Research

 

Books, Contributions to Books

“New evidences of linkages between stock market and economic activity in Asia” with N. Metiu (2010), in The evolving role of Asia in global finance” in Emerald, Yin-Wong Cheung, Vakas Kakkar and Guonan Ma edt., 23-48.

“Measuring Bulls and Bears Synchronization in East Asia” (2010) with J. Piplack and S. Straetmans, (2010), in  Financial Contagion: The Viral Threat to the Wealth of Nations, Hoboken, NJ: John Wiley & Sons, Inc.R. Kolb edt., 149-157.

“From Banking to Sovereign Debt Crisis in Europe” (2010) with F. Palm in Sovereign Debt: From Safety to Default, Hoboken, NJ: John Wiley & Son Inc., R. Kolb edt., .

“A Clinical Analysis of Financial Crises”, Inaugural Lecture for the Chaire in International  Monetary Economics at the University Maastricht, September 19th 2008. ISBN: 978-90-5681-292-8.

“Patterns of cyclical variability” CIACO Publishers, Louvain-la-Neuve, n°320, 1998.

“Output stabilization versus deficit sustainability : A comparative view on a changing trade-off ” with  Pierre-Yves Hénin in “Business Cycles and Macroeconomic Stability” Hairault, Hénin and Portier ed.,  Kluwer Academic Publisher 1997, 281-300.

 

 

Articles in journals

“Testing for Crude Oil Markets Globalization during Extreme Price” with M. Joets and S. Tokpavi, forthcoming in Economic Modelling.

“Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation” with E. Dumitrescu, C. Hurlin and F.C. Palm, forthcoming in Advances in Econometrics, 31 “VAR Models in Macroeconomics, Financial Econometrics, and Forecasting.”

“Small Sample Properties of the Test for Structural Change in the Tail Behavior” with S. Straetmans, forthcoming in “Journal of Banking and Finance”.

“Network Effects and Infrastructure Productivity in Developing Countries” with C. Hurlin and G. Colletaz, forthcoming in “Oxford Bulletin of Economics and Statistics”. Codes

“Sampling Error and Double Shrinkage Estimation of Minimum Variance Portfolios” with S. Tokpavi and C. Hurlin in “Journal of Empirical Finance”, 19(4), 511-527, September 2012.

“Real Exchanges Rates in Commodity Producing Countries: A Reappraisal” with V. Bodart and J.F. Carpantier in “Journal of International Money and Finance”, 31(6), 1482-1502, October 2012.

“How to Evaluate an Early Warning System ?” with E. Dumitrescu and C. Hurlin in “IMF Economic Review”, 60(1) 75-113, April 2012. Codes.

“Backtesting Value-at-Risk: A GMM Duration-Based Test” with C. Hurlin, G. Colletaz and S. Tokpavi in “Journal of Financial Econometrics” 9(2), 314-343, Spring 2011. Codes.

“Integration and Stock Market Comovement between Emerging Economies” with M. Beine in “Quantitative Finance” 11(2) 299-312, February 2011.

“Contagion” (Guest editor’s introduction of the special issue) in “Pacific Economic Review” 15(3), 336-339, August 2010.

“Testing for Contagion: A new time-varying Copula Approach” with H. Manner in “Pacific Economic Review” 15(3), 364-384, August 2010.

“Financial and debt crises: the dangerous liaisons” with F. Palm in de Economist, 158(1), 81-9, April 2010 and CESifo Working paper 3001.

“Banking Sector Strength and the Transmission of Currency Crises” with A. Bruinshoofd and K. Raabe in “Open Economies Review” 21(2) 364-384, April 2010.

“Fiscal Policy and Monetary Integration in Europe: An Update” with R. Vermeulen and J. Muysken in “Oxford Economic Papers” 62(2), 323-349, 2010.

“Measuring Synchronization using a Finite Sample Concordance Test Approach” with J. Piplack and S. Straetmans in  “Oxford Bulletin of Economics and Statistics”, 71, 5, 715-737, October 2009.

“Contagion: A Frequency Domain Perspective”, with V. Bodart in “Emerging Market Review”, 10 140-150, June 2009.

“Differences in Occupational Unemployment rates in the United States: Hysteresis or Structural?” with A. Dupuy and L.A. Gil-Alana in “Applied Economics”, 41(19), 2483-2493, August 2009.

“A cautious Note on the Use of Panel Models to Predict Financial Crises” with J. van den Berg and J.-P. Urbain in “Economics Letters” 101(1), 80-83, October 2008.

“On Measuring Synchronization of Bulls and Bears: the Case of East Asia” with J. Piplack and S. Straetmans in “Journal of Banking and Finance”, 32, 1022-1035, 2008.

“Long-run Real exchange Rate Determinants: Evidence from eight new EU Member States, 1993-2003 ” with C.Kool, K. Raabe and T.v. Veen in “Journal of Comparative Economics”, 35, 87-107, March 2007.

