After years of low macroeconomic volatility since the early eighties, well documented and referred to as the Great Moderation period in the literature, the 2008-2009 worldwide recession adversely impacted output levels in most of advanced countries. This Great Recession period was characterized...

This paper introduces a kernel-based nonparametric inferential procedure to test for Granger-causality in distribution. This test is a multivariate extension of the kernel-based Granger-causality test in tail-event introduced by Hong et al. (2009) and hence shares its main advantage, by checking...

The aim of this paper is to study the degree of interdependence between oil price and stock market index into two groups of countries: oil-importer countries and exporter ones. To this end, we propose a new empirical methodology allowing a time-varying dynamic correlation measure between the...

We analyze the empirical relationship between announcement effects and return volatilities of four CAC40 companies using intraday financial and event data from SBF-Euronext and Bloomberg, respectively. We estimate the daily component of the intraday volatility using a FIGARCH model and the...

This paper examines current account sustainability of eight countries in the Economic Community of Western African States (ECOWAS); Burkina Faso, Côte d'Ivoire, Ghana, Mali, Niger, Nigeria, Sénégal and Togo. The paper uses the intertemporal solvency framework of Hakkio and Rush (1991) and...

Monetary policy and foreign exchange intervention reaction functions are estimated for Zambia over the period 1995.01-2008.12 using GMM to determine the extent to which the central bank takes into account in its policy decisions, output and inflation deviations from trend and target as well as...

The eight real kwacha bilateral exchange rates examined over the period 1968- 2008 in a GARCH framework are characterised by different conditional volatility dynamics. Evidence of asymmetric response to shocks suggests asymmetric central bank reaction to variations in volatility in exchange...

The Hodrick-Prescott filter is the probably most popular tool for trend estimation in economics. Compared to other frequently used methods like the Baxter-King filter it allows to estimate the trend for the most recent periods of a time series. However, the Hodrick- Prescott filter suffers from...

Este articulo se enfoca en el analisis de los modelos de prediccion de retornos financieros. En particular se estudian el modelo CAPM, el modelo Reward Beta y el modelo de tres factores de Fama y French. El objetivo es poder determinar mediante este analisis que modelo explica de mejor manera...