Modeling the French Consumption Function Using SETAR Models

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 as being caused by mispecification problems or measurement errors. We suggest another explanation that strengthens the role played by structural breaks caused by endogenous factors such as habit formation. In this view, we use threshold models (SETAR) to study both the dynamics of short and long term in order to account for the existence of asymmetric effects in the relationship between consumption and some of its determinants. The estimations and forecasts obtained show that the SETAR error correction model leads to better performance than other specifications such as the usual linear error correction model, the quadratic error correction model and the cubic error correction model.

On price convergence in Eurozone

We investigate price level convergence with Germany in eleven countries belonging to the Eurozone between January 1970 and July 2011. Relying on smooth transition regression models, we show that the price convergence process is nonlinear, depending on the size of the price differential: for most countries, price convergence occurs only when price differentials with Germany exceed a certain threshold. Moreover, our findings put forward some heterogeneity across the Eurozone members in terms of price convergence speed, that can be explained by the evolution of price-competitiveness, rigidities in labor markets, but also by specialization patterns.price convergence, Eurozone, smooth transition regression models, half-life

On the link between forward energy prices: A nonlinear panel cointegration approach

This paper investigates the relationship between forward prices of oil, gas, coal, and electricity using a nonlinear panel cointegration framework. To this end, we consider a panel of 35 maturities and control for the economic and financial environment using equity futures prices. Estimating the cointegrating relationship, we find that oil, gas and coal forward prices are positively linked, while the negative link between oil and electricity prices is consistent with a substitution effect between the two energy sources on the long run. Estimating panel smooth transition regression (PSTR) models, we show that the forward oil price adjustment process toward its equilibrium value is nonlinear and asymmetric, putting forward the key role played by self-sustaining dynamics and speculation phenomena.forward energy prices, speculation, panel cointegration, nonlinear model, PSTR

Biomethane technology for grid injection

This is a poster that describes the state-of-the art and perspectives for biomethane as technology for grid injectio

What if the euro had never been launched? A counterfactual analysis of the macroeconomic impact of euro membership

The aim of this paper is to gauge quantitatively the macroeconomic impact of EMU membership. Building on the Global VAR framework designed by Pesaran et al. (2004), we want to shed light on the following important questions: What if the euro had never been launched? How would national outputs and inflation rates have evolved? We show that monetary unification promoted lower interest rates and higher output in most euro area (EA) countries, relatively to a situation where national monetary policies would have followed a German-type one. If national monetary policies had adopted British monetary preferences after September 1992 however, this would have led to higher interest rates, depreciations of national exchange rates and higher output in most EA countries, especially over the 1992-1998 period. This is particularly true for the three biggest countries of the EA (France, Germany and Italy). Besides, the single currency regime probably did not have a massive impact on price developments.Euro, counterfactual analysis, global VAR.

Does OPEC still exist as a cartel? An empirical investigation

The aim of this paper is to determine if OPEC acts as a cartel by testing whether the production decisions of the different countries are coordinated and if they have an influence on oil prices. Relying on cointegration and causality tests in both time series and panel settings, our findings show that the OPEC influence has evolved through time, following the changes in the oil pricing system. While the influence of OPEC is found to be important just after the counter-oil shock, our results show that OPEC is price taker on the majority of the considered sub-periods. Finally, by dividing OPEC between savers and spenders, we show that it acts as a cartel mainly with a subgroup of its members.Oil prices, oil production, OPEC, cartel, cointegration, causality.

Oil Price and the Dollar

The aim of this paper is to test whether a stable long-term relationship exists between oil prices and the US effective exchange rate, expressed in real terms. To this end, weproceed to a cointegration and causality study between the two variables. Our results indicate that causality runs from oil prices to the exchange rate and that the relationship between the two variables is transmitted through the US net foreign asset position.oil prices; effective exchange rate; net foreign asset position; cointegration; causality; error correction model

On the link between credit procyclicality and bank competition

This paper investigates the relationship between bank competition and credit procyclicality for 17 OECD countries on the 1986-2009 period. We account for heterogeneity among countries in terms of bank competition through the use of a hierarchical clustering methodology. We then estimate panel VAR models for the identified sub-groups of economies to investigate whether credit procyclicality is more important when the degree of bank competition is high. Our findings show that while credit significantly responds to shocks to GDP, the degree of bank competition is not essential in assessing the procyclicality of credit for OECD countries.Credit cycle, economic cycle, bank competition, financial stability, panel VAR.

Prix Nobel de Médecine 2005 : Barry J. Marshall et J. Robin Warren. Helicobacter pylori couronné

Barry J. Marshall, Australien, est né le 30 septembre 1951 à Kalgoorlie (Western Australia). Médecin, chef de clinique en gastroentérologie au Royal Perth Hospital de 1977 à 1984, il accède par la suite à la chaire de médecine interne en 1997, puis devient Professeur de microbiologie en 1999 à l’University of Western Australia. Il reçoit en 1995 le Prix Albert Lasker et en 1999, à Philadelphie, la Benjamin Franklin Medal for Life Sciences.J. Robin Warren, Australien, est né le 11 juin 1937 à Adélaïde (South Australia). Médecin, chef de clinique, en hématologie en 1962 à l’Institute of Medical Science d’Adélaïde puis en anatomopathologie en 1964 au Royal Melbourne Hospital, il est lauréat (conjointement avec Barry J. Marshall) des Prix Warren Alpert (1994) et Paul Ehrlich (1997)