This study is devoted to the analysis of the main effects, on the Belgian economy, of various forms of tax shifting aimed at increasing taxes on energy and decreasing other taxes(mainly taxes on labour). Results show that, if the increase in energy taxes is combined with a reduction of taxes on...

La littérature sur l'instabilité macroéconomique couvre un champ extrêmement vaste qui se révèle par le spectre très large de mesures utilisées pour appréhender ce phénomène. Le choix de la mesure de l'instabilité macroéconomique apparait généralement peu discuté sous le...

This paper proposes an indirect inference (Gourieroux, Monfort and Renault, 1993; Smith, 1993) estimation method for a large class of dynamic equilibrium models. Our approach is based on the observation that the econometric structure of these systems naturally generates auxiliary equilibria that can...

The main aim of this paper is to examine the qualities of the mixed diffusion-jump process whose parameters are random variables. The hypothesis of a Wiener geometric process applied to exchange rate has become doubtful at the beginning of the nineties, fact determined by a high leptokurtosis of...

The main aim of this paper is to examine the qualities of the mixed diffusion-jump process whose parameters are random variables. The hypothesis of a Wiener geometric process applied to exchange rate has become doubtful at the beginning of the nineties, fact determined by a high leptokurtosis of...

In a Constant Proportion Portfolio Insurance (CPPI) framework, a constant risk exposure is defined by the multiple of the strategy. This article proposes an alternative conditional multiple estimation model, which is based on an autoregressive quantile regression dynamic approach. We estimate...

Summary: The European Union absorbs nearly 75% of Tunisian exports and represents about 50% of Tunisian imports, which explains the important weight of the euro in the Tunisian dinar anchor basket. Thus, the purpose of this article is to predict short-term exchange rate fluctuations EUR/TND,...

In this paper, we study the asymptotic distribution of a simple two-stage (Hannan-Rissanen-type) linear estimator for stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions for consistency and asymptotic normality are...

We propose methods for testing hypothesis of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses...