Using a Threshold Vector Autoregression framework identified via sign restrictions, we answer three questions: First, are fiscal policy shocks regime-dependent? Second, which variables are governing the regime? Third, what are the effects of fiscal policies on the main macroeconomic variables in...

This paper investigates exceptional phases of stock market cycles. Defined in Pagan and Sossounov (2003) as unusual, they are detected as outliers in the historical distribution. Moreover, this study completes the growing literature on stock market bulls and bears in several aspects. First,it...

This paper attempts to predict the bear conditions on the US stock market. To this aim weelaborate simple predictive regressions, static and dynamic binary choice (BCM) as well asMarkov-switching models. The in- and out-of-sample prediction ability is evaluated and we comparethe forecasting...

Shrinkage estimators of the covariance matrix are known to improve the stability over time of the Global Minimum Variance Portfolio (GMVP), as they are less error-prone. However, the improvement over the empirical covariance matrix is not optimal for small values of n, the estimation sample...

By distinguishing between discretionary and non-discretionary fiscal policy, this paper analyses the stability of fiscal rules for EMU countries before and after the Maastricht Treaty. Using both Instrumental Variables and GMM techniques, it turns out that discretionary fiscal policy remains...

The purpose of this paper is to propose a new measure of contagion. Our approach to testing contagion is based on the frequency analysis of causality developed recently by Breitung and Candelon (2004). This approach handles, in a unified framework, several of the statistical problems identified...

This paper proposes a new approach based on time-varying copulas to test for the presence of increases in stock market interdependence after financial crises, also known as shift-contagion process. We show that the previous approaches that take into account changes in volatility regimes are...

By distinguishing between discretionary and non-discretionary fiscal policy, this paper analyses the stability of fiscal rules for EMU countries before and after the Maastricht Treaty. Using both Instrumental Variables and GMM techniques, it turns out that discretionary fiscal policy has...

In this paper we consider the hypothesis that particular short-run co-movements indicationg that shocks have similar responses might only exist for a particular regime and not for the whole sample. A two-step procedure is set up to test and estimate the multi-regime common cyclical feature. This...

This paper contributes to the econometric literature on structural breaks by proposing a test for parameter stability in VAR models at a particular frequency 'omega', where 'omega is an element of [0, pi]'.When a dynamic model is affected by a structural break, the new tests allow for detecting...