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 1. 
 2. People
 3. Girardin


GIRARDIN


ERIC GIRARDIN


Faculty
, 
Aix-Marseille Université
, 
Faculté d'économie et de gestion (FEG)
Econometrics and statistics

Status
Professor
Research fields
Econometrics
Finance
Macroeconomics
Thesis
1988
, 
University of Rennes 1
Contact
eric.girardin[at]univ-amu.fr
+33(0)4 13 55 25 52
Address


ÎLOT BERNARD DU BOIS

AMU - AMSE
5-9 Boulevard Maurice Bourdet, CS 50498
13205 Marseille Cedex 1


PUBLICATIONS

 * Publications(active tab)

Testing for real estate bubblesBook chapterEric Girardin, Roselyne Joyeux and C.
Leung, In: Handbook of Real Estate and Macroeconomics, 2022-02, pp.
137-164,Chap6, Edward Elgar Publishing, 2022

This chapter provides a review of the recent literature on bubble testing in
real estate markets. Starting from a theoretical overview of the specificities
of real estate assets we assess the latest econometric methodology to detect the
periods when a real estate bubble is present. In an illustration for the case of
Japan's house prices over four decades, we focus on a two-step econometric
strategy to first filter out the fundamental component in the price-to-rent
ratio and then test for the possible explosive character of the,
non-fundamental, residual. Such a strategy enables researchers both to avoid
misleading signals about spurious bubbles, and to detect bubbles which may be
hidden when focusing only on the price-to-rent ratio.

Bank liquidity creation: A new global dataset for developing and emerging
countriesJournal articleCarmela D’Avino, Eric Girardin and Mimoza Shabani,
Review of World Economics, Volume 158, pp. 529-570, 2022

The pre-Global Financial Crisis build-up, followed by the post-crisis collapse,
in bank liquidity creation in developed countries is well-documented (Berger and
Bowman, Berger and Bouwman, Review of Financial Studies 22:3779–3837, 2009).
Comparable analyses on developing and emerging countries (DECs) have been
severely hindered by the lack of detailed bank-by-bank balance sheet data. This
paper proposes a new, high-frequency, Aggregate Bank Liquidity Creation (A-BLC)
measure for 114 DECs on a comparable cross-country basis, which relies on
macroeconomic, country-wide, banking systems’ balance sheet data. The A-BLC
database allows us to assess the extent of bank fragility arising from
illiquidity associated with intermediation at the banking system level for every
DEC, at a monthly frequency over the period 2001–2016. Our measure captures more
accurately than other measures proposed in the literature the evolution of bank
liquidity creation in the DECs. Stylised facts and panel-regression analysis
suggest a sharp pre-crisis build-up and post-crisis fall in liquidity creation
in DECs, larger then that observed for developed countries. In addition,
financial depth and stability appear as particularly important drivers of A-BLC
in DECs.

How does the exchange-rate regime affect dual-listed share price parity?
Evidence from China’s A- and H-share marketsJournal articleJoseph K. W. Fung,
Eric Girardin and Jian Hua, Journal of International Money and Finance, Volume
129, pp. 102738, 2022

This paper examines the impact of exchange-rate regime change on the price
disparity of China’s dual-listed stocks. We use four years of synchronous
intraday data of 26 pairs of dual-listed RMB-denominated A-shares and their
corresponding HKD-denominated H-shares. The sample period covers the 2005 and
2008 changes in the exchange rate regime. During that time, the Chinese
authorities strictly prohibited short selling of stocks and tightly regulated
capital flows. In contrast to the existing general findings, we find that the
law of one price can be strengthened for dual-listed stocks (DLSs) in segmented
capital markets under a flexible exchange rate regime; the disparity between the
DLSs is reduced under the managed float compared to the pegged regime. Moreover,
we find that the magnitude of the H-share discount is positively related to the
expected RMB appreciation under managed float; however, under the pegged regime
the relationship is negative.

Is a clash coming when trade and climate meet at the border? The impact of the
EU's carbon border adjustment on China's belt and road initiativeJournal
articleJamal Khan, Yuan Li and Eric Girardin, Structural Change and Economic
Dynamics, Volume 63, pp. 112-124, 2022

We empirically examine the effectiveness of EU Border carbon adjustment (BCA) in
the context of BRI, by developing a hypothetical BCA scheme based on a
multi-regional Input-Output model. We use various evaluation criteria such as
sectoral coverage, economic condition of trade partners, compliance with trade
regulations, and selection of Best Available Technology (BAT). Our analysis
shows that the EU-BCA scheme covers 44% of the global traded emissions, of which
84% are generated in the BRI regions. However, the BAT principle and trade
provisions reduce the coverage of BCA emissions for BRI regions, while
assumptions about the carbon intensity of imports result in a further reduction.
Our findings both cast serious doubt on BCA's ability to drive industrial
decarbonisation and alleviate domestic producers' competitiveness concerns, and
support the argument that EU-BCA may level the playing field for the EU's
domestic market but may not address competitiveness concerns in other (non-EU)
markets.

