FREDJ JAWADI

The Nonlinear Relationship between Economic growth and Financial Development

Balázs Egert, Fredj Jawadi

Résumé

Ce papier étudie la relation non-linéaire entre la croissance économique et le développement financier pour un échantillon large de pays développés et émergents. En utilisant des techniques récentes d'économétrie non-linéaire, nos résultats ne confirment pas l'hypothèse selon laquelle un excès de finance pourrait affecter négativement la croissance économique. Par ailleurs, il est clair qu'au-delà d'un certain seuil, l'effet du développement financier sur l'économie réel serait moindre. En outre, les systèmes bancaires et les marchés financiers apparaissent comme complémentaires pour soutenir l'économie réelle.

Mot(s) clé(s)

Développement financier, croissance économiques, non-linéarité, effet seuil.

On Oil-US Exchange Rate Volatility Relationships: an Intradaily Analysis

Hachmi BEN AMEUR, Abdoulkarim Idi Cheffou, Fredj Jawadi, Wael Louhichi

Résumé

The paper investigates the dynamics of oil price volatility by examining interactions between the oil market and the US USD/EUR exchange rate. To this end, we use recent intradaily data to measure realised volatility and to investigate the instantaneous intradaily linkages between different types and proxies of oil price and US$/euro volatilities. We specify the drivers of oil price volatility through a focus on extreme US$ exchange rate movements (intradaily jumps). Accordingly, we find a negative relationship between the US USD/EUR and oil returns, indicating that a US $ appreciation decreases oil price. Second, we note the presence of a volatility spillover from the US exchange market to the oil market. Interestingly, this spillover effect seems to occur through intradaily jumps in both markets.

Mot(s) clé(s)

Oil price volatility, realised volatility, intradaily jumps, exchange rate, intradaily data, GARCH model

Equity Prices and Fundamentals: a DDM-APT Mixed Approach

Fredj Jawadi, Georges Prat

Résumé

This paper focuses on the linkages between equity prices and fundamentals for 27 individual shares from the French stock price index (CAC40). To assess fundamental value, the traditional Dividend Discount Model (DDM) equities’ valuation principle is coupled with the Portfolio Choice Theory based on the Arbitrage Pricing Theory (APT). This yields a general equity valuation relationship for which the APT determines the long-term risk premium included in the DDM. Interestingly, restrictions are less significant than in the usual approaches since the number of risk premium factors is not limited a priori by the theory. Accordingly, our empirical results point to two major findings. On the one hand, while results in the literature based on the DDM showed that fundamental value dynamics are very smooth with respect to stock price indices, our DDM-APT model reproduces both trends and major share price fluctuations. On the other hand, a simple linear Error Correction Model (ECM) highlighted a mean-reversion process of equity prices towards their fundamental values.

Mot(s) clé(s)

Stock valuation; equity risk premium; stock price adjustment.

Nonlinear Stock Price Adjustment in the G7 Countries

Fredj Jawadi, Georges Prat

Résumé

This paper seeks to address the stock price adjustment toward fundamentals. Using the class of Switching Transition Error Correction Models (STECMs), we show that two regimes describe the dynamics of stock price deviations from fundamentals in the G7 countries over the period 1969-2005. Deviations appear to follow a quasi random walk in the central regime when prices are near fundamentals (i.e. transaction costs being greater than expected gains, the mean reversion mechanism is inactive), while they approach a white noise in the outer regimes (i.e. transaction costs being lower than expected gains, the mean reversion works). As expected when transaction costs are heterogeneous, the STECM shows that stock price adjustments are smooth, implying that the convergence speed is time-varying according to the size of the deviation. Finally, using appropriate indicators, both the magnitudes of under- and overvaluation of stock price and the speed of the mean reversion are exhibited per date in the G7 countries, showing that the dynamics of stock price adjustment is highly dependent on the date and on the country under consideration.

Mot(s) clé(s)

Price, heterogeneous transaction costs, STECMs

Coûts de transaction et dynamique non-linéaire des prix des actifs financiers : une note théorique

Slim Chaouachi, Fredj Jawadi

Résumé

Le débat d'actualité concerne la place occupée par les modèles non-linéaires au sein des formalisations des séries financières. Pour justifier la non-linéarité inhérente à la dynamique de ces séries, nous explorons les effets de la microstructure du marché financier et les enseignements de la théorie de finance comportementale (i.e. coûts de transaction, asymétrie d'information, hétérogénéité des intervenants sur le marché, mimétisme). Nous montrons que la présence de coûts de transaction dissuade l’arbitrage, limite les transactions, prive les prix de s’ajuster linéairement et continuellement et induit des déviations des cours asymétriques et persistantes.

Mot(s) clé(s)

Coûts de transaction, mésalignements de prix, Ajustement non-linéaire, asymétrie et persistance.