Publications

  1. When are Google data useful to nowcast GDP? An approach via preselection and shrinkage, Journal of Business and Economic Statistics , Vol. 41(4), pp. 1188-1202, October (with A. Simoni, 2023)
    Blogs: Skema-Knowledge Blog, Econbrowser post
  2. Commodity currencies revisited: The role of global commodity price uncertainty, Journal of International Money and Finance, Vol. 145(C) (with T. Bermpei, A. Karadimitripoulou & T. Triantafyllou, 2024)
    WP version
    Slides: FKT_Currencies_ICMAIF_May23
  3. Oil jump tail risk as a driver of inflation dynamics, Journal of Commodity Markets , Vol 36, December 2024, 100434 (with A. Karadimitripolou and T. Triantafyllou, 2024)
  4. Les cycles économiques de la France: Une datation de référence, Revue Economique, 2023/2, Vol. 74, pp. 5-52 (with A. Aviat, F. Bec, C. Diebolt, C. Doz, D. Ferrand, E. Heyer, V. Mignon, P.A. Pionnier, 2023).
    Blogs: VoxEU blog 1, VoxEU blog 2,
    Slides:     DatingFrance_SemBeta_Jan2022
    English version: Dating business cycles in France: A reference chronology
  5. The new Fama puzzle, IMF Economic Review, Vol. 70, Issue 3, pp. 451-486, September (with M. Bussière, M.D. Chinn and J. Heipertz, 2022).
    Blogs: VoxEU blog
  6. Questioning the puzzle: Fiscal policy, real exchange rate and inflation, Journal of International Economics, Vol. 133 (with L. Metelli, F. Natoli and D. Siena, 2021)
    Blogs: Econbrowser post
  7. Measuring exchange rate risks during periods of uncertainty, International Economics, , Vol. 170 (C), pp. 202-212 (with J. Yapi, 2022)
  8. Common factors of commodity prices, Journal of Applied Econometrics, Vol. 37, Issue 3, pp. 461-476, April/May (with S. Delle Chiaie and D. Giannone, 2022)
  9. Economic forecasting at times of Covid-19, International Journal of Forecasting, Guest Editorial (with Xuguang (Simon) Sheng, 2022)
  10. Monitoring high-frequency Growth-at-Risk, International Journal of Forecasting, Vol. 38, pp. 582-595 (with M. Mogliani and J.-G. Sahuc, 2022)
    Blogs:  VoxEU blog,
  11. Global Financial connectedness: A non-linear assessment of the uncertainty channel, Applied Economics, Vol. 53, Issue 25, pp. 2865-2887 (with B. Candelon and M. Joets, 2020)
  12. Nowcasting global economic growth: A factor-augmented mixed-frequency approach, The World Economy, Vol. 42, Issue 3, pp. 846-875 (with C. Marsilli, 2019)
  13. Impact of uncertainty shocks on the global economy, Journal of International Money and Finance, Vol. 88, pp. 209-211 (with M.D. Chinn and R. Giacomini, 2018)
  14. What are the macroeconomic effects of high-frequency uncertainty shocks?, Journal of Applied Econometrics, Vol. 33, Issue 5, pp. 662-679 (with P. Guérin, 2018)
  15. Does the Great Recession imply the end of the Great Moderation? International evidence, Economic Inquiry, Vol. 56, Issue 2, pp. 745-760 (with A. Charles and O. Darné, 2018)
  16. Forecasting euro area recessions by combining financial information, International Journal of Computational Economics and Econometrics, 7, 78-94 (with C. Bellégo, 2017)
  17. A world trade leading index, Economics Letters, 146, 11-115 (with K. Barhoumi and O. Darné, 2016)
  18. Macroeconomic forecasting during the Great Recession: the return of non-linearity?, International Journal of Forecasting, 31, 664-679 (with M. Marcellino and M. Mogliani, 2015)
  19. A new monthly chronology of the US industrial cycles in the prewar economy, Journal of Financial Stability, 17, 3-9 (with A. Charles, O. Darné, C. Diebolt, 2015)
  20. Comparing the shapes of recoveries: France, the UK and the US, Economic Modelling, 44, 327-335, January 2015 (with F. Bec and O. Bouabdallah, 2015).
