Frédérique BEC

Grade : Professeur des Universités Cergy-Pontoise

Mail : bec[arrowbase]

ResearchEducationJobsBooksJournal articlesTeachingWork in progressOther

Research Interests



  • Applied Macroeconomics and Finance
  • International Macroeconomics and Finance
  • Nonlinear Time Series




PhD in economics from Université Paris-1 Panthéon-Sorbonne (1993).

Habilitation à diriger des recherches from Université Paris-1 Panthéon-Sorbonne (1993).



Member of the High Council of Public Finance (since 2019)

Professor at University of Cergy-Pontoise (since 2006)

Head of Master 2 Economics Engineering and Data Analysis (since 2007)

Professor at Ecole Nationale de la Statistique et de l'Administration Economique (2001/2006)

Professor at Université Cergy-Pontoise (1996/2001)

Professor at Université Lille II (1994/1996)

Associate Professor at Université Paris-1 Panthéon-Sorbonne (1993)





F. Bec and A. De Gaye, 2020. "Le modèle autorégressif à seuil avec effet rebond :  Une application aux rendements boursiers francais et américains", chapter 5 in Méthodes de prévision en finance, A. Charles, O. Darné and L. Ferrara (ed), Paris: Economica.

F. Bec, 2000. "L'équilibre Keynésien en Economie Ouverte", chapter 5 in Analyse Macro-économique, vol. 1, J.-O. Hairault (ed), Paris: La Découverte.

F. Bec, 2000. "Offre Globale/Demande Globale", chapter 2 in Analyse Macro-économique vol. 1, J.O. Hairault (ed), Paris: La Découverte.

F. Bec and J.O. Hairault, 1997. "Automatic Stabilizers in a European Perspective", in Business Cycles and Macroeconomic Stability, J.O. Hairault, P.Y. Hénin and F. Portier (ed), Kluwer.

F. Bec, 1995. "The International Transmission of Real Business Cycle", in Advances in Business Cycle Research, P.Y. Hénin (ed), Springer-Verlag.

Journal articles


F. Bec, H. Bohn Nielsen, S. Saïdi 2020.  "Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing", forthcoming in Oxford Bulletin of Economics and Statistics.

F. Bec, P. Kanda, 2020. "Is inflation driven by survey-based, VAR-based or myopic expectations? An empirical assessment from US real-time data", North American Journal of Economics and Finance, vol.51, January.

F. Bec, A. De Gaye, 2016. "How do oil price forecast errors impact inflation forecast errors? An empirical analysis from US, French and UK inflation forecasts", Economic Modelling, vol. 53, pages 75-88, pdf file.

F. Bec, M. Mogliani, 2015. "Nowcasting French GDP in real-time with surveys and `blocked' regressions: Combining forecasts or pooling information?", The International Journal of Forecasting, vol. 31(4), pages 1021-1042, pdf file.

F. Bec, O. Bouabdallah, L. Ferrara, 2015. "Comparing the shape of recoveries: France, the UK and the US", Economic Modelling, 44, 327-334pdf file.

F. Bec, C. Gollier, 2015. "Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup",  Bankers, Markets and Investors, 134, 5-19, pdf file.

F. Bec, S. Zeng, 2015. "Do stock returns rebound after bear markets?", Journal of Empirical Finance, vol. 30, pages 50-61, pdf file.

F. Bec, O. Bouabdallah, L. Ferrara, 2014. "The European Way Out of Recessions", The International Journal of Forecasting, vol. 30, pages 539-549, pdf file.

F. Bec, M. Bessec, 2013. "Inventory Investment Dynamics and Recoveries: A Comparison of Manufacturing and Retail Trade Sectors", Economics Bulletin, vol. 33(3), pages 2209-2222, pdf version.

F. Bec and S. Zeng, 2013. "Are Southeast Asian Real Exchange Rates Mean Reverting?",  Journal of International Financial Markets, Institutions and Money, vol. 23, pages 265-282,  pdf version.

F. Bec, M. Ben Salem, 2013. "Inventory Invesment and the Business Cycle: The Usual Suspect", Studies in Nonlinear Dynamics and Econometrics, vol. 17(3), pages 335-343, pdf version.

F. Bec, M. Ben Salem and M. Bessec, 2012. "Le rôle des stocks en sortie de crise: Une étude empirique sur données d'enquête", Revue d'Economie Politique, vol. 122(6), pages 811-822, pdf version

F. Bec, M. Ben Salem, M. Carrasco, 2010. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model",  Annals of Economics and Statistics, n° 99/100, october/december, pages 395-428, revised pdf version.

F. Bec and C. Bassil, 2009.  "The Federal Funds Rate Stationarity: New Evidence", Economics Bulletin, vol. 22(9).

F. Bec, A. Rahbek and N. Shephard, 2008. "The Autoregressive Conditional Root (ACR) Model", Oxford Bulletin of Economics and Statistics, vol. 70(5), pages 583-618.

F. Bec, A. Guay and E. Guerre, 2008. "Adaptive Consistent Unit Root Tests Based on Autoregressive Threshold Model with an Application to the Term Structure of Interest Rates", Journal of Econometrics, vol. 142 (1), pages 94-133.

F. Bec, M. Ben Salem and A. Rahbek, 2008. "Purchasing power parity: A nonlinear multivariate perspective," Economics Bulletin, vol. 6(39), pages 1-6.

F. Bec and A. Bastien, 2007. "The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change ?", Studies in Nonlinear Dynamics and Econometrics, Berkeley Electronic Press, vol. 11(4).

