European Central Bank (ECB) has adjusted its interest rate since 1999 nonlinearly according to the macroeconomic and financial environment in the euro zone. Its policy function is described by a Taylor rule with regime shifts implying that the stance of reaction to the inflation-gap and output-gap has varied according to the credit risk in the private and sovereign bond markets, the monetary base and past levels of inflation, output and the shocks affecting the European economies. We provide evidence of regimes corresponding to low to high levels of inflation with the possibility of a situation near a zero low bound (ZLB) for the interest rate. We study the implications of such a rule for the economy in a simple new-Keynesian framework and show that it is consistent with several stable long-run steady states equilibria among which one that is consistent with the recent situation of a near liquidity trap in the euro area. We also find that around this liquidity trap steady state the equilibrium is locally determinate for most plausible parameter values. We discuss the issue of moving from a situation of low nominal interest rate to a policy that have been more typically implemented in the past by relying on an analysis of the impact of shocks (supply and demand) to the economy.

This thesis aims to study the link between exchange rate regimes, exchange rate misalignments and global imbalances. It is conducted in the context of an evolving panel of economies ranging from developing to developed countries. It covers three main themes. First, we examine exchange rate misalignments in the CFA zone and the proposed monetary union in West Africa. We then study the implications of a country's choice of exchange rate regime on its resilience to external imbalances. Finally, we analyze the influence of exchange rate misalignments on the persistence of global imbalances, as well as the interactions between macroeconomic imbalances.We show that the anchor currency (the euro) plays a predominant role in explaining CFA franc misalignments, all else being equal, including the fundamentals of the CFA franc. Based on a new methodology based on the synchronization of misalignments that we propose, we show that there are similarities between the WAEMU countries, Ghana, The Gambia and Sierra Leone in the context of a monetary union. We show that the persistence of current account imbalances is strongly and asymmetrically related to exchange rate misalignments in developed countries and that macroeconomic imbalances interact strongly through a causal relationship.

This paper attempts to analyze the relationships between the ASEAN-5's business cycles. We examine the nature of business cycle synchronization trying to disentangle between intraregional and interregional synchronization by considering the important role of China, Japan and the US in synchronizing the activity within the ASEAN-5. We employ a time-varying transition probability Markov switching framework in order to allow the degree of synchronization to fluctuate across the phases of the business cycles. We provide evidence that the signals contained in some regional and global leading business cycles can impact the ASEAN-5's business cycles.

This introduction presents a selection of articles dealing with the issue of measuring the fiscal and financial vulnerabilities in the advanced economies. These articles were presented at a conference organized jointly by the Banque de France and BETA in Strasbourg on 13–14 September. The authors show that the improvement of macroeconomic toolkit goes hand in hand with the strengthening of fiscal frameworks and the tools for managing financial tensions. They propose several indicators in order to capture the variety of vulnerabilities observed in the industrialized countries since the recent great depression: funding needs, market perceptions risks, stress dependence among sovereigns and the reactions of governments to cope with these new challenges.

This paper attempts to provide evidence of “shift-volatility” transmission in the East Asian equity markets. By “shift-volatility”, we mean the volatility shifts from a low level to a high level corresponding respectively to tranquil and crisis periods. We examine the interdependence of equity volatilities between Hong-Kong, Indonesia, Japan, Malaysia, the Philippines, Singapore, Thailand and the United States. Our main issue is whether shift-volatility needs to be considered as a regional phenomenon, or from a more global perspective. We propose several indicators that are be useful to guide the investors in their arbitrage behavior in the different regimes: the duration of each state, the sensitivity of the volatility in a market following a change in the volatility in another market. Finally, we are able to identify which market can be considered as leading markets in terms of volatility.

This special issue provides several views about the sources of the current crisis and policy solutions to cope with it. It brings together papers from academic institutions, international organizations and central banks. The first three papers argue that the crisis was triggered by the lack of confidence of the investors in the markets. This was reflected, for instance, in the pricing of the public debt (with an increase in the sovereign debt spreads) and in the reduced syndicated lending in wholesale lending markets. The other three papers focus on policy aspects by analyzing indicators that could serve as early warning signals of increasing stress and vulnerability. The authors propose three set of indicators: policy‐based indicators, some variables used in the macro‐prudential literature and financial indexes. The papers are a selection of papers presented at a Conference on Macroeconomic and financial vulnerability indicators in advanced economies co‐organizes by the Banque de France and the University of Strasbourg on 13–14 September 2013. Copyright © 2013 John Wiley & Sons, Ltd.

