Research
Most of the papers below are available at ideas (http://ideas.repec.org/f/pca231.html) or at researchgate (https://www.researchgate.net/profile/Bertrand_Candelon/contributions?ev=prf_act)
Grants
. ESRC Conference Research grant with Kent Business School and University of Orléans "The new financial Reality". (2014-2015).
. Van Gogh grant with Utrecht University "Analysing Global imbalances" (2015-2016).
Publications
"A Multicountry Model of the Term Structures of Interest Rates with a GVAR" (2024) with Rubens Moura, forthcoming in the Journal of Financial Econometrics. R Codes
"The COVID19 Pandemic and the Term Structures of Interest Rates: The Case of Emerging Markets" (2023) with R. Moura, in Economic Modelling, vol. 127, 106453.
"The Effects of Climate Policies on Carbon Emissions Reduction" (2023) with J.B. Hasse, forthcoming in Finance Research Letters, vol. 55, Part A, 103878.
"Toward a Macroprudential Regulatory Framework for Mutual Funds" (2023) with C. Argyropoulos, J.B. Hasse and K. Panopoulou, in International Journal of Finance and Economics,1-20.
"Macroprudential Policies, Economic Growth and Banking Crises" (2022) with S. Ben Naceur, M. Belkhir, J.C. Wijnandts in "Emerging Market Review", 53, 100936.
"Fragmentation in the European Monetary Union: Is it really over ?" (2022) with Angelo Luisi and Francesco Roccazzella in the "Journal of International Money and Finance", 122, 102545.
"ESG-washing in the Mutual Funds Industry ? From Information Asymmetry to Regulation " (2021) with J-B. Hasse and Q. Lajaunie in "Risks", 9.199, 1-23.
"Diversification Potential in Real Estate Portfolios" (2021) with J.B. Hasse and F. Fuerst in "International Economics" 166, 126-139.
"Global Financial Spillovers: A non-linear Assessment of the Uncertainty Channel" (2021) with M. Joets and L. Ferrara in "Applied Economics" 53 (21), 2865-2887.
"The Post-Crises Output Growth Effects in a Globalized Economy" (2020) with A. Carare, J.B Hasse and J. Lu. in "International Economics" 161, 139-156, May.
"Taming Financial Development to Reduce Crises" (2019) with S. Ben Naceur and Q. Lajaunie in "Emerging Market Review" 40, 1, September.
"Are Sovereign Wealth Fund Investment Decisions based on country factors" (2019) with J. Amar and C. Lecourt in "Economic Modelling" 80, 34-48.
"Do We Need Intra-Daily Data to Forecast Daily Volatility?" (2016) with D. Banulescu, C. Hurlin and S. Laurent, in "Annals of Economics and Statistics", 123-124, 136-175.
"Does Technology Spill Over across National Borders and Technology Regimes?" (2016) with J. Bos and C. Economidou in "Journal of Productivity Analysis", 46(1), 63-82.
"Revisiting the New Normal Hypothesis" (2016) with A. Carrare and K. Miao in the "Journal of International Money and Finance", 66, 5-31.
"A Non-parametric Test for Granger-Causality in Distribution with Application to Financial Contagion" (2016) with S. Tokpavi in the "Journal of Business and Economic Statistics", 34(2), 240-253.
"Hierarchical Organization and Performance Inequality: Evidence from Professional Cycling" (2015) with A. Dupuy, in "International Economic Review", 50(4), 1207-1236.
"Detecting Financial Contagion in a Multivariate System" (2015) with D. Blatt and H. Manner in the "Journal of Banking and Finance", 59, 1-13.
"Real Exchanges, Commodity Prices, and Structural Factors in Developing Countries" (2015) with V. Bodart and J.F. Carpantier in the "Journal of International Money and Finance", 51, 264-284.
"Testing for Short-Run Threshold effects in a Vector Error-Correction Framework: A Reappraisal of the Stability of the U.S. Money Demand" (2015) with L. Lieb in Studies in Nonlinear Dynamics and Econometrics, 19(3), 355-376.
"Currency Crises Early Warning Systems: Why they Should be Dynamic" (2014) with E. Dumitrescu and C. Hurlin, in the "International Journal of Forecasting", 30(4), 1016-1029.
"Market Power in the Credit Rating Industry: State of Play and Proposal for Reforms" (2014) with A. Gautier and N. Petit in CPI Antitrust Chronicle 2, 2-11, January.
"On the Importance of Indirect Bank Linkages in Europe" (2013) with A. Bicu, in the "Journal of Banking and Finance", 37, 5007-5024.