  21. Explaining US Employment Growth after the Great Recession: The role of Output-Employment Non-linearities, Journal of Macroeconomics, 42, 118-129 (with M.D. Chinn and V. Mignon, 2014)
  22. Forecasting the business cycle, International Journal of Forecasting, 30, 3, 517-519 (with D. van Dijk, 2014)
  23. The way out of recessions: Evidence from a bounce-back augmented threshold regression, International Journal of Forecasting, 30, 3, 539-549 (with F. Bec and O. Bouabdallah, 2014)
  24. Forecasting growth during the Great Recession: is financial volatility the missing ingredient?, Economic Modelling, 36 (C), 44-50 (with J.-P. Ortega and C. Marsilli, 2014)
  25. Dynamic factor models: A review of the literature, Journal of Business Cycle Management and Analysis, 2013, 2, 73-107 (with K. Barhoumi and O. Darné, 2013)
  26. Comments on: Examining the quality of early GDP component estimates, International Journal of Forecasting, 29, 751-753 (2013)
  27. Evaluation of regimeswitching modelsfor real-time business cycle analysis of the euro area, Journal of Forecasting, 32, 7, 577-586 (with M. Billio, D. Guégan and G.L. Mazzi, 2013)
  28. Testing the number of factors: An empirical assessment for forecasting purposes, Oxford Bulletin of Economics and Statistics, 75, 1, 64-79 (with K. Barhoumi and O. Darné, 2013)
  29. Financial variables as leading indicators of GDP growth: Evidence from a MIDAS approach during the Great Recession, Applied Economics Letters, 20, 3, 233-237 (with C. Marsilli, 2013).
  30. Une revue de la littérature des modèles à facteurs dynamiques, Economie et Prévision, No. 199, 2012/I, 51-77 (with K. Barhoumi and O. Darné, 2012)
  31. Macro-financial linkages and business cycles: A factor-probit approach, Economic Modelling, 29, 1793-1797 (with C. Bellégo, 2012)
  32. Monthly GDP forecasting using bridge models: Comparison from the supply and demand sides for the French economy, Bulletin of Economic Research, 64, s53-s70 (with K. Barhoumi, O. Darné and B. Pluyaud, 2012)
  33. Identification of slowdowns and accelerations for the euro area economy, Oxford Bulletin of Economics and Statistics, 73, 3, 335-364 (with O. Darné, 2011)
  34. Testing fractional order of long memory processes: a Monte Carlo study, Communications in Statistics – Simulation and Computation, 39, 4, 795-806 (with D. Guégan and Z. Lu, 2010)
  35. Les variables financières sont-elles utiles pour anticiper la croissance économique ? Quelques évidences économétriques, Revue Economique, Vol. 61, No. 3, pp.645-656 (2010)
  36. Nowcasting Euro area GDP with ragged-edge data: A semi-parametric approach, Journal of Forecasting, Vol. 29, No. 1-2, pp. 186-199 (with D. Guégan and P. Rakotomarolahy, 2010)
  37. Are disaggregate data useful for forecasting French GDP with dynamic factor models ? Journal of Forecasting, Vol. 29, No. 1-2, pp. 132-144 (with K. Barhoumi and O. Darné, 2010)
  38. Un indicateur probabiliste du cycle d’accélération pour l’économie française, Economie et Prévision, No. 189, pp. 93-114 (with M. Adanero-Donderis and O. Darné, 2009)
  39. Caractérisation et datation des cycles économiques en zone Euro, Revue Economique, Vol. 60, No. 3, pp. 703-712 (2009).
  40. A system for dating and detecting turning points in the euro area, The Manchester School, Vol. 76, No. 5, pp. 549-577 (with J. Anas, M. Billio and G.-L. Mazzi, 2008)
  41. Business surveys modelling with Seasonal-Cyclical Long Memory models, Economics Bulletin, Vol. 3, No. 29, pp. 1-10 (with D. Guégan, 2008)
  42. Point and interval nowcasts of the euro area IPI, Applied Economics Letters, Vol. 14, No. 2, pp. 115-120 (2007)
  43. Detection of the industrial business cycle using SETAR models, Journal of Business Cycle Measurement and Analysis, Vol. 2, No. 3, pp. 353-372. (with D. Guégan, 2005).
  44. Turning points detection: The ABCD approach and two probabilistic indicators, Journal of Business Cycle Measurement and Analysis, Vol. 1, No. 2, pp. 1-36. (with J. Anas, 2004)
  45. Un outil d’évaluation de la localisation des entreprises industrielles, Economie Internationale, No. 99, pp. 91-112(with A. Henriot, 2004).
  46. A three-regime real-time indicator for the US economy, Economics Letters, Vol. 81, No. 3, pp. 373-378. (2003)
  47. Forecasting with k-factor Gegenbauer processes: Theory and applications, Journal of Forecasting, Vol. 20, pp. 581-601. (with D. Guégan, 2001)
  48. Analyse d’intervention et prévisions. Problématique et applications à des données de la RATP, Revue de Statistique Appliquée, Vol. XLVIII, No. 2, p.55-72. (with D. Guégan, 2000)