Frédérique BEC

Grade : Professeur des Universités Cergy-Pontoise

Mail : bec[arrowbase]ensae.fr

ResearchEducationJobsBooksJournal articlesTeachingWork in progressOther

Research Interests

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

Biography

Education

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

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


Jobs

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Member of the French Business Cycle Dating Committee (since 2020)

Member of the National Council of Universities (since 2019)

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

Professor at CY Cergy Paris University (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)

 



Publications

Books

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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

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F. Bec, H. Bohn Nielsen, S. Saïdi 2020. "Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing," Oxford Bulletin of Economics and Statistics, vol. 82,1413-1428.

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, M. Ben Salem, 2020."An asymmetrical overshooting correction model for G20 nominal effective exchange rates," Economics Bulletin, vol. 40, 1937-1947, 2020

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, 75-88.

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), 1021-1042.

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

F. Bec, C. Gollier, 2015."Cyclical and Term Structure of Value-at-Risk within a Threshold Autoregression Setup,"  Bankers, Markets and Investors, 134, 5-19.

F. Bec, S. Zeng, 2015. "Do stock returns rebound after bear markets? An empirical analysis from five OECD countries," Journal of Empirical Finance, vol. 30, 50-61.

F. Bec, O. Bouabdallah, L. Ferrara, 2014. "The way out of recessions: A forecasting analysis for some Euro area countries," The International Journal of Forecasting, vol. 30, 539-549.

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

F. Bec and S. Zeng, 2013."Are Southeast Asian real exchange rates mean reverting?,"  Journal of International Financial Markets, Institutions and Money, vol. 23, 265-282.

F. Bec, M. Ben Salem, 2013 "Inventory investment and the business cycle: the usual suspect," Studies in Nonlinear Dynamics and Econometrics, vol. 17(3), 335-343.

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), 811-822. 

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, 395-428.

F. Bec, C. Bassil, 2009. "Federal Funds Rate Stationarity: New Evidence," Economics Bulletin, vol. 22(9), 867-872.

F. Bec, A. Rahbek, N. Shephard, 2008."The ACR Model: A Multivariate Dynamic Mixture Autoregression," Oxford Bulletin of Economics and Statistics, vol. 70(5), 583-618.

F. Bec, A. Guay, E. Guerre, 2008. "Adaptive consistent unit-root tests based on autoregressive threshold model," Journal of Econometrics, vol. 142 (1), 94-133.

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

F. Bec, 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), 1-25.

F. Bec, M. Ben Salem, R. MacDonald, 2006."Real exchange rates and real interest rates : a nonlinear perspective," Louvain Economic Review, vol. 72(2).

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

F. Bec, A. Rahbek, 2004. "Vector equilibrium correction models with non-linear discontinuous adjustments," Econometrics Journal, vol. 7(2), 628-651.

F. Bec, M. Ben Salem, 2004. "L'ajustement à seuildes processus cointégrés. Que sait-on des modèles à trois régimes ?," Revue d'Economie Politique, vol. 114(4), 467-488.

F. Bec, M. Ben Salem, F. Collard, 2002. "Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks," Studies in Nonlinear Dynamics and Econometrics, vol. 6(2), 1-22.

F. Bec, 2002 ."Mondialisation, mobilité du capital et volatilité macro-économique," Economie et Prévision, vol. 152-153 (1/2), 29-53.

F. Bec, J.O. Hairault, 1997."Les implications de la structure des marchés financiers pour la dynamique des modèles d'équilibre général à deux pays," Revue d'Economie Politique, vol. 107(4), 479-494.

F. Bec, M. Ben Salem, E. Ben Youssef, 1997. "Une évaluation empirique de l'efficience du marché des changes," Revue Economique, vol. 48(4), 921-936.

F. Bec, J.O. Hairault, 1997. "Fédéralisme budgétaire et stabilisation macroéconomique en Europe," Revue Economique, vol. 48(3), 505-517.

F. Bec, J.O. Hairault, 1996."Fiscal policies, public deficit retraints and European 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), 5-26.

F. Bec, 1994. "La transmission internationale des fluctuations : une explication de la corrélation croisée des consommations," Revue Economique, vol. 45(1), 89-114.

F. Bec, J.O. Hairault, 1993. "Taux d'intérêt, politique monétaire et activité économique en France : un examen empirique," Economie et Prévision, vol. 109, 13-24..

F. Bec, J.O. Hairault, 1993."Une étude empirique des sources des fluctuations économiques dans le cadre d'un modéle à tendances communes," Annales d'Economie et de Statistique, vol. 30(2), 85-120.

F. Bec, 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.



Teaching

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Graduate

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).

Undergraduate

Introductory Economics: Ecole Polytechnique (2008/2010)

 


Work in progress

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A. Aviat, F. Bec, C. Diebolt, C. Doz, D. Ferrand, L. Ferrara, E. Heyer, V. Mignon and P.-A. Pionnier, 2021. "Dating business cycles in France:A reference chronology," THEMA Working Papers 2021-15

A. Aviat, F. Bec, C. Diebolt, C. Doz, D. Ferrand, L. Ferrara, E. Heyer, V. Mignon and P.-A. Pionnier, 2021. "Les cycles économiques de la France : une datation de référence," THEMA Working Papers 2021-13.

F. Bec, A. Guay, 2020.. "A simple unit root test consistent against any stationary alternative," Working Papers 2020-28, Center for Research in Economics and Statistics.

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

F. Bec, R. Boucekkine, C. Jardet, 2017."Why are inflation forecasts sticky?," Working Papers 2017-17, Center for Research in Economics and Statistics.


Other

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Associate Editor of Mathematical Economics Letters (2014-2018) and Revue de l'OFCE (2015- ).

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

Scientific Committee member of Economie et Statistique/ Economics and Statistics (2021-).

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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