F. Bec, M. Ben Salem and R. MacDonald, 2006. "Real Exchange Rates and Real Interest Rates : A Nonlinear Perspective", Louvain Economic Review, vol. 72(2).

F. Bec, M. Ben Salem and M. Carrasco, 2004. "Tests for Unit Root versus Threshold Specification with an Application to the PPP", Journal of Business and Economic Statistics, vol. 22(4), pages 382-395.

F. Bec and A. Rahbek, 2004. "A Vector Equilibrium Correction Model with Non-linear Discontinuous Adjustments", Econometrics Journal, vol. 7(2), pages 628-651.

F. Bec and M. Ben Salem, 2004. "L'ajustement à seuil des processus cointégrés: Que sait-on des modèles à trois régimes?", Revue d'Economie Politique, vol. 114(4).

F. Bec, M. Ben Salem and F. Collard, 2002. "Asymmetric Monetary Policy Reaction Function: Evidence for the U.S., French and German Central Banks", Studies in Nonlinear Dynamics and Econometrics, vol. 6(2).

F. Bec, 2002. "Mondialisation, mobilité du capital et volatilité macroéconomique", Economie et Prévision, vol. 152-153 (1/2).

F. Bec and J.O. Hairault, 1997. "Les implications macro-éoconomiques de l'incomplétude des marchés d'actifs", Revue d'Economie Politique, (4).

F. Bec, M. Ben Salem and E. Ben Youssef, 1997. "Une évaluation empirique de l'efficience du marché des changes", Revue Economique, vol. 48(4).

F. Bec and J.O. Hairault, 1997. "Fédéralisme Budgétaire et Stabilisation Macroéconomique en Europe", Revue Economique, vol. 48(3).

F. Bec and J.O. Hairault, 1996. "Fiscal Policies, Public Deficit Restraints and Economic Stabilization", Louvain Economic Review, vol. 62(3-4).

F. Bec, 1994. "Impulsions dominantes et analyse des fluctuations de l'économie française", L'Actualité Economique, vol. 70(1).

F. Bec, 1994. "La transmission internationale des fluctuations: une explication de la corrélation croisée des consommations", Revue Economique, vol. 45(1).

F. Bec and J.O. Hairault, 1993. "Taux d'intérêt, politique monétaire et activité économique en France : un examen empirique", Economie et Prévision, vol. 109.

F. Bec and J.O. Hairault, 1993. "Une étude empirique des sources de fluctuations économiques dans le cadre d'un modèle à tendances communes", Annales d'Economie et de Statistique, vol. 30(2).

F. Bec and J.O. Hairault, 1991. "Une analyse empirique de différentes structures de taux d'intérêt: une comparaison entre les Etats-Unis et la France", Revue Economies et Sociétés, série Economie Monétaire, vol. 3.




Financial Econometrics, Time Series, Applied Econometrics, International Economic Institutions, Advanced Macroeconomics, Advanced Time Series, Applied Macroeconomics: Université Cergy-Pontoise (since 2006).

Advanced Macroeconomics: Ecole Nationale de la Statistique et de l'Administration Economique (2001/2017).


Introductory Economics: Ecole Polytechnique (2008/2010)


Work in progress


"A simple unit root test consistent against any stationary alternative", 2020, mimeo (with A. Guay)

"Dornbush revisited from an asymmetrical perspective: Evidence from G20 nominal effective exchange rates", 2019, Working Paper hal-02318767 (with M. Ben Salem), submitted

"Stock Returns Bounce-Back and Forecast Accuracy : The US and French Cases From a Threshold Autoregression Setup", 2019, Working Paper hal-02014663 (with A. De Gaye)

 "Why are inflation forecasts sticky? Theory and Application to France and Germany", 2017, Working Paper 2017-17, Center for Research in Economics and Statistics (with R. Boucekkine and C. Jardet), revised version submitted

"Real Exchange Rate Dynamics: Bayesian Inference from the Autoregressive Conditional Root Model", 2014, manuscript (with S. Zeng)



Associate Editor of Mathematical Economics Letters (2014- ) and Revue de l'OFCE (2015- ).

Associate Editor (2005-2013) and Scientific Committee member of Revue Economique (2014- ).

Scientific Committees: 2007, 14th Symposium of the Society for Nonlinear Dynamics and Econometrics; 2008, 2nd International conference Computational Economics and Finance; 2008 and 2010, annual congress of Association Française de Sciences Economiques; 2012, Macroeconomics workshop in honour of Pierre-Yves Hénin, January 31, University of Paris 1; 18th International Panel Data Conference, July 5-6, Banque de France; 2013, 7th International conference on Computational and Financial Econometrics (CFE'13), December 13-16, London; 4th International Symposium in Computational Economics and Finance, April 14-16, Paris; 2017, 25th Symposium of the Society for Nonlinear Dynamics and Econometrics; 2013, 2014, 2015, 2016, 2017, 2018, 2019 "Journee d'Econométrie Appliquée à la Macroéconomie" (JEAM); 2020, 22nd Annual INFER Conference.

Organization of conferences: 2007, Paris, 14th Symposium of the Society for Nonlinear Dynamics and Econometrics; 2015, September 25th, Paris, International Workshop on "Advances in Time Series Econometrics with Applications to Economics and Finance"; 2015, November 5th-6th, Paris, International Workshop on "Advances in Time Series and Forecasting", in honour of Professor Jean-Pierre Indjehagopian.

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