Recent Econometric Techniques for Macroeconomic and Financial Data

Introduction (Gilles Dufrénot and Takashi Matsuki, eds)
Part I. Macroeconometrics and international finance Chapter 1. Quantile and copula spectrum: a new approach to investigate cyclical dependence in economic time series Gilles Dufrénot, Takashi Matsuki and Kimiko Sugimoto 1.-Introduction: why using quantile spectrum? 2.- Quantile spectrum: non-parametric and parametric Methods 2.1.- Non-parametric approach 2.2.- Parametric approach: quantile spectrum and quantile regression models 3.- Copula spectral density and rank-based Laplace periodogram 4. Estimating quantile spectrum using software 4.1.-Estimation of non-parametric quantile spectrum using RATS estima 4.2.- Using R package to estimate quantile spectrum and cross spectrum References Chapter 2. On the seemingly incompleteness of the exchange rate pass-trough to import prices Antonia Lopez-Villavicencio and Valérie Mignon 1.-Introduction 2.- Methodology 3.-data 3.1.-Time sample 3.2- Variables 3.3- Indicators of globalization 3.4.- Descriptive statistics 4.- Results 4.1.- Accounting for globalization 4.2.- Using disaggregated data accounting for the good level 4.3.- Accounting for globalization at the good level 5. Conclusion References Chapter 3. A state-space model to estimate potential growth in the industrialized countries Thomas Brand, Gilles Dufrénot, Antoine Mayerowitz 1.- Introduction 2.- is potential growth led by financial variables: a simple Bayesian estimation 3.- A State-space model with theoretical relationships 3.1.- The general model 3.2.-Sub-models and comparison with other models used in the literature 3.3.-Estimation methods 3.4.- Data and methods 3.5.- Conclusion References
Chapter 4.- A top-down method for rational bubbles: application of the threshold bounds testing approach to the Japanese, UK and US Financial markets Jun Nagayasu 1.-Introduction 2.-The threshold autoregressive distributed lag model (T-ADRL) 3.-Application : testing bubbles 4.- Conclusion References Chapter 5.- An analysis of the time-varying behavior of the equilibrium velocity of money in the euro area Mariam Camarero, Juan Sapena and Cecilio Tamarit 1.- Introduction: the shockingly low money velocity in the Euro Area (EA) and its consequences 2.- Money demand and velocity: income and transactions 3.- A short review of the literature 4.- Methodology and estimation. 4.1.-A time-varying parameters State-Space framework for panel data. 4.2.- An application to the money velocity in the EA. 5.- Conclusions References Chapter 6.- Revisiting wealth effects in France: a double-nonlinearity approach Olivier Damette and Fredj Jawadi 1.- Introduction 2.- Econometric methodology 2.1. Linear cointegration specification for wealth effects 2.2. Threshold ECM effects for wealth effects 2.3. Time varying VECM specification for wealth effects 3. Data and empirical analysis 3.1. Data and preliminary analysis
3.2. The linear cointegration analysis 3.3. Nonlinear cointegration with asymmetric adjustment 3.4. NECMs with nonlinearity in the long-run 5.- Conclusions References Part II. Financial econometrics Chapter 7.- Econometrics of commodities Jean-François Carpantier 1.-Introduction 2.- Tests of the Prebisch-Singer hypothesis 3.- Tests of the commodity currencies hypothesis 4. Models of commodity risk-management 5.-Models of financiarization of commodities 6.-Data comparison 7. Conclusion References Chapter 8.- Conditional Beta of real estate Marcel Aloy, Sébastien Laurent and Christelle Lecourt 1.-Introduction 2.- Literature review 3.- Theory 4.- Main results 5.-Conclusion References Chapter 9.- Common factors in international portfolio flows
Yushi Yoshida 1.- Introduction 2.- International Portfolio Flows 2.1.- Review of Related Literature 2.2.- Financial Account Flows (global and regional overview of financial account flows based on quarterly data by the Balance of Payment statistics, IMF) 2.3.- Portfolio Account Flows (bond flows and equity flows based on daily data by EPFR (Emerging