Stephane Dees - Academia.edu (original) (raw)

Papers by Stephane Dees

Research paper thumbnail of The Real Impacts of the 2008-09 Financial Crisis: What We Knew and What We Have Learned about International Linkages

Research paper thumbnail of Habitudes de consommation et prime de risque sur le marché actions dans les pays du G7

Économie & prévision, 2001

ABSTRACT The capital asset pricing model for consumption cannot explain observed equity premiums ... more ABSTRACT The capital asset pricing model for consumption cannot explain observed equity premiums unless disproportionate risk aversion coefficients are used. The equity premium puzzle has been attributed in particular to the time-separability of consumer preferences. This paper investigates empirically the model''s ability to solve the puzzle if it is assumed that consumer behaviour shows habit formation. By estimating the model’s parameters for the G7 countries, we show that a consumption model with habit formation is able to account for returns on financial assets while using more reasonable preference parameters.

Research paper thumbnail of WO RKING PA PER SERIES

Research paper thumbnail of How do Global Macro-Financial Shocks Affect Corporate Sector Expected Default Frequencies in the Euro Area?1

Modelling the link between global macro-financial factors and firms' default probabilities co... more Modelling the link between global macro-financial factors and firms' default probabilities constitutes an elementary part of financial sector stress-testing frameworks. Previous studies in this field have been restricted to a limited number of domestic variables. We show how to analyze the euro area corporate sector probability of default under a range of macroeconomic scenarios on a domestic and global level.

Research paper thumbnail of Defining Consumption Behavior in a Multi-Country Model

This paper presents the consumption function of Marmotte, the multi-country model of the CEPII-CE... more This paper presents the consumption function of Marmotte, the multi-country model of the CEPII-CEPREMAP, and its estimation for the 17 countries of the model. The consumption function is based on the permanent income model. We have extended this model to account for the presence of habit formation and liquidity constraints in the consumption behaviors. The results obtained give us reasonable values for the consumption function of Marmotte. Differences across the 17 countries concern only the habit behaviors. However, these differences are not large enough to imply significant differences in terms of consumption responses to shocks in the simulations of the model.

Research paper thumbnail of The Hong Kong Currency Board and Speculative Attacks

The Hong Kong dollar is the only Asian currency to be anchored to the dollar using a currency boa... more The Hong Kong dollar is the only Asian currency to be anchored to the dollar using a currency board. The fact that the currency was able to resist speculative attacks during the recent financial crisis should not hide the weaknesses of the foreign exchange regime. A detailed analysis of these episodes indicates that a particular form of speculation emerged in

Research paper thumbnail of Catching the Flu from the United States

Research paper thumbnail of Global Macro-Financial Shocks and expected default frequencies in the Euro area

Modelling the link between the global macro-financial factors and firms’ default probabilities co... more Modelling the link between the global macro-financial factors and firms’ default probabilities constitutes an elementary part of financial sector stress-testing frameworks. Using the Global Vector Autoregressive (GVAR) model and constructing a linking satellite equation for the firm-level Expected Default Frequencies (EDFs), we show how to analyse the euro area corporate sector probability of default under a wide range of domestic and foreign macroeconomic shocks. The results show that, at the euro area aggregate level, the median EDFs react most to shocks to the GDP, exchange rate, oil prices and equity prices. There are some intuitive variations to these results when sector-level EDFs are considered. Overall, the Satellite-GVAR model appears to be a useful tool for analysing plausible global macrofinancial shock scenarios designed for financial sector stress-testing purposes. JEL Classification: C33, F47, G32, G33.

Research paper thumbnail of Forecasting the World Economy in the Short Term

Research paper thumbnail of World trade and global integration in production processes - a re-assessment of import demand equations

It is common to observe that demand elasticities in trade equations for imports are implausibly l... more It is common to observe that demand elasticities in trade equations for imports are implausibly large, and that they differ between countries. Both of these present us with problems, as they imply trade will rise without bound as a proportion of GDP. The research reported here looks for alternative empirical evidence of possible factors driving the increase in trade as a proportion of GDP. We show that the inclusion of the ratios of outward and inward FDI to GDP as additional openness and globalisation indicators appear to remove the spurious accuracy with which we are measuring demand elasticities.

Research paper thumbnail of Consumption Habit and Equity Premium in the G7 Countries

The consumption capital asset pricing model (C-CAPM) fails to explain the observed equity premia ... more The consumption capital asset pricing model (C-CAPM) fails to explain the observed equity premia apart from considering implausible values of the risk aversion coefficient. This equity premium puzzle has been attributed in particular to the time-separability of the consumers' preferences. This paper investigates empirically the ability of the C-CAPM to solve this puzzle once assumed that consumption behaviour presents habit formation. From the estimation of the model's parameters for the G7 countries, we show that the consumption model with habit formation is able to account for financial asset returns with more reasonable preference.

