We show in this article that fractionally integrated univariate models for GDP lead to a better replication of the main business cycle characteristics. We firstly show that the business cycle features are clearly affected by the degree of integration as well as by the other short run (AR, MA,...

Cet article élabore une nouvelle méthodologie de datation des cycles financiers extrêmes. S?appuyant sur la théorie des valeurs extrêmes, il étend la « calculus rule » afin de détecter les pics et les creux exceptionnels. Appliquée sur des séries financières américaines...

This paper provides new empirical evidence about the relationship that may exist between real exchange rates and commodity prices in developing countries that are specialized in the export of a main primary commodity. It investigates how structural factors like the exchange rate regime, the...

[fre] Appréhender la conjoncture à l'aide de la méthode de Stock- Watson : une application à l'économie belge par Vincent Bodart et Bertrand Candelon . Au cours de différents travaux récents, Stock et Watson (1989, 1991, 1993) ont développé une méthodologie nouvelle de construction...

This paper proposes an original procedure which allows for testing of Granger-causality for multiple risk levels across tail distributions, hence extending the procedure proposed by Hong et al. (2009). Asymptotic and finite sample properties of the test are considered. This new Granger-causality...

Traditionally, financial crisis Early Warning Systems (EWSs) have relied on macroeconomic leading indicators when forecasting the occurrence of such events. This paper extends such discrete-choice EWSs by taking the persistence of the crisis phenomenon into account. The dynamic logit EWS is...

[eng] Was the Recession of the 1990s Exceptional? by Bertrand Candelon and Pierre- Yves Hénin . The recession of the 1990s was perceived as being exceptionally severe, which begs the question as to whether it was the manifestation of increased cyclicity in the OECD economies. In this case, the...

This paper proposes a new measure of contagion, based on the frequency analysis of causality developed recently by Breitung and Candelon [Breitung, J., Candelon, B. 2006. Testing for short and long-run causality: a frequency domain approach, Journal of Econometrics, 12, 363-378.]. This approach...