Education
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 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. 2003-6 Research Fellow at OFCE, Department of Applied Economics of Sciences-Po University. personal webpage: http://guillaume-chevillon.faculty.essec.edu/
Research Areas
Areas
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
"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of the South African GDP" (G. Chevillon), International Journal of Forecasting, Jul 2009, Vol. 25, Issue 3, p. 602‑628 (unpublished appendices are available from my personal website)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
"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.
Other Publications
Press articles
"Buts et Abus d'une Constitution". Libération, 24 Sep 2004, p. 40-40
Teaching at ESSEC
PhD:
- Accounting, Decision Science, Management & Marketing concentrations: Econometrics
- Economics concentration: Time Series (macroeconometrics) Executive Education: (Master in Financial Management and Control) Introduction to Statistics and Forecasting MBA: Financial Econometrics
Undergraduate: Business Statistics
Other Teaching Activities
for past teaching and online documentation, see personal webpage.
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 Irish Economic Association Annual Conference in Limerick (2003), AEA/ES North American Winter Meeting(Philadelphia, 2005), NBER/NSF Time Series Conference (Heidelberg, 2005), EEA/EES Meeting (Vienna, 2006),NBER/NSF Time Series Conference (Montreal, 2006), Journée d’Econometrie at EconomiX (Nanterre, 2006),LACEA/LAMES Meeting (Mexico City, 2006), All China Economics Conference (Hong Kong, 2006), ES Far EasternMeeting (Taipei, 2007), Conference in the Honour of David Hendry (Oxford, 2007), EEA/ES Meeting (Budapest, 2007),T2M (Cergy-Pontoise, 2007), Netherlands Econometric Study Group (Tilburg, 2008), International Symposium onForecasting (Nice, 2008), ES Australasian Meeting (Wellington, 2008), ES Far and Middle Eastern Meetings(Singapore, 2008), Granger Centre Annual Conference (Nottingham, 2008), Learning and Macro Policy Conference(Cambridge, 2008), Forecasting under Model Instability workshop (Cambridge, 2008), 1st Macro ForecastingConference (Rome, 2009). FESAMES (Tokyo, 2009). Congrès de l’Association Française des Sciences Economiques(Nanterre, 2009), 3rd Conference of the Granger Centre (Nottingham, 2009). Nordic Econometric Meeting (Lund,2009). Seminars Nuffield College PhD Presentations, Oxford (2002), Sciences-Po/OFCE, Paris (2003), CREST, Paris (2005, 2008,2009), Brown University(2007), Parisian working group in Macroeconometrics (2007), ESSEC (2005, 2007, 2008), Maastricht Universiteit(2008), Granger Centre for Time Series, Nottingham (2009), Netherlands Econometric Study Group (Leuven, 2010), NBER Summer Institute (Cambridge, MA, 2010) Seminars Nuffield College, Oxford (2002), Sciences-Po/OFCE, Paris (2003), CREST, Paris (2005, 2008,2009), Brown University (2007), Parisian working group in Macroeconometrics (2007), ESSEC (2005, 2007, 2008), Maastricht Universiteit (2008), Granger Centre for Time Series, Nottingham (2009), Paris-1 University (2010), Erasmus Universiteit Rotterdam (2010), GREQAM Aix-Marseille (2010). Affiliations and Academic Responsibilities
Membership Member, CREST-INSEE, Macroeconomics group. Affiliate Member, Economics Department (OFCE), Institute of Political Studies (Sciences-Po) Fellow of the Euro Area Business Cycle Network Member of the American Economic Association and the Econometric Society Refereeing Oxford Bulletin of Economics and Statistics; Journal of the Royal Statistical Society, series B; Revue Economique; Journal of Business and Economic Statistics; Journal of Economic Surveys; Festschrift in the Honour of David Hendry; Energy Economics; Actualité Economique; International Journal of Forecasting; International Review of Economics and Finance. Professional Experience
2006-9: Assistant Professor, ESSEC Business School. 2003-6: Economist at OFCE, the center for Economic Analysis & Forecasting of Sciences-Po University (National Political Science Foundation)
2000-2: Research assistant for Prof. D. F. Hendry, as part of ESRC-funded project 'Modelling, Forecasting and Policy in the Evolving Macro-economy'
Jan-June 1998: Intern, SNCF (French Railways)
1997: Summer intern, International Finance Corporation (World bank group)
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