Working Papers

On-going works

  1. Commodity price uncertainty comovement: Does it matter for global economic growth? CAMA Working Paper No. 08/2022 (with A. Karadimitripolou and T. Triantafyllou, 2022), in revision
    Slides of the revised version: FKT_DemurAMSE_May22
  2. Dating business cycles in France: A reference chronology, EconomiX WP, (with A. Aviat, F. Bec, C. Diebolt, C. Doz, D. Ferrand, E. Heyer, V. Mignon, P.A. Pionnier, 2021), accepted in Revue Economique
    Slides: DatingFrance_SemBeta_Jan2022 
  3. Business cycle dynamics after the Great Recession: An extended Markov-Switching Dynamic Factor Model, OECD Working Paper, Jan. 2020 (with C. Doz and P.A. Pionnier)
  4. When are Google data useful to nowcast GDP? An approach via preselection and shrinkage, BdF WP No. 717, April 2019 (with A. Simoni), Accepted in JBES
  5. Can fiscal budget-neutral reforms stimulate growth? Model-based results, Banque de France Working Paper No. 625, April 2017 (with M. Bussière, M. Juillard and D. Siena, 2017), R&R IJCB
  6. Explaining the recent slump in investment: The role of expected demand and uncertainty, Banque de France Working Paper No. 571, September 2015 (with M. Bussière and J. Milovich, 2015), on hold

