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No contagion, only globalization and flight to quality
Szafarz, Ariane; Chapelle, Ariane; Brière, Marie - Université Paris-Dauphine (Paris IX) - 2012
In this article, tests for globalization and contagion are separated using an ex ante definition of crises, and … contagion tests are neutralized with respect to globalization effects. A large database is constructed to study the stability of … globalization and flight to quality, while emphasizing that contagion on the equity markets appears as an artifact due to …
Persistent link: https://www.econbiz.de/10010707605
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An empirical study to identify shift contagion during the Asian crisis
Marais, Elise; Bates, Samuel - Université Paris-Dauphine (Paris IX) - 2006
The paper is an empirical study on contagion during the 1997–1998 Asian crisis. In line with Sander and Kleimeier … [Sander, H., Kleimeier, S., 2003. Contagion and causality: an empirical investigation of four Asian crisis episodes … market is tested. Using a new measure of causality, we attempt to show the existence of shift contagion defined as …
Persistent link: https://www.econbiz.de/10010905171
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Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models
Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2011
This paper studies the nonlinear adjustment between industrial production and carbon prices – coined as ‘the carbon-macroeconomy relationship’ – in the EU 27. We model carbon price returns and industrial production as nonlinear and state-dependent, with dynamics depending on the sign and...
Persistent link: https://www.econbiz.de/10010706442
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Nonparametric modeling of carbon prices
Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2011
This paper constitutes the first exercise of nonparametric modeling applied to carbon markets. The framework of analysis is carefully detailed, and the empirical application unfolds in the case of BlueNext spot and ECX futures prices. The data is gathered in daily frequency from April 2005 to...
Persistent link: https://www.econbiz.de/10010706565
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Price relationships in crude oil futures: new evidence from CFTC disaggregated data
Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2013
This paper attempts to reconcile two strands of literature on oil and speculation: one that posits the predominance of supply/demand fundamentals, and one that investigates the hypothesis of speculative trading. To do so, we develop a Markov switching analysis based on the WTI crude oil futures...
Persistent link: https://www.econbiz.de/10010707481
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Revisiting the excess co-movements of commodity prices in a data-rich environment
Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2010
We reinvestigate the issue of excess comovements of commodity prices initially raised in Pindyck and Rotemberg (1990). While Pindyck and Rotemberg and following contributions consider this issue using an arbitrary set of control variables, we develop our analysis using recent development in...
Persistent link: https://www.econbiz.de/10010707568
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Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices
Sévi, Benoît; Le Pen, Yannick; Chevallier, Julien; … - Université Paris-Dauphine (Paris IX) - 2013
As both speculative and hedging financial flows into commodity futures are expected to link commodity price formation more strongly to equity indices, we investigate whether these processes also create increased correlation amongst the commodities themselves. Considering U.S. oil and gas...
Persistent link: https://www.econbiz.de/10010707996
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Impact d’un choc sur les corrélations de trois indices boursiers. La faillite de Lehman Brothers
Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2010
We proceed to an impulse-response analysis on the conditional correlations between three stock indices returns: the S&P 500, the ftse 100 and the Nikkei 225. As a first step, a general asymmetric dynamic conditional correlation (ga-dcc) model proposed by Cappiello, Engle and Sheppard [2006] is...
Persistent link: https://www.econbiz.de/10010708045
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News and correlations: an impulse response analysis
Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2009
We proceed to an impulse response analysis on the conditional correlations between three stock indices returns: the Nikkei, the FTSE 100 and the S&P 500. As a first step, we estimate an extension of the general asymmetric dynamic conditional correlation (GADCC) model proposed by Cappiello,...
Persistent link: https://www.econbiz.de/10011072507
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Macro factors in oil futures returns
Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2011
We investigate the macro factors that can explain the monthly oil futures return for the NYMEX WTI futures contract for the time period 1993:11 to 2010:03. We build a new database of 187 real and nominal macroeconomic variables from developed and emerging countries and resort to the large factor...
Persistent link: https://www.econbiz.de/10011073526