This paper presents a quarterly macro econometric model of Kazakhstan. The main goal is to provide a stylized representation of the Kazakh economy in order to simulate the consequences of several economic policies viewed by the authorities as essential during the period of transition to a market economy. The policy simulation potential of the model is illustrated by five types of simulations: interest rate shocks, foreign direct investment shocks, world oil price shocks, foreign demand shocks and nominal wages shocks. These sets of simulations show the importance of foreign direct investments in terms of theirs global positive effect, as well as the demand effect of an increase in the wages. We also find that effect of the tight monetary policy is not unambiguous. we argue that in some cases it is not the most efficient policy instrument to sustain the economy. Copyright Springer Science+Business Media New York 2014.

This paper provides evidence that forecasts in macroeconomic fundamentals can drive the changes observed in the sovereign bond spreads in a nonlinear fashion. More specifically, the impact of the anticipated macroeconomic variables on sovereign spreads depends upon the global conditions prevailing in the financial markets (appetite for risk, market liquidity, health of the banking sector). We use a nonlinear model of sovereign spreads, namely a time-varying probability Markov-switching model. The paper adds to the empirical literature by documenting that the strength with which changes in market expectations of economic fundamentals are factored in the determination of the Euro area bond market spreads is regime-dependent. Such dependence implies multiple “equilibrium relationships” between spreads and macroeconomic variables, and switches between the equilibria. We contribute to the literature by first proposing a simple analytical model in which some sources of regime switches are described. In particular, spreads are affected by the investors’ perceived probability of default on debt servicing by governments and this probability varies across time because investors anticipate the future outcome of macroeconomic fundamentals influencing sovereign debts. We then consider a reduced-form of the analytical model to illustrate the empirical performance of time-varying Markov-switching model in describing the experience of the euro area spread between 2003 and 2009.

No summary available.

This book discusses market microstructure environment within the context of the global financial crisis and investigates the recent econometric tools toimprove financial markets dynamics in calm and turbulent times. In the first .

This paper attempts to analyze the relationships between the ASEAN-5's business cycles. We examine the nature of business cycle synchronization trying to disentangle between intraregional and interregional synchronization by considering the important role of China, Japan and the US in synchronizing the activity within the ASEAN-5. We employ a time-varying transition probability Markov switching framework in order to allow the degree of synchronization to fluctuate across the phases of the business cycles. We provide evidence that the signals contained in some regional and global leading business cycles can impact the ASEAN-5's business cycles.

This paper discusses sources of self‐fulfilling equilibria in the Eurozone when some governments are highly susceptible to movements of distrust by investors who fear some payment difficulty. Self‐fulfilling prophecies occur when countries become insolvent only because investors fear insolvency. They induce multiple equilibria, some of which correspond to bad equilibria and others to good equilibria. An important issue then is to solve this problem, notably to eliminate the bad equilibria. In the short‐run, the role of the central bank as a lender of last resort is key. But this raises issues about the risk inherent to its intervention (inflation, solvency). In the medium run, macroeconomic policies in the euro are central (structural reforms and the reduction of external imbalances). In the long run, it may be worth proceeding to the consolidation of national budgets and debts, which would protect the countries of being forced with default by the financial markets. Copyright © 2013 John Wiley & Sons, Ltd.

This paper focuses on the following question: has the global financial stress in the US markets during the subprime crisis induced a persistent volatility of Indian equity stocks? We answer this question using sector-based data and we propose a simple stochastic volatility model augmented with exogenous inputs (financial stress indicators in the US market). We derive analytically the autocorrelation of the squared returns using cross-moments and estimate the impact of several variables such as the CDS spreads, the ABCP spreads, market liquidity, the volatility of the S&P 500 using a Kalman filter approach with the impact captured through Almon polynomials. We find a strong evidence of persistent volatility irrespective of the sector and interpret this finding as the result of two factors: the lower liquidity of the Indian equity markets during the subprime crisis and a wake-up call effect.

