Gilles Dufrénot
Biographic Data
| ID | 1041867 |
|---|---|
| NAME | Gilles Dufrénot |
| GIVEN NAMES | Gilles |
| FAMILY NAME | Dufrénot |
| SIGNATURE | DUFRÉNOT G |
| AFFILIATIONS | Centre National de la Recherche Scientifique |
| ORCID | 0000-0002-2106-5888 |
| VERIFIED | Yes |
| TOTAL WORKS | 56 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 55 |
| EDITOR COUNT | 1 |
| FIRST PUBLICATION YEAR | 2002 |
| LATEST PUBLICATION YEAR | 2025 |
| H-INDEX | 0 |
Inequality’s ripple effect: Analyzing its influence on the natural interest rate and monetary policy in Germany, Japan, and the US
Climate change impacts on commodity price stability through changing Enso patterns
Climate change is a global phenomenon that has a significant impact on commodity prices. This paper analyzes the impact of El Niño–Southern Oscillation (ENSO) on global commodity prices, using a Global Factor Local Projections (GFALP) model. Firstly, we demonstrate that unanticipated ENSO movements contribute to commodity price volatility asymmetrically during El Niño and La Niña periods. Secondly, climate change might disrupt ENSO patterns. We c…
Impact of socioeconomic determinants on the speed of epidemic diseases: A comparative analysis
We study the impact of socioeconomic factors on two key parameters of epidemic dynamics. Specifically, we investigate a parameter capturing the rate of deceleration at the very start of an epidemic, and a parameter that reflects the pre-peak and post-peak dynamics at the turning point of an epidemic like coronavirus disease 2019 (COVID-19). We find two important results. The policies to fight COVID-19 (such as social distancing and containment) h…
Risque de stagnation séculaire et conséquences sur les taux d’intérêt réels
Cet article présente quelques enjeux de la stagnation séculaire, phénomène que l’on peut résumer comme la conjonction de trois phénomènes, à savoir des trajectoires baissières sur plusieurs décennies des taux de croissance potentiels, des taux d’intérêt dont la tendance est aussi baissière depuis plusieurs décennies, ainsi que des pressions déflationnistes persistantes dans le temps. Les pays industrialisés sont confrontés à ces phénomènes depuis…
Risk Sharing in Europe: New Empirical Evidence on the Capital Markets Channel
Exchange rate policy and external vulnerabilities in Sub-Saharan Africa: Nominal, real or mixed targeting
This paper discusses the theoretical choice of exchange rate regimes in Sub-Saharan African countries that are facing external vulnerabilities. To reduce instability, policymakers choose among promoting external competitiveness using a real anchor, lowering the burden of foreign debt using a nominal anchor or using a policy mix of both anchors. We observe that these countries tend to adopt mixed anchor policies. We solve a state space model to ex…
Unconventional monetary policy reaction functions: Evidence from the US
We specify unconventional monetary policy reaction functions for the Fed using linear and nonlinear econometric frameworks. We find that nonstandard policy measures are largely driven by the dynamics of inflation and the output gap, with the effect being particularly strong during QE rounds. Moreover, we uncover the presence of asymmetry and regime dependence in central bank’s actions since the global financial crisis, especially concerning the r…
Sovereign debt in emerging market countries: Not all of them are serial defaulters
Avoiding to assign emerging market countries a ‘typical’ behaviour, this article considers the heterogeneity across them and through time to predict their sovereign default episodes. Moreover, it focuses on the imbalance between defaulted debt and GDP. For the first time, we use a panel nonlinear regime-switching model whose explanatory factors have a different impact on sovereign default, depending on the regime the country belongs to. We mitiga…
A model of fiscal dominance under the “Reinhart Conjecture”
Introduction: Recent developments of switching models for financial data
ABS 2
Monetary Policy Switching in the Euro Area and Multiple Steady States: An Empirical Investigation