“Testing for Parameter Stability in Dynamic Models across Frequencies” with G. Cubadda, in “Oxford Bulletin of Economics and Statistics”, 68, 741-760, December 2006.

“Testing for Multiple Breaks in the Tail Behavior of Emerging Currency Returns”, with S. Straetmans, in “Journal of International Money and Finance “, 25, 1187-1205, November 2006.

“Mean Reversion in Interest Rates in Emerging Countries” with L.A. Gil-Alana in “Review of International Economics”, 14(1), 119-135, February 2006.

“Testing for Short and Long-run Causality: A Frequency domain Approach” with J. Breitung in “Journal of Econometrics”, 12, 363-378, June 2006.

“Measuring Common Cyclical Features during Financial Turmoil” with A. Hecq and W. Verschoor, in “Journal of International Money and Finance”, 24, 1317-1334, December 2005.

“Tracking the Purchasing Power Parity under Currency Crises: A Unit Root Panel test under Structural Break Approach”, with J. Breitung in Weltwirtshaftliches Archich, 141(1), 124-140, December 2005.

“Nonlinear Monetary Policy in Europe: Myth or Fact”, with A. Bruinshoofd, in Economics Letters, 86(3), 399-403, March 2005.

“Seasonal and Long run Fractional Integration in the Industrial Production Indexes of Latin American Countries”, with L.A. Gil-Alana in Journal of Policy Modeling, 26, 301-313, April 2004.

“Fractional Integration and the Business Cycle” with L.A. Gil-Alana in Empirical Economics, 29, 343-359, 2004.

“On Finite Sample Properties of the Robinson’s (1994) Tests for Fractional Integration”, with L.A. Gil-Alana, in Journal of Statistical Computation and Simulation, 73(6), 445-464, 2003.

“EMU Membership and Business Cycle Phases in Europe : A Markov Switching VAR Analysis “, with M. Beine and K. Sekkat, in Journal of Economic Integration, 18(2), 2003.

“Is there a Common European Business Cycle? New Insights from a Frequency Domain Analysis” with J. Breitung in Vierteljahrshefte zur Wirtschaftsforschung, 70, 3/2001, 331-338.

“On the Reliability of Chow Type Tests for Parameter Constancy in Multivariate Dynamic Models” with H. Lütkepohl in Economics Letters, 73, 155-160, 2001.

“Determining the European Optimum Currency Area on the Basis of Multivariate Common Features Tests” with M. Beine and A. Hecq in Empirica, 27, 115-132, 2000.

“Stability of Activity-Unemployment Relationship in a Codependent System” with A. Hecq in Applied Economics Letters, 7, 687-693, Oct. 2000.

“Inflation and Activity: Further Investigations after the Last Cycle” in Economie Appliquee tome LIII ,1, 175-202, Jan. 2000.

 

In Dutch:

“Een analyse van de recente financiele crisis” 4, December, in Kwartaalschrift Economie, 2008, 367-391.

 

In French:

“Extreme Financial Cycles” with C. Hurlin and G. Gaulier, forthcoming in the “Revue d’Economie Politique” in the special issue in honor of Pierre-Yves Henin.

“Apprehender la conjoncture a l’aide de la methode de Stock-Watson: une application a l’economie belge” with V. Bodart in Economie et Prevision, 146, 141-153, 2000/5.

“Politique monetaire et canal du credit : une estimation empirique sur l’economie Francaise ” with Elisabeth Cudeville, in Revue d’Economie Politique vol.107(6) Nov-Dec 1997, 785-807.

“La recession des annees quatre-vingt dix a-t-elle ete exceptionnelle ? “with Pierre-Yves Henin, in Economie et Prevision, 120, 1995-4, 51-71.

 

 

In the Newspapers:

“Spillover effects in a fiscal union: Evidence from US states and Treasury bond markets”  with R. Arezki and A. Sy in VoxEU, August 2012.

“Municipal fallout” with R. Arezki and A. Sy December in Finance and Development, September 2011, 34-35.

“Stronger downgrade may create a big one shock” interviewed by Jorge Nascimento Rodrigues 30 mars 2011 for the Expresso (Portugal).

“Bad News spreads” with R. Arezki and A. Sy December 2010 in Finance and Development, 47(4), 36-37.

Interview on “Financial Contagion” FSAmsterdam Fiducie July 2010, 17(4) p.6-9.

“Zal de opgelopen Amerikaanse inflatie ook in Europa leiden tot hogere prijzen?” ‘Vraag v/d week’ van de Ceteris Paribus pagina in Economisch Statistische Berichten, 11 December 2009.

 

Working Papers

On the Importance of Indirect Banking Vulnerabilities in the Eurozone” (2012) with A. Bicu, METEOR Research Memoranda 033.