The first chapter of this thesis studies the efficiency of IR accumulation and sterilization in dollarized and indebted countries, by measuring the sterilization coefficient, and the reversal coefficient. This chapter explores the link between the sources of reserves and external debt. By applying the 2SLS regression model, we identify the explanatory variables that allow us to estimate the mentioned coefficients. The results obtained indicate that despite the theoretical and correct application of the sterilization policy, economic constraints contribute to reduce the expected efficiency of monetary policies. The second chapter considers the probabilities of indebted countries falling into financial crises despite the fact that they accumulate international reserves acting as a moderating shock and/or self-insurance. We use the Financial Stress Indicator (FSI), proposed by Balakrishnan et al (2009) and the IMF, which covers the various aspects of financial crises. We apply the Markov Switching model with varying probability. We obtain the result that debts increase the probability that a country suffers from a financial crisis, however, IRs do not necessarily provide "peace" in the economy, except in a few cases. However, the negative effects of debt outweigh the positive effects of IR, especially in the relatively more dollarized countries. The third chapter first measures the degree of the trilemma indices: exchange rate stability, monetary independence and capital account openness, while taking into account the accumulation of IR to GDP or External Debt (ED) ratios in the short run. The evolution of the trilemma indices shows that countries that adopt a "de facto" flexible exchange rate take advantage of the benefits of ERs to adopt an administered exchange rate regime, which consists of simultaneously achieving the three objectives of the trilemma without giving up any of them. Interpretations may change if IRs are taken as a function of debts, i.e., the use of IRs/debt should be considered in such studies. Second, we find that for countries that adopt a de facto fixed exchange rate regime, IRs (different ratios) play no role in the evolution of the Mundell triangle and do not play a role in the monetary policy decisions of the monetary authorities. Finally, this chapter discusses the normative aspect of the trilemma, linking policy choices to macroeconomic outcomes such as output growth volatility. We note that the results are different across countries, and depend on different IR measurement ratios. We conclude that the impact of IRs on output growth volatility may change depending on the level of EDs and on the exchange rate regime adopted.

The purpose of this thesis is to study fractional cointegration systems of triangular form but also to analyze the contribution of these systems in the modeling of co-movements in international financial markets. The thesis is structured around six chapters equally divided between econometric and economic contributions. Concerning the econometric approach, a particular interest is given to the estimation of these systems in the absence of information on the interest parameters. In this perspective, several estimation techniques are analyzed and developed, mainly in the frequency domain, as this allows a semi-parametric treatment of the nuisance parameters. The performance of these estimators is studied through simulations but also through the study of asymptotic properties. Concerning the economic approach, a first contribution exploits fractional cointegration to reveal the existence of an exchange rate system between some Asian countries. A second contribution deals with the analysis of the interdependencies between the oil market and various exchange rates in terms of volatility. A third contribution introduces an adaptive learning process in a multi-country monetary model to study under which conditions an exchange rate system can emerge.

This paper presents a quarterly macro econometric model of the Kazakhstan. The main goal is to provide a stylized representation of the Kazakh economy in order to simulate the consequences of several economic policies viewed by the authorities as essential during the period of transition to a market economy. The policy simulation potential of the model is illustrated by five types of simulations : interest rate shocks, foreign direct investment shocks, world oil price shocks, foreign demand shocks and nominal wages shocks. These sets of simulations show the importance of foreign direct investments in terms of theirs global positive effect, as well as the demand effect of an increase in the wages. We also find that effect of the tight monetary policy in not ambiguous . we argue that in some cases it is not the most efficient policy instrument to sustain the economy.

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This paper tests for nonlinear effects of asset prices on the US fiscal policy. By modeling government spending and taxes as time-varying transition probability Markovian processes (TVPMS), we find that taxes significantly adjust in a nonlinear fashion to asset prices. In particular, taxes respond to housing and (to a smaller extent) to stock price changes during normal times. However, at periods characterized by high financial volatility, government taxation only counteracts stock market developments (and not the dynamics of the housing sector). As for government spending, it is neutral vis-a-vis the asset market cycles. We conclude that, correcting the fiscal balance and, notably, the revenue side for time-varying effects of asset prices provides a more accurate assessment of the fiscal stance and its sustainability.

