This paper provides empirical evidence that there is no absolute convergence between the GDP per capita of the developing countries since 1950. Relying upon recent econometric methodologies (nonstationary long-memory models, wavelet models and time-varying factor representation models), we show...

The standard macroeconomic view links the equilibrium level of foreign exchange rates to the state of the macroeconomic fundamentals. Any deviation from the equilibrium level is viewed as temporary since there are forces ensuring quickly mean-reverting dynamics. The aim of this article is to...

This paper investigates whether terms of trade have an impact on real exchange rates for commodity exporters and oil exporters. To this end, we estimate a long term relationship between the real effective exchange rate and economic fundamentals, including the commodity terms of trade. The...

This paper proposes a systematic study of the degree of financial integration following the degree of trade integration according to Balassa’s (1961) classification, from preferential trading area to complete economic integration. To this end, we exploit all the information contained in...

The aim of this paper is to investigate the links between oil prices and various macroeconomic and financial variables for a large set of countries, including both oil-importing and oil-exporting countries. Both short-run and long-run interactions are analysed through the implementation of...

The market portfolio efficiency remains controversial. This paper develops a new test of portfolio mean-variance efficiency relying on the realistic assumption that all assets are risky. The test is based on the vertical distance of a portfolio from the efficient frontier. Monte Carlo...

This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the...