Intro
Introduction
Contributions in First Part: Macroeconometrics
Contributions in Second Part: Financial Econometrics
Contents
Contributors
Macroeconometrics
Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time Series
1 Introduction
2 Harmonic Regression Models and Laplace Periodograms
3 Sample and Smoothed Laplace Periodogram
4 Copula-Based Periodogram and Rank-Based Laplace Periodogram
5 The Multivariate Case
6 Empirical Example
7 Conclusion
References

On the Seemingly Incompleteness of Exchange Rate Pass-Through to Import Prices: Do Globalization and/or Regional Trade Matter?
1 Introduction
2 Methodology
3 Data
3.1 Time Sample
3.2 Variables
3.3 Indicators of Globalization
3.4 Descriptive Statistics
4 Results
4.1 Accounting for Globalization
4.2 Using Disaggregated Data: Accounting for the Good Level
4.3 Accounting for Globalization at the Good Level
5 Conclusion
6 Appendix
References
A State-Space Model to Estimate Potential Growth in the Industrialized Countries
1 Introduction

2 A State-Space Model with Theoretical Relationships
2.1 The General Model
2.2 Sub-models and Comparison with Other Models Used in the Literature
2.3 Estimation Method
3 Results
4 Conclusion
References
Detecting Tranquil and Bubble Periods in Housing Markets: A Review and Application of Statistical Methods
1 Introduction
2 The Theoretical Concept of Rational Bubbles
3 Econometric Methods
3.1 Classical Approaches
3.2 Explosive Unit Root Tests
3.3 Panel Approach
3.4 T-ARDL Model
4 Empirics
4.1 Data
4.2 Classical Test Approaches

4.3 Explosive Test Approaches
4.4 T-ARDL Approach
4.5 Discussion
5 Conclusion
References
An Analysis of the Time-Varying Behavior of the Equilibrium Velocity of Money in the Euro Area
1 Motivation
2 The Inflation Puzzle and Money Velocity in the EA: Theoretical and Empirical Issues
3 Methodology
3.1 State-Space Models and Time-Varying Parameter Models
3.2 A Panel Time-Varying State-Space Extension
3.3 A Time-Varying Parameter Model for the M3 Velocity
4 Results
4.1 Univariate Properties of the Data
4.2 M3 Velocity Panel TVP Model Estimation

5 Conclusions
References
Revisiting Wealth Effects in France: A Double-Nonlinearity Approach
1 Introduction
2 Econometric Methodology
2.1 Linear Cointegration Specification for Wealth Effects
2.2 Threshold ECM Specification for Wealth Effects
2.3 Time-Varying VECM Specification for Wealth Effects
3 Data and Empirical Analysis
3.1 Data and Preliminary Analysis
3.2 The Linear Cointegration Analysis
3.3 Nonlinear Cointegration with Asymmetric Adjustment
3.4 NECMs with Nonlinearity in the Long Run
4 Conclusion