[eng] Our article presents an overview of panel unit-root tests. There are two major trends in this research area. First, since the late 1990s, the work on panel unit-root tests aims to take account of heterogeneity in dynamic properties of series. Second, attempts have recently been made to...

[fre] Cette étude d’événements sur la Bourse de Paris montre l’impact d’informations publiques sur les cours des entreprises émettrices. Les données utilisées sont intraquotidiennes et portent sur des titres du CAC 40 et du MIDCAC de janvier 1995 à décembre 1999. Deux tests non...

[eng] Oil Prices and the US Dollar Exchange Rate . The US dollar being the key currency on the oil market, the question of the potential links between oil prices and the US dollar exchange rate seems crucial. This paper proposes to survey the co-movements between oil prices and the US dollar...

[eng] The Yuan and the G20 . In this article, authors try to calculate the Yuan’s rise margin and to analyse the impacts of an exchange rate adjustment of Yuan and other Asian currency on the Euro-Dollar’s parity. First, this article describes the origins of the fixed exchange rate in China....

The aim of this paper is to investigate whether price dynamics is homogeneous across the Eurozone countries. Relying on monthly data over the January 1970~July 2011 period, we test for the absolute purchasing power parity (PPP) hypothesis through the implementation of second and third-generation...

This paper aims at explaining why the CFA countries have successfully maintained a currency union for several decades, despite failing to meet many of optimum currency area criteria. We suggest that the CFA zone, while not optimal, has been at least sustainable. We test this sustainability...

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...

[eng] This paper offers an overview of panel-data cointegration tests. We present the main tests based on the null hypothesis of no cointegration (Pedroni, Kao, Bai and Ng test ; Groen and Kleibergen test ) and the McCoskey and Kao test based on the null hypothesis of cointegration. We also...

[fre] Méthodes d'estimation de l'exposant de Hurst. Application aux rentabilités boursières . par Valérie Mignon . L'objet de ce papier est de déterminer si les séries de rentabilités boursières sont caractérisées par une structure de dépendance de long terme. Nous commençons par...

[eng] Fractional Cointegration Between Consumption and Income.. The purpose of this paper is to test the existence of a stable long-term relationship between consumption and income. To do so, we use the concept of fractional cointegration rather than the usual concept of cointegration. Standard...