WP published in academic journals / Policy Briefs

  1. The new Fama puzzle, NBER WP No. 24342, February 2018 (with M. Bussière, M. Chinn and J. Heipertz, ), forthcoming IMF Economic Review
  2. Questioning the puzzle: Fiscal Policy, exchange rate and inflation, Banque de France WP No. 752, Jan 2020 (with D. Siena, L. Metelli, F. Natoli), forthcoming Journal of International Economics
  3. Measuring exchange rate risks during periods of uncertainty, CAMA Working Paper, No. 60/2020, Australian National University (with J. Yapi, 2020), forthcoming International Economics
  4. High frequency monitoring of Growth-at-Risk, CAMA Working Paper No. 97/2020, Australian National University (with M. Mogliani and J.G. Sahuc, Nov. 2020), forthcoming International Journal of Forecasting
  5. Common factors of commodity prices, Banque de France Working Paper No. 645, September 2017 (with S. Delle Chiaie and D. Giannone), forthcoming Journal of Applied Econometrics
  6. Global financial interconnectedness: A non-linear assessment of the uncertainty channel, Working Paper 661, Banque de France, (with B. Candelon & M. Joets, 2018), published in Applied Economics
  7. Uncertainty fluctuations: Measures, effects and macroeconomic policy challenges, CEPII Policy Brief, No. 20, December 2017 (with S. Lhuissier and F. Tripier)
  8. What are the macroeconomic effects of high-frequency uncertainty shocks? EconomiX Working Paper No. 2015-12, University Paris West Nanterre (with P. Guérin, 2015), published in Journal of Applied Econometrics 
  9. A World Trade leading Indicator (WTLI), IMF Working Papers 15/20, International Monetary Fund (with K. Barhoumi, 2015), published in Economic Letters
  10. US labor market and monetary policy: Current debates and challenges, Bulletin de la Banque de France, No. 198, 113-124 (with G. Sestieri, 2014)
  11. Nowcasting global economic growth: A factor-augmented mixed-frequency approach,Working Paper No. 515, Banque de France (with C. Marsilli, 2014), published in The World Economy
  12. Does the Great Recession implies the end of the Great Moderation? International evidence, EconomiX Working Paper, No. 2014-21, University Paris West Nanterre (with A. Charles and O. Darné, 2014), published in Economic Inquiry
  13. Post-recession US Employment through the Lens of a Non-linear Okun’s law, NBER Working Paper No. 19047, May 2013 (with M. Chinn and V. Mignon, 2013), published in Journal of Macroeconomics
  14. Financial variables as leading indicators of GDP growth: Evidence from a MIDAS approach during the Great Recession, EconomiX Working Paper (with C. Marsilli, 2012)
  15. The European way out of recessions, Working Paper No. 360, Banque de France, January 2012 and Working Paper THEMA No. 2011-23, University of Cergy (with F. Bec and O. Bouabdallah, 2011)
  16. The possible shapes of recovery in Markov-Switching models, Working Paper No. 321, Banque de France and Working Paper No. 2011-02, CREST-INSEE (with F. Bec and O. Bouabdallah, 2011)
  17. A new monthly chronology of the US industrial cycles in the prewar economy, EconomiX Working Paper No. 2011-27, University Paris Ouest Nanterre (with A. Charles, O. Darné, C. Diebolt, 2011
  18. Common business and housing markets cycles in the euro area from a multivariate decomposition,Working Paper Banque de France, No. 275. (with S.J. Koopman, 2010)
  19. A factor-augmented probit model for business cycle analysis, EconomiX Working Paper,No. 2010-14, University Paris Ouest Nanterre (with C. Bellégo, 2010)
  20. Housing cycles in the major euro area countries,Working Paper Banque de France, No. 269 and Occasional Paper Banco de Espana, No. 1001 (with L. Alvarez, A. Cabrero, G. Bulligan and H. Stahl, 2009)
  21. Cyclical relationships between GDP and housing market in France: Facts and factors at play, Working Paper Banque de France, No. 268 (with O. Vigna, 2009)
  22. Forecasting euro area recessions using time-varying binary response models for financial variables,Working Paper Banque de France, No. 259 (with C. Bellégo, 2009).
  23. Evaluation of nonlinear time-series models for real-time business cycle analysis of the euro area, Working Paper No. 09053, University Paris 1 Pantheon Sorbonne. (with Billio, Guégan and Mazzi, 2009)
  24. Nowcasting Euro area GDP with ragged-edge data: A semi-parametric approach,Working Paper No. 2008.82, Centre d’Economie de la Sorbonne(with D. Guégan and P. Rakotomarolahy, 2008).
  25. Identification of slowdowns and accelerations for the euro area economy,Working Paper No. 239,  Banque de France, June 2009 and CEPR Discussion Paper No. 7376, CEPR/EABCN No. 42/2009, July 2009 (with O. Darné, 2009).
  26. Are disaggregate data useful for forecasting French GDP with dynamic factor models ?,Working Paper, No. 232, Banque de France, February 2009 (with K. Barhoumi and O. Darné, 2009).
  27. Business surveys modelling with Seasonal-Cyclical Long Memory models, Working Paper No. 224,  Banque de France, and Document de Travail No. 2008.35, Centre d’Economie de la Sorbonne, University Paris 1 (with D. Guégan, 2008)
  28. Monthly forecasting for French GDP: A revised version of the OPTIM model, Working Paper No. 222, Banque de France,(with K. Barhoumi, O. Darné et B. Pluyaud, 2008)
  29. A non-parametric method to assess the conditional nowcasted distribution of the Euro area IPI, Document de Travail No. 2008.33, Centre d’Economie de la Sorbonne (with T. Raffinot, 2008).
  30. Testing fractional order of long memory processes : A Monte-Carlo study, Document de Travail No. 2008.12, Centre d’Economie de la Sorbonne (with D. Guégan et Z. Lu, 2008)
  31. Business cycle analysis with multivariate markov-Switching models, University of Venice Ca’ Foscari, Department of Economics, Working Paper No. 32, (2007;with M. Billio, J. Anas et M. LoDuca)
  32. A turning point chronology for the Euro-zone classical and growth cycles, University of Venice Ca’ Foscari, Department of Economics, Working Paper No. 33, (2007; with M. Billio, J. Anas et M. LoDuca)
  33. Deux indicateurs probabilistes de retournement cyclique pour l’économie française,Working Paper No. 187, Banque de France, November 2007 (with M. Adanero-Donderis et O. Darné)