This paper attempts to analyze the relationships between the ASEAN-5 countries' business cycles. We examine the nature of business cycles correlation trying to disentangle between regional spillover effects (expansion and recession phases among the ASEAN-5 are correlated) and global spillovers where the business cycles of other countries (China, Japan and the US) play an important role in synchronizing the activity within the ASEAN-5. We employ a time-varying transition probability Markov switching framework in order to allow the degree of synchronization to fluctuate over time and across the phases of the business cycles. We provide evidence that the signals contained in some leading business cycles can impact the ASEAN-5 countries' individual business cycles.

ABSTRACT This special issue provides several views about the sources of the current crisis and policy solutions to cope with it. It brings together papers from academic institutions, international organizations and central banks. The first three papers argue that the crisis was triggered by the lack of confidence of the investors in the markets. This was reflected, for instance, in the pricing of the public debt (with an increase in the sovereign debt spreads) and in the reduced syndicated lending in wholesale lending markets. The other three papers focus on policy aspects by analyzing indicators that could serve as early warning signals of increasing stress and vulnerability. The authors propose three set of indicators: policy‐based indicators, some variables used in the macro‐prudential literature and financial indexes. The papers are a selection of papers presented at a Conference on Macroeconomic and financial vulnerability indicators in advanced economies co‐organizes by the Banque de France and the University of Strasbourg on 13–14 September 2013. Copyright © 2013 John Wiley & Sons, Ltd.

This paper tests for nonlinear effects of asset prices on the US fiscal policy. By modeling government spending\ud and taxes as time-varying transition probability Markovian processes (TVPMS), we find that taxes significantly\ud adjust in a nonlinear fashion to asset prices. In particular, taxes respond to housing and (to a smaller\ud extent) to stock price changes during normal times. However, at periods characterized by high financial volatility,\ud government taxation only counteracts stock market developments (and not the dynamics of the housing\ud sector). As for government spending, it is neutral vis-a-vis the asset market cycles. We conclude that,\ud correcting the fiscal balance and, notably, the revenue side for time-varying effects of asset prices provides\ud a more accurate assessment of the fiscal stance and its sustainabilit.

This paper compares different nominal anchors to promote internal and external competitiveness in the case of a fixed exchange rate regime for the future single regional currency of the Economic Community of the West African States (ECOWAS). We use counterfactual analyses and estimate a model of dependent economy for small commodity exporting countries. We consider four foreign anchor currencies: the US dollar, the euro, the yen and the yuan. Our simulations show little support for a dominant peg in the ECOWAS area if they pursue several goals: maximizing the export revenues, minimizing their variability, stabilizing them and minimizing the real exchange rate misalignments from the fundamental value.

This introduction presents a selection of articles dealing with the issue of measuring the fiscal and financial vulnerabilities in the advanced economies. These articles were presented at a conference organized jointly by the Banque de France and BETA in Strasbourg on 13–14 September. The authors show that the improvement of macroeconomic toolkit goes hand in hand with the strengthening of fiscal frameworks and the tools for managing financial tensions. They propose several indicators in order to capture the variety of vulnerabilities observed in the industrialized countries since the recent great depression: funding needs, market perceptions risks, stress dependence among sovereigns and the reactions of governments to cope with these new challenges.

This paper proposes a new fractional model with a time-varying long-memory parameter. The latter evolves nonlinearly according to a transition variable through a logistic function. We present an LR-Based test that allows to discriminate between the standard fractional model and our model. We further apply a nonlinear least squares estimation method to estimate the long-memory parameter. We present an application to the unemployment rate in the United States from 1948 to 2012.

This paper attempts to provide evidence of "shift-volatility" transmission in the East Asian equity markets. By shift-volatility, we mean the volatility shifts from a low level to a high level, corresponding respectively to tranquil and crisis periods. We examine the interdependence of equity volatilities between Hong-Kong, Indonesia, Japan, Malaysia, the Philippines, Singapore, Thailand and the United States. Our main issue is whether shift-volatility needs to be considered as a regional phenomenon, or from a more global perspective. We find that the timing/spans of high volatility regimes correspond adequately to years historically documented as those of crises (the Asian crisis and the years following the 2008 crisis). Moreover, we suggest different indicators that could be useful to guide the investors in their arbitrage behavior in the different regimes: the duration of each state, the sensitivity of the volatility in a market following a change in the volatility in another market. Finally, we are able to identify which market can be considered as leading markets in terms of volatility.

