Education Biography Research Areas On

Education
I am an Economist who works on Econometrics, Macroeconomics and
Forecasting.
Guillaume
Chevillon
Professor,
Department
Information
Systems, Decision
Sciences and
Statistics (IDS)
my blog: MacroAnalytics.org
personal webpage: http://guillaume-chevillon.faculty.essec.edu/
D.Phil. in Economics, University of Oxford, UK
M.Phil. in Economics, University of Oxford/Brasenose College, UK
Ingenieur des Mines, Ecole des Mines de Paris
Biography
since 2007- Member, Macroeconomics Department, CREST-INSEE
2012-13 Visiting Scholar, Economics Department, New York University
2012 - Visiting Scholar, Macro & Money Group, Federal Reserve Bank of
New York
2011 - Visiting Professor, Economics Department, Université d'Oxford
2006-9 Assistant Professor, ESSEC
1999-2006 Adjunct Lecturer at IEP Paris (French Institute of Political
Studies, aka Sciences-Po U), HEC, ENA, University Paris-Dauphine,
University of Oxford; teaching Econometrics, Time Series Analysis,
Forecasting Theory, Macroeconomics, Statistics.
Contact
Mail:
[email protected]
Avenue Bernard
Hirsch.
BP 50105
95021 Cergy Pontoise
cedex
FRANCE
2003-6 Research Fellow at OFCE, Department of Applied Economics of
Sciences-Po University.
Research Areas
I am an Economist who works on Macroeconometrics and Forecasting.
As Macroeconomics cannot be an experimental science (contrary to
Physics and Natural Sciences, economists cannot and will not conduct large
scale experiments on economies), if we have any hope for it ever to become
a proper "science" rather than a set of opinions, we need to be able to
refute and reject wrong theories.
This is the purpose of econometricians: we develop tools to judge
economic theories by their empirical relevance. The lack of experimentation
implies that we have to resort to historical data and see what laws and
principles are permanent and hidden.
More specifically research interests lie in time series econometrics and
forecasting, with a special interest in Macroeconomics (esp. Dynamics of
deviations from Rational Expectations) and Finance (Forecasting of Asset
Prices). I also have other work on risk premia in oil prices and the human
origin of global warming.
On-going Projects
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Macroeconomics: Models with learning, adaptive expectations, monetary
policy, New Keynesian Phillips Curve, Business cycles
Time Series Econometrics : finite sample analysis, trending behavior,
breaks, long memory, cointegration.
Empirical Finance: Power delegation in shareholder meetings, predictive
regressions
Publications
Academic Publications
Articles
"Multistep Forecasting in the Presence of Location Shifts" (G. Chevillon),
International Journal of Forecasting, Jan 2016, Vol. 32, Issue 1, p. 121-137
"Robust Cointegration Testing in the Presence of Weak Trends, with an
Application to the Human Origin of Global Warming" (G. Chevillon),
Econometric Reviews, Issue forthcoming
"Multi-step forecast error corrections: A comment on 'Evaluating predictive
densities of US output growth and inflation in a large macroeconomic data
set'" (G. Chevillon), International Journal of Forecasting, Jul 2014, Vol. 30,
Issue 3, p. 683-687
"Inference in Models with Adaptive Learning" (G. Chevillon, M. Massmann,
S. Mavroeidis), Journal of Monetary Economics, Apr 2010, Vol. 57, Issue 3,
p. 341-351
"Stratégies de Vote en AG Face aux Résolutions Externes" (P. Charléty, G.
Chevillon, M. Messaoudi), Revue Française de Gestion, Dec 2009, Vol.
198-199, p. 277-296
"Multi-Step Forecasting in Emerging Economies: an Investigation of the
South African GDP" (G. Chevillon), International Journal of Forecasting, Jul
2009, Vol. 25, Issue 3, p. 602-628 (unpublished appendices are available
from my personal website)
"Determinants of the Price of Crude Oil and the Market Premium" (G.
Chevillon, C. Rifflart), Energy Economics, Jul 2009, Vol. 31, Issue 4, p.
537-549
"Direct Multi-Step Estimation and Forecasting" (G. Chevillon), Journal of
Economic Surveys, Sep 2007, Vol. 21, Issue 4, p. 746-785
"Analyse Econométrique et Compréhension des Erreurs de Prévision" (G.
