The standard approach analyzing the business cycle (RBC) is based on Hodrick-Prescott (HP) and Ba... more The standard approach analyzing the business cycle (RBC) is based on Hodrick-Prescott (HP) and Band- Pass (BP) filters to extract the cyclical component of the aggregate time series. By Monte Carlo experiments using Matlab program, we compared these traditional filters to a more recent Fuzzy Regression Filter. Our aim is to help the user to choose the appropriate filter in the appropriate time series. Through our application on the exchange rate (Dinar/U.S.$), the results show an improvement of the Fuzzy filter when the time series is non-stationary. In fact, through only the Fuzzy filter, (i) there no imposed restrictions on time series distribution; and (ii) the use of traditional filters lead to an evaluation bias of the exchange rate cyclical components. Additionally, when the implemented exchange policy is based on HP and/or BP filter, it then could be misled. Would it be necessary in a further research to review the stylized facts established by the standard RBC model by apply...
In this work, we are interested in studying the profile synchronization between world economies b... more In this work, we are interested in studying the profile synchronization between world economies before and after the concept of globalization and economic integration. Initially, an analysis of features of macroeconomic fluctuations is developed. Two approaches have been developed;the traditional approach and the modern approach. We will use the HP filter to extract the transient components time series considered and the method of Bry and Boschan (1971) for the determination of points reversals and for dating business cycles. In a second step, we will address the issue synchronization. The results show an average timing between the world economies (50%) and highest among economies of similar nature (65%).
This paper is an advanced analysis of the cyclical industry in Tunisia by taking the transition
p... more This paper is an advanced analysis of the cyclical industry in Tunisia by taking the transition probabilities as endogenous in a Markov switching framework. Using Matlab programming of the Gibbs algorithm, Bayesian analysis allowed us to deal with the hidden Markov process with variable transition probabilities. Showing a persistent state, we obtained a positive relationship between previous and current regimes. These are presented as information leading to the variability of probabilities transition cycles. Furthermore, an anticipated increase in France would have a delayed effect on the business cycle in Tunisia because of domestic rigidities and institutional constraints as to depolarization. During recession in France, the persistence of expansion phases compared to recession seems to be verified in the Tunisian context. This type of application is not abundant in the empirical literature in Tunisia. Based on the various robustness tests (Vuong, 1989; Ang and Bekeart, 2002), the supremacy of MSTVTP models over FTP in the treatment of cyclical fluctuations in Tunisia is shown.
Through the applied literature, the Markov switching with time varying transition probabilities (... more Through the applied literature, the Markov switching with time varying transition probabilities (MS-TVTP) is considered as one of the most relevant models. The aim of this paper is to shed light users of MS-VAR model in the analysis of causal relationships in macroeconomic time series. Through a revision of the Filardo and Gordon’s algorithm and through the adaptation Gibbs sampling, dealing with Bayesian probability, we provided a detailed Matlab code that estimates the MS-TVTP parameters. In our application, we have shown (i) the possibility and relevance of our extension in the analysis of cyclical fluctuations of the bilateral exchange rate TND/USD, and the index of industrial production, (ii) the dependency of the current transition probability of the exchange rate on that of the previous period, of the industrial production, and of economic growth, (iii) the persistence probability of the Tunisian Dinar in the phase of depreciation outweighs that of persistence in the appreciation phase. This is due to the opening of the Tunisian industrial sector to a more competitive industry in Europe, (iv) the necessity to implement this extension for more general applications on cyclical fluctuations in the small open economies.
Ce travail identifie les facteurs de synchronisation des cycles industriels entre la
Tunisie et s... more Ce travail identifie les facteurs de synchronisation des cycles industriels entre la Tunisie et ses partenaires européens à travers les modèles ADL, sur des données mensuels, portant sur la période 1993-2010. La datation des cycles par l’Algorithme Bry-Buchan et l’estimation du modèle dont la robustesse est testée montrent qu’à long terme le facteur commercial ne rapproche pas les cycles industriels entre la Tunisie et ses partenaires à cause de l’apprentissage des agents lors de la formulation de leurs anticipations et de la coordination des politiques faisant défaut. Les résultats montrent aussi le rejet de l’hypothèse de Frankel (1996) selon laquelle la synchronisation des cycles est due seulement à l’intensification des échanges commerciaux. Pourtant le marché financier tunisien est sous répression, le facteur financier semble favoriser la synchronisation entre la Tunisie et la France à travers les sentiments des investisseurs. En revanche, le facteur commun favorise la synchronisation entre la Tunisie et ses partenaires européens. Les décideurs en Tunisie n’auraient pas intérêt à mettre en oeuvre des barrières commerciales contre leurs échanges bilatéraux et devraient envisager des mécanismes stabilisateurs des effets volatiles des facteurs communs et financiers par un meilleur encadrement des anticipations des agents.
