Christelle Lecourt

Christelle Lecourt
Aix-Marseille Université | AMU ·  Centre d'Etudes et de Recherche en Gestion d'Aix-Marseille

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33
Publications
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647
Citations

Publications

Publications (33)
Article
In this paper, we investigate what are the drivers of cross-border equity acquisitions made by Sovereign Wealth Funds (SWFs) of the Gulf Cooperation Council (GCC) countries. GCC SWFs are considered as relatively opaque investors and strongly politicized, raising some concerns for perceived political and security risks. Using both Logit and ordered...
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In this paper we examine the investment strategy of sovereign wealth funds (SWFs) of the Gulf Cooperation Council (GCC) countries. GCC SWFs are considered as relatively opaque investors and strongly politicized, raising some concerns for perceived political and security risks. We investigate what are the drivers of majority cross-border equity acqu...
Article
The paper deals with the important financial policy issue of the decision for a country to establish a sovereign wealth fund (SWF). Using a large-scale database, we analyze the economic, political and institutional factors that should be considered in such a decision. In particular, we test if the emergence of SWFs and more specifically of a specif...
Article
Sovereign wealth funds (SWFs) have been increasingly active over the past decade, with governments raising concern regarding their actual motives and the potential for cross-border interest in national strategic sectors. The aim of this paper is to contribute to the existing literature by improving our understanding of the decisions being taken by...
Article
Full-text available
We examine in this paper the complex decision-making processes that lead to investment location choice of Sovereign Wealth Funds (SWFs). Using a two-tiered dynamic Tobit panel model, we find that country-level factors do not have the same impact on the investment decision and the amount to invest and that SWFs tend to invest more frequently and wit...
Article
The aim of the paper is to shed light on the question of why a country decides to set up a Sovereign Wealth Fund (SWF). Despite the recent financial crisis, 43 SWFs have been created between 2005 and 2014. In particular, we test if the emergence of these new recent funds can be explained by the following economic, political and institutional factor...
Article
Financial asset prices occasionally exhibit large changes. To deal with their occurrence, observed return series are assumed to consist of a conditionally Gaussian ARMA–GARCH type model contaminated by an additive jump component. In this framework, a new test for additive jumps is proposed. The test is based on standardized returns, where the first...
Article
In this paper, we examine the intra-day effects of verbal statements and comments on the FX market uncertainty using two measures: continuous volatility and discontinuous jumps . Focusing on the euro-dollar exchange rate, we provide empirical evidence of how these two sources of uncertainty matter in measuring the short-term reaction of exchange ra...
Article
Full-text available
This paper investigates the causality between jumps in the exchange rate process and rumors of central bank interventions. Using the case of Japan, we analyze more specifically whether jumps trigger false reports of intervention (i.e. an intervention is reported whereas it did not occur). Intra-day jumps are extracted using a non-parametric techniq...
Article
In this paper we study the role of official statements and speeches given by central bank authorities in charge of foreign exchange policy. We investigate the impact of statements that comment on and confirm such interventions on the day of the intervention on the two major foreign exchange markets over an extended period (1989–2003). We also study...
Article
Intervening in the FX market implies a complex decision process for central banks. Monetary authorities have to decide whether to intervene or not, and if so, when and how. Since the successive steps of this procedure are likely to be highly interdependent, we adopt a nested logit approach to capture their relationships and to characterize the prom...
Article
This paper empirically investigates the induced effect of a more and less transparent central bank intervention (CBI) policy on rumors that can emerge. Using the case of Japan, we estimate a dynamic-probit model that explains the main determinants of false reports (i.e. falsely reported interventions) and anticipative rumors (i.e. rumors about futu...
Article
Full-text available
This paper examines different aspects of transparency in the foreign exchange policy. More precisely, it analyses how transparency evolved over the last decades in Japan and how market participants reacted to the changes in transparency. For this, we create a dataset capturing the main features of the central bank policy and market perception from...
Article
This paper empirically investigates the induced effect of a more and less transparent central bank intervention (CBI) policy on rumors that can emerge. Using the case of Japan, we estimate a dynamic-probit model that explains the main determinants of false reports (i.e. falsely reported interventions) and anticipative rumors (i.e. rumors about futu...
