Photo Marc Joëts

Marc Joëts

Maître de conférences
  • Email
  • Axe de recherche

      Macroéconomie Internationale, Banque et Econométrie Financière

  • Thème(s)
    • Economie de l'énergie
    • Econométrie appliquée
    • Finance
    • Finance comportementale et émotionnelle

2018-2 "Global Financial interconnectedness: A non-linear assessment of the uncertainty channel"

Bertrand Candelon, Laurent Ferrara, Marc Joëts

Voir Télécharger le document de travail (via EconPapers)

Résumé
Le rôle de l'incertitude dans l'économie globale est maintenant très largement reconnu au niveau académique et politique, mais ses effets sur le système financier international sont encore mal compris. Dans ce papier nous évaluons l'impact de l'incertitude sur les interconnexions entre les marchés financiers boursiers. Pour ce faire, nous étendons l'approche de Diebold and Yilmaz (2009) dans un cadre non linéaire par l'estimation d'un modèle VAR à seuils dans lequel les différents régimes dépendent du niveau d'incertitude. Nos résultats montrent que le niveau d'incertitude intensifie les phénomènes de contagion au sein des marchés boursiers de pays avancés et émergents. D'un point de vue de politique économique, ce résultat suggère qu'en présence d'incertitude, un choc financier négatif aura tendance à se propager plus intensément et plus largement à l'ensemble du système financier international. Ce résultat préconise un suivi en temps réel des mesures d'incertitude.
Classification-JEL
G15; C31; D84
Mot(s) clé(s)
Marchés financiers, réseau d'interconnexion, incertitude, modèle non linèaire
Fichier

2016-35 "On the link between current account and oil price fluctuations in diversified economies: The case of Canada"

Blaise Gnimassoun, Marc Joëts, Tovonony Razafindrabe

Voir Télécharger le document de travail (via EconPapers)

Résumé
This study revisits the important relationship between oil prices and current account for oil exporting countries by paying particular attention to the time-varying nature of this link. To this end, we rely on an innovative method, the time-varying parameter vector autoregressive (TVP-VAR) model with sign restriction. We find that while an oil supply shock has non-significant impact on the current account, an oil demand shock has a positive and significant effect, which tends to increase over time. In addition, by studying the economic factors underlying the evolution of this relation, we show that the propensity to spend oil revenues on imports has a significant negative infuence on the pass-through of oil demand shocks on current account. However, a deepening of the domestic financial market and an accumulation of foreign exchange reserves have a significant positive effect on this relationship.
Classification-JEL
F32, Q43, C32.
Mot(s) clé(s)
Current account, Oil prices, Time-varying parameters.
Fichier

2015-7 "Does the volatility of commodity prices reflect macroeconomic uncertainty?"

Marc Joëts, Valérie Mignon, Tovonony Razafindrabe

Voir Télécharger le document de travail (via EconPapers)

Résumé
This paper analyzes the impact of macroeconomic uncertainty on a large sample of 19 commodity markets. We rely on a robust measure of macroeconomic uncertainty based on a wide range of monthly macroeconomic and financial indicators, and we estimate a structural threshold VAR (TVAR) model to assess whether the effect of macroeconomic uncertainty on commodity price returns depends on the degree of uncertainty. Our findings show that whereas the safe-haven role of precious metals is confirmed, agricultural and industrial markets are highly sensitive to the variability and the level of macroeconomic uncertainty, respectively. In addition, we show that the recent 2007-09 recession has generated an unprecedented episode of high uncertainty in numerous commodity markets that is not necessarily accompanied by a subsequent volatility in the corresponding prices, highlighting the relevance of our uncertainty measure in linking uncertainty to predictability rather than to volatility.
Classification-JEL
Q02, E32, C32.
Mot(s) clé(s)
Macroeconomic uncertainty, commodity prices, threshold vector autoregressive model.
Fichier

2012-42 "On the links between stock and commodity markets' volatility"

Anna Creti, Marc Joëts, Valérie Mignon

Voir Télécharger le document de travail (via EconPapers)

Résumé
This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the correlations between commodity and stock markets evolve through time and are highly volatile, particularly since the 2007-2008 financial crisis. The latter has played a key role, emphasizing the links between commodity and stock markets, and underlining the financialization of commodity markets. At the idiosyncratic level, a speculation phenomenon is highlighted for oil, coffee and cocoa, while the safe-haven role of gold is evidenced.
Classification-JEL
C22, G01, G10, Q4
Mot(s) clé(s)
Commodities; stock market; financial crisis; volatility; correlations; DCC-GARCH
Fichier

2012-38 "Energy price transmissions during extreme movements"

Marc Joëts

Voir Télécharger le document de travail (via EconPapers)

Résumé
This paper investigates price transmissions across European energy forward markets at distinct maturities during both normal times and extreme fluctuation periods. To this end, we rely on the traditional Granger causality test (in mean) and its multivariate extension in tail distribution developped by Candelon, Joëts, and Tokpavi (2012). Con- sidering forward energy prices at 1, 10, 20, and 30 months, it turns out that no significant causality exists between markets at regular times whereas comovements are at play during extreme periods especially in bear markets. More precisely, energy prices comovements appear to be stronger at short horizons than at long horizons, testifying an eventual Samuelson mechanism in the maturity prices curve. Diversification strategies tend to be more efficient as maturity increases.
Classification-JEL
C32 Q40
Mot(s) clé(s)
Forward energy prices; Value-at-Risk (VaR); CAViaR approach; risk spillover; Granger causality
Fichier