The Role of the Real Estate Sector in the Structural Dynamics of the Chinese
Economy: An Input–Output AnalysisJournal articleYongming Huang, Jamal Khan, Eric
Girardin and Umair Shad, China & World Economy, Volume 29, Issue 1, pp. 61-86,
2021

Market-oriented housing reforms and the rapid urbanization process have led to
spectacular growth in the Chinese real estate sector (RES). However, the changes
in the role played by this sector in the structural dynamics of the Chinese
economy have not been examined sufficiently. Accordingly, we analyze the
intersectoral structural changes to the Chinese RES, its linkages with the rest
of the economy, and its growth sources, using four Chinese input–output tables
from 2002 to 2017. We depart from existing work on the RES by using the
causative matrix approach and structural decomposition analysis, and obtain
three main results. First, the RES, which received little non-RES feedback
during the 2002–2007 period, has subsequently received much more substantial
feedback. Second, the impact of the RES on China's economic growth stems mainly
from its forward linkages. Third, the growth in the RES has been driven mainly
by domestic demand expansion. Our results highlight that the Chinese RES, which
plays a key role in value chains, is highly dependent on its own final demand
and a fall in its demand would impede economic development. An important
implication of these results is that developing the national economy by
stimulating the RES would not be as effective as developing the RES through
stimulating the national economy.

Mexico's Monetary Policy Communication and Money MarketsJournal articleAlicia
García-Herrero, Eric Girardin and Arnoldo Lopez-Marmolejo, International Journal
of Economics and Finance, Volume 11, Issue 2, pp. 81-97, 2019

Central bank communication is becoming a key aspect of monetary policy. How much
financial markets listen and, possibly, understand Banco de Mexico’s
communication on its monetary policy stance should be a key consideration for
the central bank to further modernize its monetary policy toolkit. In this
paper, we tackle this issue empirically by using our own index of the tone of
communication based on Banco de Mexico’s speeches and statements and find that
Mexican money markets do not only listen but they also understand the stance of
monetary policy conveyed in the central bank’s words. Regarding the ability to
listen we find that both the volatility and volume in the money market rates
change right after communication from Banco de Mexico’s governing body. As for
the markets’ understanding, we document a statistically significant rise in
money market rates the more hawkish communication is. All in all, our results
show strong evidence of effective oral and written communication from the
Central Bank towards Mexico’s money markets.

The January effect in the foreign exchange market: Evidence for seasonal equity
carry tradesJournal articleEric Girardin and Fatemeh Salimi Namin, Economic
Modelling, Volume 81, Issue C, pp. 422-439, 2019

In this study, we investigate monthly seasonality in the foreign exchange
market. Given the well-known recurrent higher returns in some month than in
others in stock markets around the world, we consider it likely that a seasonal
outperformance of a country’s stock market over another is associated with
similar seasonal patterns in capital flows and exchange rates. A seasonal profit
(carry trade) opportunity can be created by the simultaneous appreciation of a
country’s currency and the outperformance of its stock market. By focusing on
the world’s key currency pairs, the US dollar-Deutsche mark and the US
dollar-euro, and by using a Markov-switching framework, we document persistent
January and December effects in the foreign exchange market from 1971 to 2017.
Analysis of the German-US stock returns differential and their bilateral capital
flows reveal similar month effects in 65% of the whole sample.

Demystifying China’s Stock Market: The Hidden Logic behind the PuzzlesBookEric
Girardin and Zhenya Liu, Springer Books, 2019-12, Number 978-3-030-17123-0,
XXI,125 pages, Springer International Publishing, 2019

Mainstream research has rationalized China’s stock market on the basis of
paradigms such as the institutional approach, the efficient market hypothesis,
and corporate valuation principles. The deviations from such paradigms have been
analyzed as puzzles of China’s stock market. Girardin and Liu explore to what
extent, in the perspective of Chinese cultural and historical characteristics,
far from being puzzles, these 'deviations’ are rather the symptoms of a
consistent strategy for the design, development and regulation of a
government-dominated financial system. This book will help investors, observers
and researchers understand the hidden logic of the design and functioning of
China’s modern stock market, taking a political economy view.

Fundamentals and the volatility of real estate prices in China: A sequential
modelling strategyJournal articleYongheng Deng, Eric Girardin and Roselyne
Joyeux, China Economic Review, Volume 48, Issue C, pp. 205-222, 2018

In a similar way to the stock market, the housing market in China has often been
portrayed as highly speculative, giving rise to “bubble” concerns. Over the last
decade, residential prices increased every year on average by double digits in
Beijing or Shanghai. However many observers and researchers argue that
fundamentals of the housing sector, both sector-specific and macroeconomic, may
have been the driving force behind housing price volatility. While existing
empirical work exclusively relies on the government housing prices which may
suffer from the well-documented downward bias, this paper uses original high
frequency unit price as well as transaction series for the residential resale
housing markets of Beijing and Shanghai between January 2005 and December 2010
to test alternative hypotheses about housing prices volatility.

Inflation Dynamics of Franc-Zone Countries Determinants, Co-movements and
Spatial InteractionsJournal articleEric Girardin and Cheikh A. T. Sall, Open
Economies Review, Volume 29, Issue 2, pp. 295-320, 2018

This paper shows the uneven role played in the inflation dynamics of African
franc zone countries by their integration in a regional monetary union. We
obtain three main results sharply contrasting the central- (CEMAC) and
west-African (WAEMU) regions. First, differences in the structure of economies
and national fiscal stances play a similar role in both unions and appear as
potential sources of inflation differentials. Second, even though co-movements
are the principal drivers of inflation dynamics in both subregions, global
factors dominate regional ones in WAEMU while both play an equal role in CEMAC.
Thirdly, spatial interactions are unimportant in CEMAC due to little intra-zone
trade, but take an asymmetric form in WAEMU due to the large size of Ivory Coast
and Senegal.

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