The dating of cyclical phenomena in economies, such as business cycles, is at the core of economic policy research. Moreover, policy decisions which are due to affect interacting economies should take into account the economies' connectedness and synchronicity. The cross-country analysis of...

The main objective of our study is to model and forecast volatility as measured by the VIX index, with the aim of producing information to banks and also to macroeconomists. We begin with Arma/Arima models, augmented with Garch errors and exogenous regressors : some macroeconomic leading...

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In this essay, we test the presence of the contagion phenomenon during the US sub-prime crisis. We adopt the test of adjusted correlation coefficients between markets and propose a new procedure which involves testing the non-linearity of the propagation mechanisms shocks, estimated with a model...

Quantitative Easing (QE) has been widely used by major central banks in the recent economic and financial crisis that started in 2007. However, the Bank of Japan (BoJ) already applied QE between 2001 and 2006. This paper tries to examine the differences between BoJ-type QE and QE applied by the...

The aim of this paper is to investigate the behaviour of international equity returns and correlations using the discrete-time Markov-switching model and the impact of this behaviour on international portfolio choices. We take the perspective of a US-based global investor who considers...

Remarks at the Quarterly Regional Economic Press Briefing, New York City.

Remarks at the Quarterly Regional Economic Press Briefing, New York City.

Uses comprehensive data on the geographical and industry distribution of company-owned and franchised outlets in franchise chains to test hypotheses on the ownership fror choice in US state markets. Comfirms the importance of geographical factors, associating company ownership with urbanization...