2012-28 "Testing for crude oil markets globalization during extreme price movements"

Bertrand Candelon, Marc Joëts, Sessi Tokpavi

Voir Télécharger le document de travail (via EconPapers)

Résumé
This paper investigates the global crude oil market dependence during extreme price movements. To this aim we extend the univariate Granger causality test in extreme risk developed by Hong et al. (2009) in a multivariate context. Asymptotic as well as finite sample properties are delivered. Applying this test for 32 crude oil markets, it turns out that extreme price movements are governed by non-OPEC crude oil markets rather than OPEC ones. More precisely, WTI and Brent crude oils are price setters in both extreme downside and upside price movements. More surprisingly, Mediterranean Russian Urals and Europe Forcados (resp. Ecuador Oriente) rather than Dubai Fateh act as additional benchmarks in periods of extreme price falls (resp. rises). Moreover, the integration process between crude oil markets seems to decrease during extreme price movements making diversification strategies more feasible.
Classification-JEL
Mot(s) clé(s)
Crude oil markets; Risk transmission; Globalization; Distribution tails; Granger-causality test
Fichier

2012-24 "Mood-misattribution effect on energy markets: a biorhythm approach"

Marc Joëts

Voir Télécharger le document de travail (via EconPapers)

Résumé
This paper investigates the relationship between emotion and European energy forward prices of oil, gas, coal and electricity during normal times and periods of extreme price movements relying on the biorhythm approach. To this end, we use the Seasonal Affective Disorder (SAD) variable to study the impact of emotion on energy market dynamics. Estimating OLS and quantile regressions, we find that seasonal patterns have a significant impact during extreme volatility periods only. Further investigations reveal that the SAD affect is significant during periods of price decrease, but insignificant during priceincrease. The out-of-sample predictive ability properties are also investigated and show that our "SAD model" outperforms significantly the pure "macroeconomic one".
Classification-JEL
G02 C21 Q40
Mot(s) clé(s)
energy forward markets; mood-misattribution; behavioral finance; extreme price movements; quantile regression
Fichier

2012-4 "Is price dynamics homogeneous across Eurozone countries?"

David Guerreiro, Marc Joëts, Valérie Mignon

Voir Télécharger le document de travail (via EconPapers)

Résumé
The aim of this paper is to investigate whether price dynamics is homogeneous across the Eurozone countries. Relying on monthly data over the January 1970-July 2011 period, we test for the absolute purchasing power parity (PPP) hypothesis through the implementation of second-generation panel unit root and cointegration tests. Our results show that price dynamics are heterogeneous depending on both the time period and the considered group of countries. More specifically, while PPP is validated for the core EMU countries, this hypothesis does not hold for Northern peripheral economies. Turning to the Southern countries, PPP is observed only before the launch of the euro.
Classification-JEL
C23, E31, F15, F41
Mot(s) clé(s)
price convergence, Eurozone, panel unit root tests, half-life
Fichier

2011-25 "On the link between forward energy prices: A nonlinear panel cointegration approach"

Marc Joëts, Valérie Mignon

Voir Télécharger le document de travail (via EconPapers)

Résumé
This paper investigates the relationship between forward prices of oil, gas, coal, and electricity using a nonlinear panel cointegration framework. To this end, we consider a panel of 35 maturities and control for the economic and financial environment using equity futures prices. Estimating the cointegrating relationship, we find that oil, gas and coal forward prices are positively linked, while the negative link between oil and electricity prices is consistent with a substitution effect between the two energy sources on the long run. Estimating panel smooth transition regression (PSTR) models, we show that the forward oil price adjustment process toward its equilibrium value is nonlinear and asymmetric, putting forward the key role played by self-sustaining dynamics and speculation phenomena.
Classification-JEL
C33, Q40
Mot(s) clé(s)
forward energy prices; speculation; panel cointegration; nonlinear model; PSTR
Fichier

2010-21 "On the relationship between forward energy prices: a panel data cointegration approach"

Marc Joëts

Voir Télécharger le document de travail (via EconPapers)

Résumé
On the relationship between forward energy prices: a panel data cointegration approach
Abstract: The aim of this paper is to investigate the long-term relationship between the forward prices of crude oil and domestic fuel (FOD) on the period from August 2003 to April 2010. To this end, we rely on a panel data setting by considering a sample of 36 maturities for the forward prices. Using panel cointegration tests, our results show that oil and fuel prices are characterized by a strong homogeneous long-term equilibrium relationship for several maturities. Estimating a panel error correction model, we find that FOD prices are influenced by oil prices variations on both the short and the long run. The existence of a unique equilibrium model for all maturities may have important implications for financial arbitrage strategies based on energy prices relationships.
Classification-JEL
C23, Q40
Mot(s) clé(s)
forward energy prices, oil, domestic fuel, panel cointegration
Fichier
load Veuillez patienter ...