This paper presents the evolution of structural and non-structural macroeconomic models and discusses the progress of quantitative macroeconomics. We also present and discuss several empirical studies that model the statistical properties of the macroeconomic and financial series under consideration in different ways, using diverse econometric and computational tools. We examine the challenges of quantitative macroeconomics. These elements are illustrated by the different contributions of this special issue.

ABSTRACT This paper discusses sources of self‐fulfilling equilibria in the Eurozone when some governments are highly susceptible to movements of distrust by investors who fear some payment difficulty. Self‐fulfilling prophecies occur when countries become insolvent only because investors fear insolvency. They induce multiple equilibria, some of which correspond to bad equilibria and others to good equilibria. An important issue then is to solve this problem, notably to eliminate the bad equilibria. In the short‐run, the role of the central bank as a lender of last resort is key. But this raises issues about the risk inherent to its intervention (inflation, solvency). In the medium run, macroeconomic policies in the euro are central (structural reforms and the reduction of external imbalances). In the long run, it may be worth proceeding to the consolidation of national budgets and debts, which would protect the countries of being forced with default by the financial markets. Copyright © 2013 John Wiley & Sons, Ltd.

This thesis is composed of three essays: the first and second essays deal with the effects of regulations and supervision on profitability and risk taking by European banks during the period 2005-2011. The results show that these effects depend not only on internal and external influencing factors, but also on the supervisory modality and the pace of implementation of financial regulations. We also find that the results change for each group of countries with common characteristics. This is explained by the impact of the European crisis as well as the sovereign debt crisis. However, the third essay studies the impact of banking governance mechanisms on the performance of large French banking groups during the period 2005 - 2011. Indeed, the results confirm that the ownership and managerial structure are different from one bank to another: institutional investors are an element of banking development and the managerial participation of employees reinforces the federative spirit. The larger the board of directors, the greater the conflict of interest and lack of coordination, and the more frequent the meetings and attendance of directors, the greater the financial stability. Our study of the impact of governance structure on performance, using random-effect panel data, confirms our findings. Indeed, the presence of institutional investors and employee ownership favor bank profitability, and the size of the board of directors and the independence of directors increase excessive risk taking. However, the study of the interaction between regulation, supervision and bank governance structure and their impact on bank performance confirms that the effects of regulation and supervision on bank performance depend on the managerial structure as well as the ownership structure of the bank.

In this thesis, we propose four original contributions to the study of the monetary and financial integration of Asian countries.In the first chapter we determine the relative sensitivity of Asian currencies (ASEAN-5, South Korea) to simulated shocks on the dollar, the euro and the ACU. We highlight the willingness of these countries to move away from an exclusively dollar-centered exchange rate policy towards a more flexible policy, where the weight of the ACU seems to have gained in importance.The second chapter focuses on the synchronization between the ASEAN-5 business cycles. We show that the correlation between the cycles is stronger during contractions but that the adjustment dynamics are country-specific. Moreover, some ASEAN-5 business cycles contain information relevant for predicting regime shifts in other countries.The third chapter examines the co-movement between ASEAN-5 real exchange rates from the perspective of generalized purchasing power parity (Enders and Hurns, 1994, 1997). We show that real exchange rates are linked by a long memory process, which supports the idea of further monetary integration between different subgroups of countries. Finally in the last chapter, we examine the degree of stock market integration in Asia (ASEAN-5, Hong Kong, Japan). Our results show that the volatility of international stock markets share a common stochastic pattern. On the other hand, emerging markets still appear to be segmented at both the global and regional levels.