The standard approach analyzing the business cycle (RBC) is based on Hodrick-Prescott (HP) and Ba... more The standard approach analyzing the business cycle (RBC) is based on Hodrick-Prescott (HP) and Band-Pass (BP) filters to extract the cyclical component of the aggregate time series. By Monte Carlo experiments using Matlab program, we compared these traditional filters to a more recent Fuzzy Regression Filter. Our aim is to help the user to choose the appropriate filter in the appropriate time series. Through our application on the exchange rate (Dinar/U.S.$), the results show an improvement of the Fuzzy filter when the time series is non-stationary. In fact, through only the Fuzzy filter, (i) there no imposed restrictions on time series distribution; and (ii) the use of traditional filters lead to an evaluation bias of the exchange rate cyclical components. Additionally, when the implemented exchange policy is based on HP and/or BP filter, it then could be misled. Would it be necessary in a further research to review the stylized facts established by the standard RBC model by applying the Fuzzy filter as an alternative?
The standard approach analyzing the business cycle (RBC) is based on Hodrick-Prescott (HP) and Ba... more The standard approach analyzing the business cycle (RBC) is based on Hodrick-Prescott (HP) and Band- Pass (BP) filters to extract the cyclical component of the aggregate time series. By Monte Carlo experiments using Matlab program, we compared these traditional filters to a more recent Fuzzy Regression Filter. Our aim is to help the user to choose the appropriate filter in the appropriate time series. Through our application on the exchange rate (Dinar/U.S.$), the results show an improvement of the Fuzzy filter when the time series is non-stationary. In fact, through only the Fuzzy filter, (i) there no imposed restrictions on time series distribution; and (ii) the use of traditional filters lead to an evaluation bias of the exchange rate cyclical components. Additionally, when the implemented exchange policy is based on HP and/or BP filter, it then could be misled. Would it be necessary in a further research to review the stylized facts established by the standard RBC model by apply...
In this work, we are interested in studying the profile synchronization between world economies b... more In this work, we are interested in studying the profile synchronization between world economies before and after the concept of globalization and economic integration. Initially, an analysis of features of macroeconomic fluctuations is developed. Two approaches have been developed;the traditional approach and the modern approach. We will use the HP filter to extract the transient components time series considered and the method of Bry and Boschan (1971) for the determination of points reversals and for dating business cycles. In a second step, we will address the issue synchronization. The results show an average timing between the world economies (50%) and highest among economies of similar nature (65%).
This paper is an advanced analysis of the cyclical industry in Tunisia by taking the transition
p... more This paper is an advanced analysis of the cyclical industry in Tunisia by taking the transition probabilities as endogenous in a Markov switching framework. Using Matlab programming of the Gibbs algorithm, Bayesian analysis allowed us to deal with the hidden Markov process with variable transition probabilities. Showing a persistent state, we obtained a positive relationship between previous and current regimes. These are presented as information leading to the variability of probabilities transition cycles. Furthermore, an anticipated increase in France would have a delayed effect on the business cycle in Tunisia because of domestic rigidities and institutional constraints as to depolarization. During recession in France, the persistence of expansion phases compared to recession seems to be verified in the Tunisian context. This type of application is not abundant in the empirical literature in Tunisia. Based on the various robustness tests (Vuong, 1989; Ang and Bekeart, 2002), the supremacy of MSTVTP models over FTP in the treatment of cyclical fluctuations in Tunisia is shown.
