This paper deals with statistics�and econometrics�properties of fractionally integra- ted GARCH (FIGARCH). We compare these characteristics with those of traditional models. We insist on the GARCH exponential/IGARCH in�nite decrease of volatility impact. Then, we apply it on three Tunisian...

In this paper, we estimate, over the period 1980 – 2001, in annual data, the size of distortion (misalignment), of Cameroon’s real exchange rate. This, in the goal to judge relevance of the decision of January 11, 1994, to devaluate of 50% Franc CFA (Fcfa) compared to the French franc (FF)....

Recent studies on general equilibrium models with transaction costs show that the dynamics of the real exchange rate are necessarily nonlinear. Our contribution to the literature on nonlinear price adjustment mechanisms is treefold. First, we model the real exchange rate by a Multi-Regime...

Tunisia has experienced a performance when pursuing a constant real exchange rate rule. The limitations of this rule are beginning to emerge in the context of a more open economy, which desire to relax capital controls. This paper estimates the equilibrium real exchange rate of the dinar vis...

L’île de La Réunion, région française ultrapériphérique, se caractérise par des performances économiques généralement en deçà de celles de la métropole, mais aussi de celles de partenaires commerciaux qui partagent nombre de caractéristiques communes. Le très fort déficit de la...

We apply several recently proposed tests for structural breaks in conditional variance and covariance dynamics. The tests apply to both the class of ARCH and SV type processes and allow for long memory features. We also apply them to data-driven volatility estimators using high-frequency data...

The purpose of this article is to study the trends in per capita productivity in several major industrialised countries. The analysis is first based on annual data over a long period spanning the entire 20th century for the United States, France and the United Kingdom. Productivity trends are...

The Democratic Republic of Congo (DRC) has faced persistent current account deficits despite a period of economic growth fueled by Foreign Direct Investment (FDI). This paper uses an Autoregressive Distributed Lag (ARDL) model and the Balance of Payments (BOP) framework to explore the dynamics...

Dans cet article, nous étudions l’efficacité de politiques économiques dans un cadre d’une petite économie ouverte où la relation entre le taux de change, le prix des actions et le niveau d’activité est soumise à des interactions entre l’effet de “pass-through” incomplet et...