Article
This paper presents the findings from a survey on central banks' FOREX intervention practices in industrialized countries over the last decade. The answers of responding monetary authorities are examined with respect to available data and literature. Our findings indicate that interventions usually take place during normal working hours while centr...
Article
The relevance of central bank interventions (CBI) is still an open issue. Up to a recent pe-riod, empirical results remained rather inconclusive on both the ability of central banks (CBs) to 'calm the disorderly market' as well as to readjust the exchange rate with the fundamentals. More recently, however, some studies have shown that transparent p...
Article
In this paper a new approach relying on news wire reports is used to capture all the transparency elements in the exchange rate intervention policy of the Bank of Japan during the period 1991-2004. As suggested by Enoch (1998), we distinguish three types of transparency: ex ante transparency, represented by oral interventions suggesting a potential...
Article
Using a new approach relying on news wire reports, we estimate the proportion of secret interventions (i.e., unreported official interventions) in the foreign exchange markets that have been conducted by the three major central banks since 1985. We therefore revisit the estimation of conditional probabilities of secret operations and compute them b...
Article
In this paper, we study the role of official statements and speeches given by authorities in charge of direct foreign exchange market interventions. We investigate the impact of commenting and confirming statements related to such interventions at a daily frequency for the two major foreign exchange markets over a quite long period (1989 onwards)....
Article
In this paper, we investigate the effect of central bank interventions on the weekly returns and volatility of the DEM/USD and YEN/USD exchange rate returns. In contrast with previous analyses, we allow for regime-dependent specifications and investigate whether official interventions can explain the observed volatility regime switches. It is found...
Article
This paper displays findings from a survey on central banks FOREX interventions practices during the last decade. The study of responding monetary authorities answers, in the light of available data and literature on foreign exchange interventions, enables us to characterize interventions. Interventions usually take place during normal working hour...
Article
In this paper, we investigate the effects of official interventions on the (short run) evolution and volatility of exchange rates. To this aim, we rely on a new measure of volatility implied by the FIGARCH model that outperforms the traditionally used GARCH one. It is found that central bank interventions exert an incorrectly signed effect on the l...
Article
Full-text available
This paper, estimates FIGARCH models introduced by Baillie et al. (1996a) for the four major daily exchange rates against the USD (DEM, FRF, YEN and the GBP). The former contributions are extended by accounting for the observed kurtosis through a Student- t based maximum likelihood estimation and by including variables capturing the effect of closi...
Data
We investigate the effects of Central Bank Actions (CBA) on USD/DEM and EUR/USD dynamics in the 1992-2001 period. CBA cover a wide spectrum of interventions, including interventions on currency reserves, on the monetary market and interventions through official speeches. We test many models, among which we distinguish between interventions expected...
Article
The impact of monetary policy signals on the intradaily deutsche mark-dollar volatility In this paper, we investigate the impact of monetary policy signals stemming from the Bundesbank Council and the FOMC on the intradaily Deutsche Mark-dollar volatility (five minutes frequency). For that, we estimate an AR(1)-GARCH(1,1) model, which integrates a...
Article
Full-text available
In this paper, we investigate the impact of monetary policy signals stemming from the Bundesbank Council and the FOMC on the intradaily Deutsche Mark-dollar volatility (five minutes frequency). For that, we estimate an AR(1)-GARCH(1,1) model, which integrates a polynomials structure depending on signal variables, on the deseasonalized exchange rate...
Article
Full-text available
We investigate the impact of official intervention on the short run dynamics of the Deutschemark and the yen against the US dollar. To this goal, we rely on a FIGARCH model of the exchange rate dynamics, which yields a more appropriate measure of the ex post volatility of the exchange rates than the GARCH model. Indeed, the FIGARCH model implies a...
Article
In this paper, we estimate ARFIMA-GARCH models introduced by Baillie et al. (1996) for the four major daily exchange rates against the USD (DEM, FRF, YEN and the GBP). We extend the former contributions by accounting for the observed conditional heteroskedasticity and kurtosis respectively through a GARCH process and a Student-t based maximum likel...

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