[fre] L'ambition de cet article est de fournir une mise à jour de la littérature sur la détermination des taux de change depuis la contribution de Cassel en 1916. Nous passons en revue l'ensemble des principales analyses théoriques, tout en examinant leur validité sur le plan empirique. Non...

This paper presents a small macro-econometric model of Kazakhstan to study the impact of various economic policies. It uses a new approach to test the existence of a level relationship between a dependent variable and a set of regressors, when the characteristics of the regressors’...

This paper presents a continuous time stochastic growth model to study the effects of tax evasion and tax corruption on the level and volatility of private investment and public spending. Our results suggest that there do exist several regimes of mean growth and growth volatility, depending upon...

This paper presents a quarterly macro econometric model of Kazakhstan. The main goal is to provide a stylized representation of the Kazakh economy in order to simulate the consequences of several economic policies viewed by the authorities as essential during the period of transition to a market...

This paper presents a 2-regime SETAR model with different long-memory processes in both regimes. We briefly present the memory properties of this model and propose an estimation method. Such a process is applied to the absolute and squared returns of five stock indices. A comparison with simple...

This paper presents a 2-regime SETAR model with different long-memory processes in both regimes. We briefly present the memory properties of this model and propose an estimation method. Such a process is applied to the absolute and squared returns of five stock indices. A comparison with simple...

We provide new estimations on aggregate consumption series in France using the framework of non-stationary threshold models. Most macroeconomists agree with the idea that, since the beginning of the seventies, the saving ratio has evolved irregularly. Such irregularities are usually interpreted...

This paper attempts to provide evidence of “shift-volatility” transmission in the East Asian equity markets. By “shift-volatility”, we mean the volatility shifts from a low level to a high level, corresponding respectively to tranquil and crisis periods. We examine the interdependence of...

This paper proposes a new fractional model with a time-varying long-memory parameter. The latter evolves nonlinearly according to a transition variable through a logistic function. We present a LR-based test that allows to discriminate between the standard fractional model and our model. We...