Research paper thumbnail of Identification of New Keynesian Phillips Curves from a Global Perspective

Journal of Money, Credit and Banking, 2009

Research paper thumbnail of Stress-testing euro area corporate default probabilities using a global macroeconomic model

Journal of Financial Stability, 2010

We analyse the behaviour of euro area corporate sector probabilities of default under a wide rang... more We analyse the behaviour of euro area corporate sector probabilities of default under a wide range of domestic and global macro-financial shocks. Using the Global Vector Autoregressive (GVAR) model and constructing a linking satellite equation for firm-level Expected Default Frequencies (EDFs) we show that, at the aggregate level, the median EDFs react most to shocks to GDP, exchange rate, oil

Research paper thumbnail of Exploring the international linkages of the euro area: a global VAR analysis

Journal of Applied Econometrics, 2007

Research paper thumbnail of Horizontal and vertical transmissions in the US oil supply chain

Energy Policy, 2009

Oil prices, inventory levels, and utilization rates are influenced by changes that are transmitte... more Oil prices, inventory levels, and utilization rates are influenced by changes that are transmitted horizontally and/or vertically through the energy supply chain. We define horizontal transmissions as changes that are generated by linkages among fuels at a similar stage of processing while vertical transmissions are changes that are generated by upstream/downstream linkages in the oil supply chain. Here, we investigate

Research paper thumbnail of Modelling the world oil market: Assessment of a quarterly econometric model

Energy Policy, 2007

This paper describes a structural econometric model of the world oil market that can be used to a... more This paper describes a structural econometric model of the world oil market that can be used to analyse oil market developments and risks. Oil demand depends on domestic economic activity and the real price of oil. Oil supply for non-OPEC producers, based on competitive ...

Research paper thumbnail of Does OPEC Matter? An Econometric Analysis of Oil Prices

Research paper thumbnail of Oil prices: The role of refinery utilization, futures markets and non-linearities

Research paper thumbnail of Contagion and Spillovers: New Insights from the Crisis

Research paper thumbnail of The transmission of US cyclical developments to the rest of the world

Research paper thumbnail of The Real Impacts of the 2008-09 Financial Crisis: What We Knew and What We Have Learned about International Linkages

Research paper thumbnail of Habitudes de consommation et prime de risque sur le marché actions dans les pays du G7

Économie & prévision, 2001

ABSTRACT The capital asset pricing model for consumption cannot explain observed equity premiums ... more ABSTRACT The capital asset pricing model for consumption cannot explain observed equity premiums unless disproportionate risk aversion coefficients are used. The equity premium puzzle has been attributed in particular to the time-separability of consumer preferences. This paper investigates empirically the model''s ability to solve the puzzle if it is assumed that consumer behaviour shows habit formation. By estimating the model’s parameters for the G7 countries, we show that a consumption model with habit formation is able to account for returns on financial assets while using more reasonable preference parameters.

Research paper thumbnail of WO RKING PA PER SERIES

Research paper thumbnail of How do Global Macro-Financial Shocks Affect Corporate Sector Expected Default Frequencies in the Euro Area?1

Modelling the link between global macro-financial factors and firms' default probabilities co... more Modelling the link between global macro-financial factors and firms' default probabilities constitutes an elementary part of financial sector stress-testing frameworks. Previous studies in this field have been restricted to a limited number of domestic variables. We show how to analyze the euro area corporate sector probability of default under a range of macroeconomic scenarios on a domestic and global level.

Research paper thumbnail of Defining Consumption Behavior in a Multi-Country Model

This paper presents the consumption function of Marmotte, the multi-country model of the CEPII-CE... more This paper presents the consumption function of Marmotte, the multi-country model of the CEPII-CEPREMAP, and its estimation for the 17 countries of the model. The consumption function is based on the permanent income model. We have extended this model to account for the presence of habit formation and liquidity constraints in the consumption behaviors. The results obtained give us reasonable values for the consumption function of Marmotte. Differences across the 17 countries concern only the habit behaviors. However, these differences are not large enough to imply significant differences in terms of consumption responses to shocks in the simulations of the model.

