This chapter presents a survey of some recent methods used in economics and finance to account for cyclical dependence and account for their multifaced dynamics: nonlinearities, extreme events, asymmetries, non-stationarity, time-varying moments. To circumvent the caveats of the standard...

This paper assesses the impact of globalization and regionalization on exchange rate pass-through (ERPT) into import prices in three core eurozone countries. To this end, we consider various indicators of globalization and rely on both aggregated (i.e., country level) and disaggregated (i.e.,...

This paper proposes new estimates of potential growth for 5 major industrialized countries. We use a state-space approach to obtain joint estimates of potential growth and the natural interest rates. The model is a reduced-form of a partial equilibrium model with a Phillips curve and an IS...

We provide a brief review of recent developments in research on price movements of real estate, especially bubbles, and highlight the gap between theoretical and statistical approaches to bubble detection. We also propose applying a top-down strategy to a bounds testing method (Pesaran et al. in...

Recent developments in inflation and M3 velocity in the euro area have raised serious doubts about the reliability of M3 growth as a pillar of the ECB's monetary policy strategy. We develop a very flexible and comprehensive state-space framework for modeling the velocity of circulation. Our...

This paper investigates the relationship between French wealth and household consumption in a nonlinear context. At first, we update the previous French wealth effects estimates by taking into account the post subprime crisis period; we show that the wealth effect is still positive but only about...

This paper analyzes the effect of productivity shocks originating from other countries on economic growth in the home country. Traditionally, productivity shocks have been considered as driving forces of economic growth in their home countries. However, productivity improvements occur both at...

Commodity prices are key ingredients in many economic theories. We pick three of them (Prebisch–Singer hypothesis, commodity currencies, financialization of commodity markets) and give a critical view on the empirical challenges faced by practitioners, including measurement inconsistencies,...

Beta coefficients are the cornerstone of asset pricing theory in the CAPM and multiple factor models. This chapter proposes a review of different time series models used to estimate static and time-varying betas, and a comparison on real data. The analysis is performed on the USA and developed...

Understanding what drives the changes in current accounts is one of the most important macroeconomic issues for developing countries. Excessive surpluses in current accounts can trigger trade wars, and excessive deficits in current accounts can, on the other hand, induce currency crises. The...