Chevillon), Revue de l'OFCE, Oct 2005, Vol. 95, p. 327-356
"Non-parametric Direct Multi-Step Estimation for Forecasting Economic
Processes" (G. Chevillon, D. Hendry), International Journal of Forecasting,
Apr 2005, Vol. 21, p. 201-218
Book Chapters
Impact du taux de change sur le tourisme en France. In: Evolution Recente
du commerce extérieur Français (with X. Timbeau). Paris (France) : La
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Documentation Française, Artus, P & L. Fontagné, Conseil d'Analyse
Economique. 2006, p. 99-108
Professional Publications
Articles
"Brouillard autour des puits de pétrole" (G. Chevillon, C. Rifflart), Lettre de
l'OFCE, Oct 2004, Issue 253, p. 1-4
"Les tribulations de la parité euro/dollar," (G. Chevillon, Dap), Lettre de
l'OFCE, Jun 2004, Issue 252, p. 1-4
Book Chapters
Perspectives de l'économie Française à l'horizon 2009. In: Rapport
d'information du Sénat n° 70 (with E. Heyer, M. Lemoine). Paris (France) :
Délégation du Sénat pour la planification , Joël Bourdin, sénateur. 2004, p.
138-203
Perspectives de l'économie Française à l'horizon 2008. In: Rapport
d'information du Sénat n° 69 (with V. Chauvin, E. Heyer). Paris (France) :
Délégation du Sénat pour la planification , Joël Bourdin, sénateur. 2003, p.
132-188
Working Papers
"Long Memory Through Marginalization of Large Systems and Hidden
Cross-Section Dependence" (G. Chevillon, A. Hecq, S. Laurent). Essec
Research Center, DR-1507 May 15.
"Robust Cointegration Testing in the Presence of Weak Trends, with an
Application to the Human Origin of Global Warming" (G. Chevillon). Essec
Research Center, DR-1320 Nov 13.
"Detecting and Forecasting Large Deviations and Bubbles in a
Near-Explosive Random Coefficient Model" (A. Banerjee, G. Chevillon, M.
Kratz). Essec Research Center, DR-1314 Oct 13.
"Local-Explosive Approximations to Null Distributions of the Johansen
Cointegration Test, with an Application to Cyclical Concordance in the Euro
Area" (G. Chevillon). Essec Research Center, DR-1210 Oct 12.
"Learning Generates Long Memory" (G. Chevillon, S. Mavroeidis). Essec
Research Center, DR-1113 Dec 11.
"Inference in Models with Adaptive Learning" (with S. Mavroeidis, M.
Massmann). Brown University, 2009 Jan 09. (forthcoming, Journal of
Monetary Economics)
"Inference in the Presence of Stochastic and Deterministic Trends" (G.
Chevillon). Essec Research Center, DR-07021 Oct 07.
"Multi-step Forecasting in Unstable Economies: Robustness Issues in the
Presence of Location Shifts" Oxford Economic Working Papers, 257 Feb 06.
"Weak trends for estimation and forecasting in finite samples" Oxford
Economic Working Paper, 210 Sep 04.
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Other Publications
Press Articles
"Comment l’économétrie nous aide à comprendre les changements
climatiques". Grand Angle, 01 Nov 2015
" La BCE réagit-elle trop tard ?". La Tribune, 30 Jan 2015
"How econometrics helps us explain Climate Change". ESSEC Knowledge,
17 Oct 2014
"Three Big Questions Preoccupying Economists. ". ESSEC Knowledge, 18
Sep 2014 (republished in Economie Matin (8 October 2014))
"Homo-oeconomicus : un comportement modèle ou un modèle de
comportement ?". La Tribune, 23 Apr 2013
"Tous les électeurs sont-ils égaux ?". Le Cercle - Les Echos, 07 Dec 2012
"Commerce Extérieur: les Raisons du Déficit. Interview by Sophie Fay". Le
Monde, 12 Dec 2004
"Buts et Abus d'une Constitution". Libération, 24 Sep 2004, p. 40-40
Teaching
Teaching at ESSEC
PhD:
- Accounting, Decision Science, Management & Marketing concentrations:
Econometrics (2006-2012)
- Economics concentration: Time Series
Executive Education: (Master in Financial Management and Control)
Introduction to Statistics and Forecasting
MS in Financial Techniques: Statistics (2012)
MSc in Management (Grande Ecole Program):
- Financial Econometrics
- PreMSc in Statistics
BA in Economics & Management (Grande Ecole Program): Business
Statistics (coordinator)
Other Teaching Activities
for past teaching and online documentation, see personal webpage.
subjects were: econometrics, time series, statistics, forecasting, international
macroeconomics.
at Oxford, ENA, Orléans, Dauphine, HEC, SciencesPo.