Research paper thumbnail of The Hong Kong Currency Board and Speculative Attacks

The Hong Kong dollar is the only Asian currency to be anchored to the dollar using a currency boa... more The Hong Kong dollar is the only Asian currency to be anchored to the dollar using a currency board. The fact that the currency was able to resist speculative attacks during the recent financial crisis should not hide the weaknesses of the foreign exchange regime. A detailed analysis of these episodes indicates that a particular form of speculation emerged in

Research paper thumbnail of Catching the Flu from the United States

Research paper thumbnail of Global Macro-Financial Shocks and expected default frequencies in the Euro area

Modelling the link between the global macro-financial factors and firms’ default probabilities co... more Modelling the link between the global macro-financial factors and firms’ default probabilities constitutes an elementary part of financial sector stress-testing frameworks. Using the Global Vector Autoregressive (GVAR) model and constructing a linking satellite equation for the firm-level Expected Default Frequencies (EDFs), we show how to analyse the euro area corporate sector probability of default under a wide range of domestic and foreign macroeconomic shocks. The results show that, at the euro area aggregate level, the median EDFs react most to shocks to the GDP, exchange rate, oil prices and equity prices. There are some intuitive variations to these results when sector-level EDFs are considered. Overall, the Satellite-GVAR model appears to be a useful tool for analysing plausible global macrofinancial shock scenarios designed for financial sector stress-testing purposes. JEL Classification: C33, F47, G32, G33.

Research paper thumbnail of Forecasting the World Economy in the Short Term

Research paper thumbnail of World trade and global integration in production processes - a re-assessment of import demand equations

It is common to observe that demand elasticities in trade equations for imports are implausibly l... more It is common to observe that demand elasticities in trade equations for imports are implausibly large, and that they differ between countries. Both of these present us with problems, as they imply trade will rise without bound as a proportion of GDP. The research reported here looks for alternative empirical evidence of possible factors driving the increase in trade as a proportion of GDP. We show that the inclusion of the ratios of outward and inward FDI to GDP as additional openness and globalisation indicators appear to remove the spurious accuracy with which we are measuring demand elasticities.

Research paper thumbnail of Consumption Habit and Equity Premium in the G7 Countries

The consumption capital asset pricing model (C-CAPM) fails to explain the observed equity premia ... more The consumption capital asset pricing model (C-CAPM) fails to explain the observed equity premia apart from considering implausible values of the risk aversion coefficient. This equity premium puzzle has been attributed in particular to the time-separability of the consumers' preferences. This paper investigates empirically the ability of the C-CAPM to solve this puzzle once assumed that consumption behaviour presents habit formation. From the estimation of the model's parameters for the G7 countries, we show that the consumption model with habit formation is able to account for financial asset returns with more reasonable preference.

Research paper thumbnail of Identification of New Keynesian Phillips Curves from a Global Perspective

Journal of Money, Credit and Banking, 2009

Research paper thumbnail of Stress-testing euro area corporate default probabilities using a global macroeconomic model

Journal of Financial Stability, 2010

We analyse the behaviour of euro area corporate sector probabilities of default under a wide rang... more We analyse the behaviour of euro area corporate sector probabilities of default under a wide range of domestic and global macro-financial shocks. Using the Global Vector Autoregressive (GVAR) model and constructing a linking satellite equation for firm-level Expected Default Frequencies (EDFs) we show that, at the aggregate level, the median EDFs react most to shocks to GDP, exchange rate, oil

Research paper thumbnail of Exploring the international linkages of the euro area: a global VAR analysis

Journal of Applied Econometrics, 2007

Research paper thumbnail of Horizontal and vertical transmissions in the US oil supply chain

Energy Policy, 2009

Oil prices, inventory levels, and utilization rates are influenced by changes that are transmitte... more Oil prices, inventory levels, and utilization rates are influenced by changes that are transmitted horizontally and/or vertically through the energy supply chain. We define horizontal transmissions as changes that are generated by linkages among fuels at a similar stage of processing while vertical transmissions are changes that are generated by upstream/downstream linkages in the oil supply chain. Here, we investigate

Research paper thumbnail of Modelling the world oil market: Assessment of a quarterly econometric model

Energy Policy, 2007

This paper describes a structural econometric model of the world oil market that can be used to a... more This paper describes a structural econometric model of the world oil market that can be used to analyse oil market developments and risks. Oil demand depends on domestic economic activity and the real price of oil. Oil supply for non-OPEC producers, based on competitive ...

Research paper thumbnail of Does OPEC Matter? An Econometric Analysis of Oil Prices

Research paper thumbnail of Oil prices: The role of refinery utilization, futures markets and non-linearities

Research paper thumbnail of Contagion and Spillovers: New Insights from the Crisis

Research paper thumbnail of The transmission of US cyclical developments to the rest of the world