Through the applied literature, the Markov switching with time varying transition probabilities (... more Through the applied literature, the Markov switching with time varying transition probabilities (MS-TVTP) is considered as one of the most relevant models. The aim of this paper is to shed light users of MS-VAR model in the analysis of causal relationships in macroeconomic time series. Through a revision of the Filardo and Gordon’s algorithm and through the adaptation Gibbs sampling, dealing with Bayesian probability, we provided a detailed Matlab code that estimates the MS-TVTP parameters. In our application, we have shown (i) the possibility and relevance of our extension in the analysis of cyclical fluctuations of the bilateral exchange rate TND/USD, and the index of industrial production, (ii) the dependency of the current transition probability of the exchange rate on that of the previous period, of the industrial production, and of economic growth, (iii) the persistence probability of the Tunisian Dinar in the phase of depreciation outweighs that of persistence in the appreciation phase. This is due to the opening of the Tunisian industrial sector to a more competitive industry in Europe, (iv) the necessity to implement this extension for more general applications on cyclical fluctuations in the small open economies.
Ce travail identifie les facteurs de synchronisation des cycles industriels entre la
Tunisie et s... more Ce travail identifie les facteurs de synchronisation des cycles industriels entre la Tunisie et ses partenaires européens à travers les modèles ADL, sur des données mensuels, portant sur la période 1993-2010. La datation des cycles par l’Algorithme Bry-Buchan et l’estimation du modèle dont la robustesse est testée montrent qu’à long terme le facteur commercial ne rapproche pas les cycles industriels entre la Tunisie et ses partenaires à cause de l’apprentissage des agents lors de la formulation de leurs anticipations et de la coordination des politiques faisant défaut. Les résultats montrent aussi le rejet de l’hypothèse de Frankel (1996) selon laquelle la synchronisation des cycles est due seulement à l’intensification des échanges commerciaux. Pourtant le marché financier tunisien est sous répression, le facteur financier semble favoriser la synchronisation entre la Tunisie et la France à travers les sentiments des investisseurs. En revanche, le facteur commun favorise la synchronisation entre la Tunisie et ses partenaires européens. Les décideurs en Tunisie n’auraient pas intérêt à mettre en oeuvre des barrières commerciales contre leurs échanges bilatéraux et devraient envisager des mécanismes stabilisateurs des effets volatiles des facteurs communs et financiers par un meilleur encadrement des anticipations des agents.
The standard approach analyzing the business cycle (RBC) is based on Hodrick-Prescott (HP) and Ba... more The standard approach analyzing the business cycle (RBC) is based on Hodrick-Prescott (HP) and Band-Pass (BP) filters to extract the cyclical component of the aggregate time series. By Monte Carlo experiments using Matlab program, we compared these traditional filters to a more recent Fuzzy Regression Filter. Our aim is to help the user to choose the appropriate filter in the appropriate time series. Through our application on the exchange rate (Dinar/U.S.$), the results show an improvement of the Fuzzy filter when the time series is non-stationary. In fact, through only the Fuzzy filter, (i) there no imposed restrictions on time series distribution; and (ii) the use of traditional filters lead to an evaluation bias of the exchange rate cyclical components. Additionally, when the implemented exchange policy is based on HP and/or BP filter, it then could be misled. Would it be necessary in a further research to review the stylized facts established by the standard RBC model by applying the Fuzzy filter as an alternative?
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Papers by Ramzi Knani
probabilities as endogenous in a Markov switching framework. Using Matlab programming of the Gibbs
algorithm, Bayesian analysis allowed us to deal with the hidden Markov process with variable transition
probabilities. Showing a persistent state, we obtained a positive relationship between previous and
current regimes. These are presented as information leading to the variability of probabilities transition
cycles. Furthermore, an anticipated increase in France would have a delayed effect on the business
cycle in Tunisia because of domestic rigidities and institutional constraints as to depolarization. During
recession in France, the persistence of expansion phases compared to recession seems to be verified
in the Tunisian context. This type of application is not abundant in the empirical literature in Tunisia.
Based on the various robustness tests (Vuong, 1989; Ang and Bekeart, 2002), the supremacy of MSTVTP
models over FTP in the treatment of cyclical fluctuations in Tunisia is shown.
of the most relevant models. The aim of this paper is to shed light users of MS-VAR model in the analysis of causal relationships in macroeconomic time series. Through a revision of the Filardo and Gordon’s algorithm and through the adaptation Gibbs sampling, dealing with Bayesian probability, we provided a detailed Matlab code that estimates the MS-TVTP parameters. In our application, we have shown (i) the possibility and relevance of our extension in the analysis of cyclical fluctuations of the bilateral exchange rate TND/USD, and the index of industrial production, (ii) the dependency of the current transition probability of the exchange rate on that of the previous period, of the industrial production, and of economic growth, (iii) the persistence probability of the Tunisian Dinar in the phase of depreciation outweighs that of persistence in the appreciation phase. This is due to the opening of the Tunisian industrial sector to a more competitive industry in Europe, (iv) the necessity to implement this extension for more general applications on cyclical fluctuations in the small open economies.