"Network Effects and Infrastructure Productivity in Developing Countries" (2013) with C. Hurlin and G. Colletaz, in the "Oxford Bulletin of Economics and Statistics", 75(6) 887-913.
"Fiscal policies in stress periods" (2013) with L. Lieb in the "Journal of Economics Dynamic and Control", 37, 5007-5024.
"Modeling Financial Crisis Mutation" (2013) with E. Dumitrescu, C. Hurlin and F.C. Palm in Advances in Econometrics Vol. 31 in honor of Chris Sims "VAR Models in Macroeconomics, Financial Econometrics, and Forecasting", 395-419.
"Testing for Crude Oil Markets Globalization during Extreme Price" (2013) with M. Joets and S. Tokpavi, in "Economic Modelling" 31, 276-285.
"Long Term Asset Tail risks in Developed and Emerging Markets", (2013) with S. Straetmans, in the "Journal of Banking and Finance" 37, 1832-1844.
"Sampling Error and Double Shrinkage Estimation of Minimum Variance Portfolios" (2012) with S. Tokpavi and C. Hurlin, in the "Journal of Empirical Finance", 19(4), 511-527, September.
"Real Exchanges Rates in Commodity Producing Countries: a Reappraisal" (2012) with V. Bodart and J.F. Carpantier, in the "Journal of International Money and Finance" 31(6), 1482-1502, October.
"How to Evaluate Financial Crises Early Warning Systems" (2012) with E. Dumitrescu and C. Hurlin, in the "IMF Economic Review" 60(1) 75-113, April.
"Backtesting Value-at-Risk: A GMM Duration-Based Test" (2011) with C. Hurlin, G. Colletaz and S. Tokpavi in "Journal of Financial Econometrics" 9(2), 314-343, Spring.
"Integration and Stock Market Comovement between Emerging Economies" with M. Beine (2011), in "Quantitative Finance", 11(2) 299-312.
"Contagion" (Guest editor's introduction), (2010) special issue of the Pacific Economic Review, 15(3), 336-339.
"Testing for Contagion: A new time-varying Copula Approach" with H. Manner (2010), in "Pacific Economic Review", 15(3) 364-384.
"Financial and Debt Crises: the Dangerous Liaisons" with F. Palm in de Economist, 158(1), 81-9, April 2010, and CESifo Working paper 3001.
"Fiscal Policy and Monetary Integration in Europe: An Update" with R. Vermeulen and J. Muysken (2009) in "Oxford Economic Papers" 62(2), 323-349, 2010.
"Measuring Synchronization using a Finite Sample Concordance Test Approach" with J. Piplack and S. Straetmans in "Oxford Bulletin of Economics and Statistics", 71, 5, 715-737, October 2009.
"Contagion: A Frequency Domain Perspective", with V. Bodart, in "Emerging Market Review", 10 140-150, June 2009.
"Differences in Occupational Unemployment rates in the United States: Hysteresis or Structural?" with A. Dupuy and L.A. Gil-Alana in "Applied Economics", 41(19), 2483-2493, August 2009.
"A cautious Note on the Use of Panel Models to Predict Financial Crises" with J. van den Berg and J.-P. Urbain in "Economics Letters" 101(1), 80-83, October 2008.
"Banking Sector Strength and the Transmission of Currency Crises" with A. Bruinshoofd and K. Raabe in "Open Economies Review" 21(2) 364-384, April 2010.
"On Measuring Synchronization of Bulls and Bears: the Case of East Asia" with J. Piplack, (2008), in "Journal of Banking and Finance", 32, 1022-1035.
"Long-run Real Exchange Rate Determinants: Evidence from eight new EU Member States, 1993-2003 " with C.Kool, K. Raabe and T.v. Veen in "Journal of Comparative Economics", 35, 87-107, March 2007.
"Testing for Parameter Stability in Dynamic Models across Frequencies" with G. Cubadda, in "Oxford Bulletin of Economics and Statistics", 68, 741-760, December 2006.
"Testing for Multiple Breaks in the Tail Behavior of Emerging Currency Returns", with S. Straetmans, in "Journal of International Money and Finance ", 25, 1187-1205, November 2006.
"Mean Reversion in Interest Rates in Emerging Countries" with L.A. Gil-Alana in "Review of International Economics", 14(1), 119-135, February 2006.
"Testing for Short and Long-run Causality: A Frequency domain Approach" with J. Breitung in "Journal of Econometrics", 12, 363-378, June 2006.
"Measuring Common Cyclical Features during Financial Turmoil" with A. Hecq and W. Verschoor, in "Journal of International Money and Finance", 24, 1317-1334, December 2005.
