This paper presents the evolution of structural and non-structural macroeconomic models and discusses the progress of quantitative macroeconomics. We also present and discuss several empirical studies that model the statistical properties of the macroeconomic and financial series under...

This study aims to investigate the dynamics of public debts over more than four decades for two of the main developed countries: the USA and the UK. To do this, we apply nonlinearity tests and threshold models. While the first tests enable us to check for further changes in the data, threshold...

This paper estimates money demand equations for the euro area, the US and the UK using three different econometric methodologies: (i) a linear model based on a dynamic ordinary least squares (DOLS); (ii) a nonlinear technique based on a quantile regression framework; and (iii) a nonlinear model...

This paper assesses the importance of nonlinearity in estimating the wealth effects on consumption for the US, the UK and the Euro area. We look at the impact of both (i) aggregate wealth and (ii) disaggregate wealth, namely, by comparing financial wealth effects with housing wealth effects. We...

This paper studies the speculative efficiency of the aluminum contract traded in the London Metal Exchange over the last three decades. We investigate both short and long-run efficiency using linear and nonlinear cointegration approaches and Error Correction Models (ECM). Our findings point out...

This article studies the financial integration between the six main Latin American markets and the US market in a nonlinear framework. Using the threshold cointegration techniques of Hansen and Seo (2002), we show significant threshold stock market linkages between Mexico, Chile and the US....

This paper aims to modeling stock prices adjustment dynamics toward their fundamentals. We used the class of Switching Transition Error Correction Models (STECM) and we showed that stock prices deviations toward fundamentals could be characterized by nonlinear adjustment process with mean...

In this article, we investigate the hypothesis of efficiency of central bank intervention policies within the current global financial crisis. We firstly discuss the major existing interventions of central banks around the world to improve liquidity, restore investor confidence and avoid a...

We investigate the synchronization and nonlinear adjustment dynamics of short-term interest rates for France, the UK and the US using the bi-directional feedback measures proposed by Geweke (1982) and appropriate smooth transition error-correction models (STECM). We find strong evidence of...

This article investigates the evolution of the US risk premium in periods of crisis. First, we estimate a conditional CAPM with time-varying systematic risk and price of risk using a multivariate GARCH-in-Mean model. Second, we study the structural breaks in the US risk premium. Finally, we...