Tunisie et ses partenaires européens à travers les modèles ADL, sur des données mensuels,
portant sur la période 1993-2010. La datation des cycles par l’Algorithme Bry-Buchan et
l’estimation du modèle dont la robustesse est testée montrent qu’à long terme le facteur
commercial ne rapproche pas les cycles industriels entre la Tunisie et ses partenaires à
cause de l’apprentissage des agents lors de la formulation de leurs anticipations et de la
coordination des politiques faisant défaut. Les résultats montrent aussi le rejet de
l’hypothèse de Frankel (1996) selon laquelle la synchronisation des cycles est due
seulement à l’intensification des échanges commerciaux. Pourtant le marché financier
tunisien est sous répression, le facteur financier semble favoriser la synchronisation entre la
Tunisie et la France à travers les sentiments des investisseurs. En revanche, le facteur
commun favorise la synchronisation entre la Tunisie et ses partenaires européens. Les
décideurs en Tunisie n’auraient pas intérêt à mettre en oeuvre des barrières commerciales
contre leurs échanges bilatéraux et devraient envisager des mécanismes stabilisateurs des
effets volatiles des facteurs communs et financiers par un meilleur encadrement des
anticipations des agents.
probabilities as endogenous in a Markov switching framework. Using Matlab programming of the Gibbs
algorithm, Bayesian analysis allowed us to deal with the hidden Markov process with variable transition
probabilities. Showing a persistent state, we obtained a positive relationship between previous and
current regimes. These are presented as information leading to the variability of probabilities transition
cycles. Furthermore, an anticipated increase in France would have a delayed effect on the business
cycle in Tunisia because of domestic rigidities and institutional constraints as to depolarization. During
recession in France, the persistence of expansion phases compared to recession seems to be verified
in the Tunisian context. This type of application is not abundant in the empirical literature in Tunisia.
Based on the various robustness tests (Vuong, 1989; Ang and Bekeart, 2002), the supremacy of MSTVTP
models over FTP in the treatment of cyclical fluctuations in Tunisia is shown.
of the most relevant models. The aim of this paper is to shed light users of MS-VAR model in the analysis of causal relationships in macroeconomic time series. Through a revision of the Filardo and Gordon’s algorithm and through the adaptation Gibbs sampling, dealing with Bayesian probability, we provided a detailed Matlab code that estimates the MS-TVTP parameters. In our application, we have shown (i) the possibility and relevance of our extension in the analysis of cyclical fluctuations of the bilateral exchange rate TND/USD, and the index of industrial production, (ii) the dependency of the current transition probability of the exchange rate on that of the previous period, of the industrial production, and of economic growth, (iii) the persistence probability of the Tunisian Dinar in the phase of depreciation outweighs that of persistence in the appreciation phase. This is due to the opening of the Tunisian industrial sector to a more competitive industry in Europe, (iv) the necessity to implement this extension for more general applications on cyclical fluctuations in the small open economies.
Tunisie et ses partenaires européens à travers les modèles ADL, sur des données mensuels,
portant sur la période 1993-2010. La datation des cycles par l’Algorithme Bry-Buchan et
l’estimation du modèle dont la robustesse est testée montrent qu’à long terme le facteur
commercial ne rapproche pas les cycles industriels entre la Tunisie et ses partenaires à
cause de l’apprentissage des agents lors de la formulation de leurs anticipations et de la
coordination des politiques faisant défaut. Les résultats montrent aussi le rejet de
l’hypothèse de Frankel (1996) selon laquelle la synchronisation des cycles est due
seulement à l’intensification des échanges commerciaux. Pourtant le marché financier
tunisien est sous répression, le facteur financier semble favoriser la synchronisation entre la
Tunisie et la France à travers les sentiments des investisseurs. En revanche, le facteur
commun favorise la synchronisation entre la Tunisie et ses partenaires européens. Les
décideurs en Tunisie n’auraient pas intérêt à mettre en oeuvre des barrières commerciales
contre leurs échanges bilatéraux et devraient envisager des mécanismes stabilisateurs des
effets volatiles des facteurs communs et financiers par un meilleur encadrement des
anticipations des agents.