"Tracking the Purchasing Power Parity under Currency Crises: A Unit Root Panel test under Structural Break Approach", with J. Breitung in Weltwirtshaftliches Archich, 141(1), 124-140, December 2005.
"Nonlinear Monetary Policy in Europe: Myth or Fact", with A. Bruinshoofd, in Economics Letters, 86(3), 399-403, March 2005.
"Seasonal and Long run Fractional Integration in the Industrial Production Indexes of Latin American Countries", with L.A. Gil-Alana in Journal of Policy Modeling, 26, 301-313, April 2004.
"Fractional Integration and the Business Cycle" with L.A. Gil-Alana in Empirical Economics, 29, 343-359, 2004.
"On Finite Sample Properties of the Robinson's (1994) Tests for Fractional Integration", with L.A. Gil-Alana, in Journal of Statistical Computation and Simulation, 73(6), 445-464, 2003.
"EMU Membership and Business Cycle Phases in Europe : A Markov Switching VAR Analysis ", with M. Beine and K. Sekkat, in Journal of Economic Integration, 18(2), 2003.
"Is there a Common European Business Cycle? New Insights from a Frequency Domain Analysis" with J. Breitung (2001) in Vierteljahrshefte zur Wirtschaftsforschung, 70, 3/2001, 331-338.
"On the Reliability of Chow Type Tests for Parameter Constancy in Multivariate Dynamic Models" with H. Lütkepohl in Economics Letters, 73, 155-160, 2001.
"Determining the European Optimum Currency Area on the Basis of Multivariate Common Features Tests" with M. Beine and A. Hecq in Empirica, 27, 115-132, 2000.
"Stability of Activity-Unemployment Relationship in a Codependent System" with A. Hecq in Applied Economics Letters, 7, Oct. 2000, 687-693.
"Inflation and Activity: Further Investigations after the Last Cycle" in Economie Appliquée tome LIII ,1, Jan. 2000, 175-202.
Books
"Long Term Asset Tail in emerging Market" with S. Straetmans (2013), Emerging markets and the global economy from elsevier, Duc Khoung Nguyen, Sabri Boubaker, Mohamed El Hedi Arouri edt., .
"New evidences of linkages between stock market and economic activity in Asia" with N. Metiu (2010), The evolving role of Asia in global finance" from Emerald, Yin-Wong Cheung, Vakas Kakkar and Guonan Ma edt., 23-48.
"From Banking to sovereign Debt Crisis in Europe" (2010) with F. Palm in Sovereign Debt: From Safety to Default, Hoboken, NJ: John Wiley and Son Inc., R. Kolb edt, p.149-157.
"Measuring Bulls and Bears synchronization in East Asia" with J. Piplack and S. Straetmans, (2010), in Financial Contagion: The Viral Threat to the Wealth of Nations, Hoboken, NJ: John Wiley and Sons, Inc., R. Kolb edt.
"A Clinical Analysis of Financial Crises", Inaugural Lecture for the Chaire in International Monetary Economics at the University Maastricht, September 19th 2008. ISBN: 978-90-5681-292-8.
"Patterns of cyclical variability" CIACO Publishers, Louvain-la-Neuve, 320,1998.
"Output stabilization versus deficit sustainability : A comparative view on a changing trade-off" jointly written with Pierre-Yves Hénin in "Business Cycles and Macroeconomic Stability" Hairault, Hénin and Portier ed., Kluwer Academic Publisher 1997, 281-300.
In Dutch
"Een analyse van de recente financiële crisis" 4, December, in Kwartaalschrift Economie, 2008, 367-391.
In French
" Contagion sur le marché des obligations municipales américaines: une leçon pour l'Europe?" with R. Arezki and A. Sy forthcoming in Revue Economique.
"Extreme Financial Cycles" (2012) with C. Hurlin and G. Gaulier, in the "Revue d'Economie Politique", special issue in honor of Pierre-Yves Henin, 122-6, 823-832.
"Appréhender la conjoncture à l'aide de la méthode de Stock-Watson: une application à l'économie belge" with V. Bodart in Economie et Prévision, 146, 141-153, 2000/5.
"Politique monétaire et canal du crédit : une estimation empirique sur l'économie Française " with Elisabeth Cudeville, in Revue d'Economie Politique vol.107 no6 Nov-Dec 1997, 785-807.
"La récession des années quatre-vingt dix a-t-elle été exceptionnelle ? "with Pierre-Yves Hénin, in Economie et Prévision, 120, 1995-4, 51-71.