The thesis explores the transmission of exchange rate changes to import prices, a phenomenon known as exchange rate pass-through. The latter has been and will continue to be at the center of economic debates, particularly with respect to monetary policy, as it conditions the propagation of various shocks at the international level. To do this, we use individual data on French importing firms provided to us in confidence by the Institut National de la Statistique et des Études Économiques (INSEE), as well as new import price indices, not unit value indices, for several countries in the Euro zone. Through different approaches, both empirical and theoretical, we put forward some stylized facts about import prices and find that exchange rate pass-through is incomplete in the short run and complete in the long run. The incomplete pass-through in the short run is mainly related to the existence of nominal rigidity. Moreover, we show the important role played by the invoicing currency in the extent of pass-through. In terms of monetary policy, and using a multi-country DSGE model, we argue that nominal rigidity implies that the impact of a change in the exchange rate on the change in import prices is small and persistent. Combined with the existence of a domestic goods consumption bias, the impact on the variation of the consumer price is strongly reduced, thus allowing the monetary authorities to pursue an inflation stabilization policy with little action. All the more so since stabilizing the deviation from the law of one price can only be done at the expense of the output gap.

This doctoral dissertation consists of three chapters studying cross-country linkages in different groups of industrialized economies. The first chapter shows that since the mid-1980s and mid-1990s, the share of the variance in the business investment cycle due to international common factors has increased in the United States as well as in the major European countries. The second chapter estimates the impact of the liberalization and internationalization of the banking and financial sectors on the common variations in real GDP growth. Since the late 1970s, a common international factor has contributed to the majority of economic growth in the EU countries, the United States, Canada, and Japan. Among several financial, banking and monetary indicators, equity prices followed by portfolio investments have been by far the most important determinants of this factor. The removal of controls on domestic credit appears to be the only financial liberalization measure that had a substantial and negative effect on common growth before 1995. The third chapter examines the sources of co-movements in real GDP among the founding countries of the euro area. Throughout EMU, real cycle synchronization was robustly related to disparities in fiscal policy and total factor productivity gains. Cycle synchronization was closely associated with similarity in unit labor cost growth before 2007, but not after 2007 when long-term interest rate differentials became a major cause of cyclical divergence.

In the early 2000s, African countries embarked on regional currency union projects with the aim of creating a single currency for the entire continent by 2028. The objective of this thesis is to analyze the merits of such a strategy, based in particular on the lessons that can be drawn from the experience of the countries of the CFA zone. More precisely, we analyze the consequences of the choice of these countries to peg their common currencies to an external currency and we seek to know whether or not it is desirable to transpose the experience of these countries to other regions in Africa. In the first part, we revisit the optimality criteria of the CFA and WAMZ zones by focusing on the dynamics of real exchange rates. We highlight interesting similarities between the WAEMU countries, Ghana, The Gambia and Sierra Leone on the one hand, and between Nigeria and CEMAC on the other, indicating that these two groups of countries could each share a common currency. We also suggest that the optimality criteria of the theory of optimal currency areas are not necessarily relevant. Thus, we show that, while not optimal, the CFA zone, by facilitating internal and external balances compared to other Sub-Saharan African (SSA) countries, is a sustainable currency zone.In a second part, we focus on the economic implications of the exchange rate regime of the CFA zone countries, which is similar to what we call a "double peg" (i.e., membership in a monetary union and pegging of the common currency). We show that the real appreciation of the CFA franc over the past decade is explained by the peg to a euro that has appreciated continuously since 2001. This has led to a reduction in the gains in competitiveness achieved following the 1994 devaluation and to an increase in the negative effects of the exchange rate appreciation on the growth of these countries. Finally, by analyzing the differences in economic performance between the different exchange rate regimes in SSA, we suggest that a monetary union regime without an external currency peg might be a better option for these countries.

This article contributes to the recent empirical literature on financial repression and focuses on the French case since the end of World War II. We find that the fiscal adjustment needed to lower the debt ratio has been smaller during the years of financial repression in comparison with those of liberalized financial markets. This was possible because the real interest rates were low. We conduct a counterfactual analysis to see whether the vulnerability of public finances would have been different, if, since the late 1980s, the governments had continued carrying out the same financial repression policies. We answer affirmatively showing that the cost of debt service would have been reduced.

This dissertation is a synthesis of publications made between 2005 and 2012 as well as working papers. It is organized around three axes: issues related to the Paris Club, articles about the Gibrat law and works around the History of the Banque de France. The first axis includes two papers published in the Bulletin de la Banque de France: one on the evaluation of the HIPC initiative (Heavily Indebted Poor Countries, Mechanisms and Elements of Evaluation, Bulletin N°140, August 2005) and the second on the modeling of debt buybacks within the Paris Club. The latter paper was in two forms (general public: Modélisation et analyse des mécanismes du Club de Paris de rachat de créances par prépaiement, with Laurent Daniel, Bulletin N° 152, August 2006, and research: Pricing the implicit contracts in the Paris Club debt buybacks with Laurent Daniel, working paper, December 2007). The second axis concerns the validation of Gibrat's law, with the publication of three articles (French butchers don't do Quantum Physics in Economics Letters, Vol. 103, May 2009, Pp. 101-106 .

