QUELQUES-UNS DE MES TRAVAUX...
A SAMPLE OF MY WORK...

1995

Undergraduate Dissertation - Mémoire de Licence:

La Théorie du Chaos en Finance: une application économétrique

01/1999

Analyse spectrale des séries chronologiques (Spectral Analysis of Time Series)

Quelques notes destinées aux praticiens qui désirent se lancer dans l'analyse spectrale, univariée ou multivariée...(En francais seulement)

Some notes for students or applied econometricians who would like to, or need to, perform univariate or multivariate spectral analysis... (In French only)

04/1999

Do National Business Cycles Have an International Origin ?

Ce papier examine si les fluctuations économiques des différents pays sont générées par des chocs communs, ou bien si elles proviennent plutôt de chocs spécifiques aux différents pays. On s'intéresse au taux de croissance du PIB sur la période 1960-1990 et on estime un modèle dynamique à facteurs généralisé (GDFM) sur un échantillon de 113 pays. Il apparaît que des chocs communs existent, et qu'ils génèrent des "business cycles". Ce résultat est utilisé pour examiner un certain nombre de problèmes, notamment l'analyse d'accords d'intégration régionaux.

This paper analyses a panel of output data for 113 countries and identifies common sources of fluctuations to estimate a world business cycle. We also analyze the multiplier effects of world shocks and conclude that degree of openness, education and monetary factors matter. Finally, we compare some regional integration agreements and the EC emerges as the most integrated block. The analytical framework we use is the Generalized Dynamic Factor Model as developed by Forni et al. (1999).

Published as: MALEK MANSOUR, J. (2003), "Do National Business Cycles Have an International Origin ?", Empirical Economics, 28, pp. 223-247.

03/2000

Imperfect Competition and Sectoral Sensitivity to Exchange Rate Fluctuations in Europe

This paper was written in association with my Ph.D. Supervisor Khalid SEKKAT

The purpose of this study is to analyze the impact of exchange rate fluctuations on the European Union trade.  It seeks to  identify which sectors will the more sensitive to the Euro/Dollar fluctuations and to assess the extent of such sensitivity and the importance of these sectors for the European economy. Two questions are addressed: Is there a difference across sectors with respect to the sensitiveness of their trade volumes to exchange rate fluctuations?  To what extent market structure and good characteristics indicators determine such a difference? To our knowledge, this is the first study to concentrate upon volumes rather than upon prices and to address both questions.  Moreover the focus on european trade is also a novelty. We also try to classify European sectors according to the intensity of competition from the dollar zone. Combining the results of the two classifications, sectors which may be highly affected by the Euro/Dollar fluctuations are identified. An assessment of the effects of a 10% depreciation of the US Dollar vis-à-vis the Euro with respect to both European market shares on the dollar zone markets and on the dollar zone market shares in Europe is performed.

A deeply revised version is published under the reference: MALEK MANSOUR, J. and SEKKAT, Kh. (2005), "Exchange Rate Fluctuations, Trade and Asymmetric Shocks in the EMU", International Finance, 8:1, 2005: pp. 119-137.