This paper investigates, in the case of the euro area, the standard assumption that the liquidity trap steady state, which arises from the existence of the zero lower bound on the nominal interest rate, is locally unstable. We show that the policy function of the European Central Bank (ECB) is described by a nonlinear Taylor rule. Then, using our estimations, we show that around the liquidity trap steady state the equilibrium is locally determina…
Fiscal policies enhancing growth in Europe: Does one size fit all
This paper provides evidence of various reactions of growth rates to changes in the composition of taxes and public spending in Europe. We use a quantile estimator to allow different slopes of fiscal variables, across countries and years. We find that sovereign spending should be encouraged in the medium term if growth is low, but the medium-term effect on the economic activity is not positive in situations of moderate or rapid growth. Human capi…
A Comparison of the Fed’s and ECB’s Strategies during the Subprime Crisis
This chapter proposes a comparative analysis of the monetary policies undertaken by the Federal Reserve Board and the European Central Bank after the 2008 subprime crisis. We point out the twin nature of the financial crises in Europe in comparison with the US crises: in addition to the role of bank funding, the euro area countries have also experienced a structural problem of balance of payment disequilibria. This explains why in the early stage…
Advances and challenges in decision-making, monetary policy and financial markets
Reactions to Shocks and Monetary Policy Regimes: Inflation Targeting Versus Flexible Currency Board in Sub‐ S aharan A frica
The paper examines the monetary policy actions through which central banks in sub‐Saharan Africa have tried to eliminate the negative impacts of the shocks facing their economies. We compare two different monetary policy regimes: a currency board regime (in the CFA zone) and an inflation targeting policy regime (Ghana and South Africa) when central banks respond to demand, supply, and fiscal shocks. We extend the usual forecasting and policy anal…
The Ecowas countries’ growth rates: What makes them similar and what makes them different? A quantile regression analysis
This paper uses a quantile regression analysis to investigate differences across the ECOWAS countries of the engine of growth. Specifically, we want to see whether differences in the growth rates are related to domestic factors of economic growth (investment, human capital and financial intermediation), policy variables (inflation and government consumption) and institutional factors (degree of bureaucracy, accountability, corruption and property…
Anticipated Macroeconomic Fundamentals, Sovereign Spreads and Regime-Switching: The Case of the Euro Area
Shift-Volatility Transmission in East Asian Equity Markets: New Indicators
Nonlinear effects of asset prices on fiscal policy: Evidence from the UK, Italy and Spain
Market Microstructure and Nonlinear Dynamics: Keeping Financial Crisis in Context
Tax evasion, tax corruption and stochastic growth
Business cycles synchronization in East Asia: A Markov-switching approach
New tools to assess fiscal and financial vulnerabilities in advanced economies
This introduction presents a selection of articles dealing with the issue of measuring the fiscal and financial vulnerabilities in the advanced economies. These articles were presented at a conference organized jointly by the Banque de France and BETA in Strasbourg on 13–14 September. The authors show that the improvement of macroeconomic toolkit goes hand in hand with the strengthening of fiscal frameworks and the tools for managing financial te…
A smooth transition long-memory model
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 an LR-Based test that allows to discriminate between the standard fractional model and our model. We further apply a nonlinear least squares estimation method to estimate the long-memory parameter. We present an application to the unemployment rate in the Un…
Computational tools in econometric modeling for macroeconomics and finance
No prominent works on this page.