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 is structured around three essays devoted to the analysis of bank excess liquidity in CEMAC countries. The first essay sought to identify the determinants of excess liquidity in CEMAC member countries over the period 1985 to 2002. The GMM estimation used showed that excess liquidity in Central Africa derives both from the precautionary behavior of commercial banks and from exogenous factors. The great prudence of banks can be explained by the experience of the financial crisis of the 1980s, the restructuring of the banking system, the instability of deposits and a very risky economic context. The upturn in oil prices is fuelling excess reserves due to the low absorption capacity of the countries in the zone. In the second test, we identified the most operational transmission channels in Central Africa. VAR modeling showed that the interest rate is the weakest channel. It is precisely the lack of a financial market that does not allow for the recycling of bank liquidity and the transmission of monetary policy. In the third test, an inflation forecasting model was developed for one of the CEMAC member countries, namely Chad. The sensitivity analysis undertaken by the Bayesian approach indicates that excess liquidity would exert inflationary pressure in the zone.

This thesis analyzes convergence within a monetary union through the dynamics of prices and equilibrium exchange rates. In the first chapter we present the general characteristics of currency areas, as well as the history of the ones we study: the EMU and the CFA zone. The second chapter deals with price convergence in the euro area using smooth transition models. Convergence is non-linear, and the speed of adjustment is different across countries. This is explained by differences in the evolution of price competitiveness, labor market rigidities, but also specialization patterns. The third chapter assesses the validity of absolute Purchasing Power Parity in EMU through unit root and cointegration tests in second and third generation panels. Overall, the price dynamics appear heterogeneous and dependent on the periods of evolution of the EMU as well as on the groups of countries considered. The fourth chapter links external imbalances to the sovereign debt crisis that EMU has been experiencing since 2009. We show that when a country belonging to a monetary union faces an external imbalance vis-à-vis another member country, the corresponding interest rate differential tends to increase. Moreover, when these imbalances persist, they can trigger a balance of payments crisis. Finally, the last chapter looks at the sustainability of the CFA zone. By comparing the CFA zone to a sample of other Sub-Saharan African countries, we show that despite its failure to meet the optimality criteria, the CFA zone has favored internal and external balances and facilitated adjustments at both the aggregate and individual levels. This suggests that this union is sustainable.

The objective of this thesis is to analyze the effect of globalization on inflation dynamics and monetary policy in a globalized world. In the first chapter, we focus on the impact of financial globalization on inflation targeting behavior in emerging countries, with a particular focus on the exchange rate: does the central bank respond to exchange rate movements? We use quarterly data from six emerging market countries that have been practicing inflation targeting from the date of its adoption until the last quarter of 2009 (2009 Q4). The study is based on a neo-Keynesian small open economy model à la Gali and Monacelli (2005). We use a multiple equation GMM estimator to analyze the relationship. The results show us that the central bank's response to the exchange rate is statistically significant in the case of Brazil, Chile, Mexico and Thailand. However, it is not significant for Korea and the Czech Republic. Theoretically, the result should not be significant even with flexible inflation targeting, where the central bank responds to inflation and output gaps. We believe that the particular characteristics of emerging countries, such as the fear of floating, the lack of development of the financial system and a lack of credibility of the central bank, explain this preoccupation of central banks with exchange rate variations. In the second chapter, we study empirically the relative importance of the transmission channels of monetary policy for Brazil, Chile and Korea. This part is based on monthly data from the adoption of inflation targeting until December 2009 (2009M12). We use a SVAR model, incorporating the main monetary transmission channels simultaneously instead of considering them separately. The empirical results indicate that the exchange rate channel as well as the asset price channel have a relatively higher importance than the traditional interest rate channel or the credit channel for industrial production. The results are very different in the case of inflation, with the exception of Korea. The high ranking of the exchange rate channel and the asset price channel are consistent with the results of Gudmundsson (2007): the exchange rate channel may have become increasingly important with the development of financial globalization.In the third chapter, we empirically study the role of openness - real and financial - on inflation dynamics in Brazil, Chile and South Korea. The study is based on monthly data, from the adoption of inflation targeting until December 2009. In this last chapter, we use Generalized Method of Moments (GMM). The ratio of imports to GDP is taken as the indicator of real openness. With respect to financial openness, we consider alternatively the Chinn and Ito (KAOPEN) index measuring the degree of liberalization of financial account transactions, and the indicator proposed by Lane and Milesi-Ferreti (2009).We conclude in this chapter that there is generally a positive relationship between real openness and inflation. With respect to financial openness, the results are less clear-cut and depend largely on the indicator used to measure financial openness.