“A Distribution-Free Test for Outliers” (2012) with N. Metiu.

“Do We Need Intra-Daily Data to Forecast Daily Volatility?”(2012) with D. Banulescu and C. Hurlin.

“Spillover Effects from the Munis” (2011) with R. Arezki and A. Sy, IMF Working Paper 11/290.

“On the Macroeconomic determinants of Sovereign Wealth Funds’ Investments” (2011) with M. Kerkour and C. Lecourt.

“Real Exchanges, Commodity Prices, and Structural Factors in Developing Countries” (2011) with V. Bodart and J.F. Carpantier CORE working paper 2011/45.

“Testing for Short-Run Threshold effects in a Vector Error-Correction Framework: A Reappraisal of the Stability of the U.S. Money Demand” (2011) with L. Lieb, JB Ramsey prize at the 19th symposium of the society for non-linear dynamics and econometrics.

“Modeling Financial Crisis Mutation” (2011) with E. Dumitrescu, C. Hurlin and F.C. Palm

“Hierarchical Organization and Performance Inequality: Evidence from Professional Cycling” (2010) with A. Dupuy.

“Volatility Forecast with Ranges and Trimmed Ranges” (2010) with Y.W. Cheung.

“Sovereign Ratings News and Financial Markets Spillovers” (2010) with R. Arezki and A. Sy, IMF Working Paper 11/68.  

“Currency crises early warning systems: why they should be dynamic” (2010) with E. Dumitrescu and C. Hurlin, METEOR Research memorandum RM/10/047.

“Fiscal policies in good and bad times” (2010) with L. Lieb.

Testing for Exceptional Bulls and Bears: A Non-Parametric Perspective” (2009) with N. Metiu. 

Does Technology Spill Over across National Borders and Technology Regimes?” (2008) with J. Bos and C. Economidou. Codes.

 

PhD Students

Achieved:  Lenard Lieb “Essays on Monetary and fiscal Policies in good and bad Times” 11/28/2012 (University Maastricht),  Elena Dumistrescu “Econometric Methods for Financial Crises” 31/05/2012 (European University Institute), Francisco Blasques “Semi- Nonparametric Indirect Inference” 03/11/2011 (Free University Amsterdam), Norbert Metiu “Essays on Financial Market Instability” 27/10/2011 (Bundesbank), Manos Sfakianakis “The Role of Private Actors in the Provision of public Goods with Applications to the Infrastructure and Financial Stability” 25/05/2011 (ESMA), Jeroen van den Berg “Currency Crises and their Early Warning Systems) 19/05/2011 (UWV Werkbedijf), Robert Vermeulen “Essays on International Financial Integration”, 30/06/2010 (Dutch National Bank), Jan Piplack, “Essays on Asset Market Comovements”, 26/09/2008 (KPMG).

 

To come:  Andreea Bicu (2010-2013), Malik Kerkour (2010-2013), Ahmed Jameel (2010-2013), Lennart Freitag (2011-2014), Denisa Banulescu (2012-2015), Philip Drautz (2012-2015), Dominik Blatt (2012-2015), Seher Fazioglu (2012-2015).

 

 

Presentations

“Spill-over effect of the Munis”

  •  Dutch National Bank, October 23rd 2012.

 

“Modeling Financial Crisis Mutation”

  •  Seminar FUNDP- Namur (January 2013).
  •  MIFN 6eme Seminar in Sydney (August 2012)
  •  Internal Seminar Macquarie University (Sydney, August 2012).
  •  Joint Lunch Seminar Bundesbank/ European Central Bank/ Frankfurt University (April 2012).
  •  Seminar University Catholique de Louvain CORE (March 2012).
  •  Internal seminars National Bank of Serbia (June 2011) and Central Bank of Tunisia (September 2011).

 

 “Sovereign Ratings News and Financial Markets Spillovers”

  •  Internal Seminar at University Orleans (December 23rd 2010), IMF institute (January 11th 2011).
  •  MIFN 2010 workshop in Jinan (China).

 

“Fiscal policies in stress periods”

  • Internal Seminar UC Santa Cruz, May 27th 2010.
  • Internal Seminar University of Orleans, July 6th 2010.

 

“Towards an unified statistical framework to evaluate financial crises early warning systems”

  • Econometric Society World Congress, Shanghai, August 28th 2010.
  • Internal seminar IMF research department, May 25th 2010.

 

“Testing for Exceptional Bulls and Bears: A Non-Parametric Perspective” 

  • Internal Seminar University Rome tor Vergata February 14th 2009.

 

“Fiscal Policy and Monetary Integration in Europe: An Update”

  • Internal Seminar European Commission April 1st 2008.
  • European Financial, Monetary and fiscal integration congress in Maastricht. 

