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Guillaume Chevillon
Professor, Information Systems, Decision Sciences and Statistics (IDS) Department

Photo de Guillaume Chevillon
General Information Research Areas Publications Teaching Other Activities
Education

I am an Economist who works on Econometrics, Macroeconomics and Forecasting.

currently Academic Director (for ESSEC) of the ESSEC/CentraleSupélec MSc in Data Sciences & Business Analytics  

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 2015 Professor (Full), ESSEC Business School

 Academic Director (for ESSEC) of the ESSEC/CentraleSupélec MSc in Data Sciences & Business Analytics  

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  

2009-15 Associate Professor, ESSEC Business School 

2006-9 Assistant Professor, ESSEC Business School

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.

2003-6 Research Fellow at OFCE, Department of Applied Economics of Sciences-Po University.
Research Areas
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

Current Research Projects

Economic Forecasting: Multi-step forecasting, Model choice, robustness, forecast evaluation. Applications include oil prices, exchange rates, Emerging economies output, French external trade.

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

Academic Publications
Articles
  "Learning Can Generate Long Memory" (G. Chevillon, S. Mavroeidis), Journal of Econometrics, May 2017, Vol. 198, Issue 1, p. 1‑9
  "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


Chapters
  Impact du taux de change sur le tourisme en France. In: Evolution Recente du commerce extérieur Français (with X. Timbeau). Paris (France) : La 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


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
  "ROBUST INFERENCE IN STRUCTURAL VARS WITH LONG-RUN RESTRICTIONS" (G. Chevillon, S. Mavroeidis, Z. Zhan). Essec Research Center, DR‑1702 Nov 16.
  "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.
  "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.


Other Publications
Press articles
  "Stop à l'anarchie sur les médias sociaux ? Interview par Thierry Boutte ". La Libre Belgique, 29 Nov 2016
  "Des algorithmes dangereux pour le débat démocratique". Libération, 17 Nov 2016
  "L'étudiant co-créateur de sa formation". Le Monde des Grandes Ecoles, 06 Jun 2016
  "La nécessité de l?alliance data sciences et business analytics dans la création de valeur". Le Journal des Grandes Ecoles, 01 Jan 2016
  "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 at ESSEC

 

 Academic Director (for ESSEC) of the ESSEC/CentraleSupélec MSc in Data Sciences & Business Analytics 


 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)

 MS Strategic Management of International Business (2016): Predictive Models

 ESSEC/CentraleSupélec MSc in Data Sciences & Business Analytics: Forecasting & Predictive Analytics 

 MSc in Management (Grande Ecole Program):

- Forecasting & Predictive Analytics 

- Financial Econometrics (until 2016)

- PreMSc in Statistics (until 2015, convenor)

 BA in Economics & Management (Grande Ecole Program): Business Statistics & Analytics (convenor)

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. 

Awards and Distinctions

Scholarship, Fondatioon ESSEC, 2016, Paris

Various Grants, LABEX MME-DII 

Research grant, Europlace Institute of Finance (in collaboration), 2007, Paris.

Best core papers performance in the MPhil in Economics, 1999, Oxford.


Scientific Activities
Editorial Board Membership
  Revue Economique, Presses de Sciences Po


Conference Presentations

Conference Presentations & Invited Seminars

2015: CREST (Paris), Maastricht University, SNDE symposium (Oslo), IAAE Conference (Thessaloniki), Summer Institute of the NBER (Boston), Oxmetrics Users Conference (Aix-Marseille), 4th Symposium on Long Memory (CREATES, Aarhus) 

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 Annual Conference (Limerick), Sciences-Po/OFCE (Paris)

2002: Nuffield College (Oxford)

Other Conference Invitations

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 to the Supervisory Board of ESSEC (2016 - )

Member of the Scientific Committee of ESSEC (2014-16) 

Elected Member of Faculty Senate of ESSEC (2013-16)

Elected to the Evaluation Committee of Faculty Members at ESSEC (2010-12, Associate Professors College), Member of the Appeals Committee (2016)

Member of various Teaching and Pedagogical Committees & Juries at ESSEC (2006-12)

ESSEC Statistics and Econometrics seminar co-organizer (ESSEC, 2006-12) 

 

Useful Links
Information Systems, Decision Sciences and Statistics (IDS)
Personal Links
Personal webpage
MacroAnalytics blog
Contact
E-mail
Tel: 33 (0) 1 34 43 36 44

ESSEC Business School
Av. Bernard Hirsch
B.P. 50105
95021 Cergy Pontoise Cedex
France

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