Luxembourg is the 3rd largest exporter of financial services in the world. It is one of the countries that receives the most direct investment from abroad, which indicates the intensity of its links with the world economy. The purpose of this paper is to analyze the possible influence of a global economy characterized by the interdependence of real and financial markets on the Luxembourg economy. Chapter 1 presents an analysis of the interactions of the Luxembourg economy with the outside world. The next chapter is devoted to a review of the literature on modeling financial intermediation at the macroeconomic level, covering several types of modeling approaches. Finally, the third chapter includes a multi-country macroeconometric model built and analyzed to simulate plausible scenarios. The model is presented with its theoretical foundations, simulation results and a comparison with other models. The novelty of the model lies in its consideration of disaggregated international trade in financial and other services, and international portfolio investments with their securities and capital flows, and their impact on economic growth. The results of the simulations show that this analytical framework sometimes produces different results than standard models. A number of scenarios that cannot be simulated by other models, such as a decline in international portfolio investment flows, are also analyzed and confirm Luxembourg's high vulnerability to external shocks in the financial markets.

This thesis examines the composition of tax revenues in developing countries and considers its determinants and consequences. The first part analyzes the political economy factors that influence tax revenue composition, considering the impact of increased elections and democratization, while the second part examines the consequences of tax revenue composition choices in terms of tax revenue stabilization and social welfare. Several results emerge. Elections have a significant influence on the composition of tax revenues, as revenues from indirect taxes decline just before elections (Chapter 1). These manipulations to promote re-election appear to be more moderate in countries with longer established democracies. Moreover, Chapter 2 established that the existence of a more democratic political system, with strong constraints on the executive, allows for the increase in domestic tax revenues that is needed to offset the decline in tariff revenues. The second part of the thesis reveals interesting results on the effects of tax revenue composition on tax revenue stabilization and its social consequences. Chapter 3 highlighted the importance of addressing tax revenue instability insofar as it induces instability in public spending, which weakens the level of public investment. The increased contribution of consumption taxes to tax revenues was identified as stabilizing tax revenues. In addition, chapter 4 demonstrated that value-added taxes significantly reduce the instability of tax revenues in developing countries that have adopted them. The social impact of consumption taxes was compared with that of tariffs in Chapter 5 and it appears that tariffs are more regressive than consumption taxes in Burkina Faso.

Our thesis is a contribution to a growing literature on the nonlinear adjustment of the nominal exchange rate to its long-run equilibrium value. The aim is to model the adjustment of the exchange rate using the non-linear cointegration approach. The thesis is composed of four chapters. In the first chapter, we discuss the shortcomings of linear models to describe the evolution of exchange rates and we explain why we use non-linear models to characterize the adjustment of the exchange rate. In the second chapter, we seek to characterize the adjustment of the exchange rate towards its long-run equilibrium value defined by purchasing power parity using an exponential smooth transition threshold autoregressive specification (ESTAR). The third chapter aims at specifying the adjustment of the exchange rate towards its fundamental value within the framework of the European exchange rate mechanism. We therefore propose an application of an exchange rate determination model on the French franc and the Italian lira: an extension of the standard Krugman target zone model with price rigidity. We consider an original methodology, the threshold cointegration. In chapter four, we examine the dollar-pound adjustment of a monetary model of exchange rate determination. We consider a non-linear cointegration approach using the mixing condition. We compare three types of nonlinear adjustment. The first two specifications are based on cubic functions and rational functions and the third specification considers the ESTAR model.