Recent Developments in Nonlinear Cointegration with Applications to Macroeconomics and Finance
Nonlinear Measures of Persistence in Time Series
Are the Unit-Root Tests Adequate for Nonlinear Models
Nonlinear Equilibration, Cointegration and NEC Models
Business cycles asymmetry and monetary policy: A further investigation using MRSTAR models
Modeling the volatility of the US SαP 500 index using an LSTGARCH model
Modélisation de la volatilité de l’indice américain SαP 500 par un modèle LSTGARCH Cet article propose une modélisation empirique de la volatilité de l’indice SαP 500 américain à l’aide de modèles GARCH à transition douce. Dans ces modèles, la volatilité est décrite par des changements de régimes à l’aide de variables dont la dynamique gouverne des effets de seuil. Nous appliquons un test permettant de discriminer entre des effets GARCH habituels…
Modelling squared returns using a Setar model with long-memory dynamics
Cointegration entre les taux de change et les fondamentaux: Changement de regime ou memoire longue
International audience
Coïntégration entre les taux de change et les fondamentaux: Changement de régime ou mémoire longue
National audience
Is Per-Capita Growth in Africa Hampered by Poor Governance and Weak Institutions? Examining the Case of the Ecowas Countries
Persistent misalignments of the European exchange rates: Some evidence from non-linear cointegration
The asymmetric and persistent adjustment of the European real exchange rates is investigated using the framework of non-linear cointegration. The episodes of slow mean-reversion dynamics over the period from 1979 to 1999 are explained. A test of unit root against STAR cointegration is proposed and some complete estimations and stochastic simulations of ESTAR models are presented. The presence of effective non-linear adjustment during the moving o…
A Forewarning Indicator System for Financial Crises: The Case of Six Central and Eastern European Countries
Modelling the Slow Mean‐reversion of the Central and Eastern European Countries' Real Exchange Rates
In this paper we propose a new modelling approach of the exchange rate misalignments in four transition countries: Hungary, Poland, Slovakia and Slovenia. We provide an empirical framework that takes into account two characteristics of these misalignments: while the fundamentals and policies adjust to restore equilibrium towards the long‐term exchange rate, there are factors that hinder a fast mean‐reverting dynamics. When the exchange rates adju…
Fiscal Developments in the Euro Area Beyond the Crisis: Some Lessons Drawn from Fiscal Reaction Functions
Are the Effects of Fiscal Changes Different in Times of Crisis and Non-Crisis? The French Case
Are the Effects of Fiscal Changes Different in Times of Crisis and Non-Crisis? The French Case
The French Regions’ Borrowing Behaviours: How Heterogeneous are They
The Changing Role of House Price Dynamics Over the Business Cycle
The effects of the subprime crisis on the Latin American financial markets: An empirical assessment
Les comportements d'emprunt des régions françaises: Quel degré d'hétérogénéité
Cet article montre qu’en dépit de contraintes comptables communes les obligeant à équilibrer leur budget et à emprunter uniquement pour financer l’investissement (règle d’or), les comportements d’emprunt des régions françaises sont hétérogènes. Ce résultat est établi par des régressions quantiles. L’hétérogénéité est très prononcée lorsque les régions subissent un choc d’endettement négatif, durcissement des conditions financières par exemple. Ce…
L'impact des fondamentaux macroéconomiques sur les spreads souverains de la zone euro est-il influencé par les réformes financières
Dans cet article, nous examinons si le poids accordé aux anticipations des variables macroéconomiques pour évaluer le risque des obligations souveraines a été plus important après l’adoption des nouvelles règles prudentielles de Bâle 2, c’est-à-dire autour des années 2005-2006 (années à partir desquelles ces règles ont commencé à être appliquées dans les pays d’Europe). À titre illustratif, nous comparons trois pays de la zone euro, à savoir l’Al…
Nouveaux défis pour la dette publique dans les pays avancés
Les effets de la crise des subprimes sur le marché financier mexicain
L’objet de cet article est de répondre à la question suivante : dans quelle mesure le fort accroissement constaté de la volatilité sur le marché financier mexicain, suite à la crise de 2007-2008, peut-il s’expliquer par la dégradation de l’environnement financier sur les marchés américains ? À cette fin, nous recourons à un modèle à changement de régime avec probabilités de transition variables dans lequel les périodes de crise et de calme sont i…
New Challenges for Public Debt in Advanced Economies
Les finances publiques dans la tourmente. Une analyse des problématiques actuelles à la lumière des expériences passées
Economics (41 works) · Monetary Policy and Economic Impact (34 works) · Macroeconomics (27 works) · Econometrics (23 works) · Monetary economics (23 works) · Finance (18 works) · Global Financial Crisis and Policies (18 works) · Market Dynamics and Volatility (15 works) · Business (14 works) · Financial Risk and Volatility Modeling (12 works)