Other Activities
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Awards and Distinctions
Research grant, Europlace Institute of Finance (in collaboration), 2007,
Paris.
Best core papers performance in the MPhil in Economics, 1999, Oxford.
Scientific Activities
Conference Presentations
Conference Presentations & Invited Seminars
2014: ESSEC, GREQAM (Aix), Leibniz University (Hannover), SNDE (New
York), Durham Business School, ESSEC-CENTRALE Big Data conference
(Paris), Summer Institute of the NBER (Cambridge, MA), ESEM (Toulouse),
Econometrics Conference, INET Oxford.
2013: Applied Financial Time Series Workshop (HEC Montréal & CIRPEE),
Baruch College (CUNY), NYU, Oxford University, NBER/NSF Time Series
conference (Washington, DC), Methods in International Finance Network
(Namur), 7th International Conference on Computational and Financial
Econometrics (London).
2012: CREST (Paris), SNDE Symposium (Istanbul), Durham Business
School (UK). SMU-ESSEC Symposium on Financial Econometrics
(Singapore), NBER/NSF Time Series Conference (College Station, TX, US),
Federal Reserve Bank of New York, State University of New York (at
Albany)
2011: SNDE Symposium (Washington, DC), ESEM (Oslo). Nuffield College
(Oxford), IIF/Banque de France Forecasting workshop (Paris)
2010: Paris-1 University, EDF-Wipfor,(Clamart), Netherlands Econometric
Study Group (Leuven), NBER Summer Institute (Cambridge, MA), GREQAM
(Aix-Marseille), Erasmus Universiteit (Rotterdam), EC2 (Toulouse)
2009: 1st Macro Forecasting Conference (Rome), CREST-INSEE (Paris),
Far Eastern & South Asian Meetings of the ES (Tokyo). Congrès de l'AFSE
(Nanterre), 3rd Conference of the Granger Centre (Nottingham), Nordic
Econometric Meeting (Lund), Granger Centre for Time Series (Nottingham)
2008: CREST-INSEE (Paris), Netherlands Econometric Study Group
(Tilburg), International Symposium on Forecasting (Nice), ES Australasian
Meeting (Wellington), ES Far and Middle Eastern Meetings (Singapore),
Granger Centre Annual Conference (Nottingham), Learning and Macro
Policy (Cambridge), Forecasting under Model Instability workshop
(Cambridge), Maastricht Universiteit
2007: ES Far Eastern Meeting (Taipei), Conference in the Honour of David
Hendry (Oxford), EEA/ES Meeting (Budapest), T2M (Cergy-Pontoise),
Brown University (Providence)
2006: EEA/EES Meeting (Vienna), NBER/NSF Time Series Conference
(Montreal), Journée d'Econometrie at EconomiX (Nanterre), LACEA/LAMES
Meetings(Mexico City), All China Economics Conference (Hong Kong)
2005: AEA/ES North American Winter Meeting (Philadelphia), ESSEC
(Cergy-Pontoise), CREST-INSEE (Paris), NBER/NSF Time Series
Conference (Heidelberg & Kaiserslautern)
2003: Irish Economic Association
Sciences-Po/OFCE (Paris)
Annual
Conference
(Limerick),
2002: Nuffield College (Oxford)
Other Conference Invitations
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EEM/ESF Workshop (Florence 2002), EEM/ESF Workshop (Alghero, 2003),
Arne Ryde Symposium (Lund, 2007),
Conference in the Honor of Peter Phillips (Singapore, 2008), Stats in the
Château (Jouy-en-Josas, 2009), NBER Summer
Institute (Watson/West meeting, 2009/10/11; Cambridge, MA)
Affiliations and Academic Responsibilities
Membership
Member, CREST-INSEE, Macroeconomics group.
Fellow of the Euro Area Business Cycle Network
Member of the American Economic Association and the Econometric Society
Thesis Supervision
Chee Meng TAN (Masterin Economics ESSEC-University de
Cergy-Pontoise, 2010):
Assessing the New Keynesian Phillips Curve under bounded rationality and
learning in the Euro area.
Oana Peia (Master in Economics ESSEC-University de Cergy-Pontoise,
2012) and co-advisor in PhD
Other
Elected Member of Faculty Senate (ESSEC 2013-)
Elected to the Evaluation Committee of Faculty Members at ESSEC
(2010-12, Associate Professors College).
Member of various Teaching and Pedagogical Committees & Juries at
ESSEC (2006-12)
ESSEC Statistics and Econometrics seminar co-organizer (ESSEC,
2006-12)
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