 

“Testing for Contagion: A new time varying Copula Approach”

  • Cass Business School congress in international finance for emerging economies, May 5-6th 2007. 
  • Internal Seminar University of Orleans, December 20th 2007.

 

” Integration and Stock Market Co-movement between Emerging Economies”

  • XXIth annual congress of the E.E.A. (European Economic Association) from the 24th to 28th Augustus 2006 in Vienna.

 

“Evidences of Contagion and Interdependence using a Frequency Domain Framework”

  •  Internal Seminar at the University of Navarra at Pamplona, November 2005.

 

“How synchronized are European Business Cycles? A Finite Sample Concordance Test Approach”

  •  Schumpeter Institute Seminar, Humboldt University in Berlin, 25th October 2005.
  •    1st Research day of the Money and Banking group, Maastricht, 23rd June 2005.

 

“Testing for parameter stability in dynamic models across frequencies”

  • LXIth annual congress of the E.S.E.M. (Econometric Society European Meeting) from the 24th to 28th Augustus 2006 in Vienna.
  •  Frontiers in Time Series congress in Olbia (Italy), May 2005.
  •  ESF.EMM annual congress in Alghero (Italy), October 2004.

 

“Tracking the Purchasing Power Parity under currency crises: A unit root panel test under structural break approach”

  • Panel Data workshop at the University of Bonn (Germany)

 

“Measuring Common Cyclical Features During Financial Turmoil”

  •  Common Feature in Rio from the 29th to 31st July 2002 in Rio de Janeiro (Brasil).     

            

“Multi.Regime Common Cyclical Features”

  • Common Feature in Rio from the 29th to 31st July 2002 in Rio de Janeiro (Brasil).
  • LVIIth annual congress of the E.S.E.M. (Econometric Society European Meeting) from the 25th to 28th September 2001 in Venice (Italy).

 

“Common Cycles: Testing for short and long-run causality: The case of the yield spread and economic growth”

  •   EC2 Meeting, Louvain-la-Neuve (Belgium) from the 13th to 15th December 2001.

 

 “Common Cycles : A Frequency Domain Approach”

  • Common Feature in Maastricht from the 14th to 16th December 2003 in Maastricht.
  • Internal seminars of the Universite Libre de Bruxelles, European University Institute at Florence, Ludwig-Maximillian Universität zu Munchen, Humboldt Universität zu Berlin.
  • Meeting of the CEPR at Hydra (Greece) from the 10th to 13rd May 2001.
  •  XVIth annual congress of the E.S.E.M. (Econometric Society European Meeting) from the 29th to 1st September 2001 in Lausanne (Switzerland).

 

“Fractional Integration and the Business cycle”

  • Internal seminars of the Humboldt Universitat zu Berlin.
  • XVIth annual congress of the E.S.E.M. (Econometric Society European Meeting) from the 29th to 1st September 2001 in Lausanne (Switzerland).

 

“On the Reliability of Chow Type Tests for Parameter Constancy in Multivariate Dynamic Models”

  • Internal seminar of Maastricht University (The Netherlands).
  • Humboldt Universität Workshop the 14 th July 2000 at Bernau (Germany).

 

“Stabilization and Business Cycle Phases across Europe: A Markov Switching VAR Analysis”

  • XIVth annual congress of the E.S.E.M. (Econometric Society European Meeting) from the 1st to 4th September 1999 in Santiago de Compostela (Spain).

 

“On the stability of Okun’s law in a codependent system”

  • Internal seminars of the Bank of England, Humboldt-Universität zu Berlin and UFSIA-Univestity of Antwerp (1999).
  • Autumn meeting of the G.A.P.E (German Association for Political Economy) from the 17th to 19th October 1997 in Maastricht (The Netherlands).
  • XIIth annual congress of the E.E.A. (European Economic Association) from the 1st to 3th September 1998 in Berlin (Germany).

 

“Endogenous contract length and the changing pattern of cyclical variability”

  •  IXth annual congress of E.A.L.E. (European Association Labor Economists) from the 25th to 28th September 1997 in Aahrus (Denmark).

 

“The transmission channels of the monetary policy: An investigation on French economy”

  •  XIIIth international congress on monetary and finance economics the 6th and 7th June 1996 in Aix-en-Provence (France).
  •   XXth annual congress of the E.S.E.M. (Econometric Society European Meeting) from the 25th to 29th August 1996 in Istambul.

 

“Was the last recession exceptional ?”

  • Xth annual congress of the E.E.A. (European Economic Association) from the 1st to 4th September 1995 in Prague.
  • XLIVth annual congress of the A.F.S.E. (French Association of Economics) from the 21st to 22nd September 1995 in Paris.
  •   Hydra meeting on “Stylized facts of business cycles, growth and income Distribution and the E.U.” organised by the Athens Institute of Economic Policy Studies from the 4th to 6th April 1996 in Hydra (Greece).

 

Update March, 2013