Formation
D.Phil. in Economics, University of Oxford, UK
M.Phil. in Economics, University of Oxford/Brasenose College, UK
Ingénieur des Mines de Paris
Biographie
since 2007- Membre, Laboratoire de Macroéconomie, CREST-INSEE 2006-9 Professeur Assistant, ESSEC 2003-6 Economiste à l'Institut d'Etudes Politiques de Paris (OFCE) 1999-2006 Chargé de cours et maître de conférences à l'IEP, HEC, ENA, Université Paris-Dauphine, University of Oxford (Econometrics, Time Series, Forecasting, Statistics, Macroeconomics)
personal webpage: http://guillaume-chevillon.faculty.essec.edu/
Thèmes de Recherche
Thèmes
Current Research Projects
Time Series Econometrics : finite sample analysis, trending behavior, breaks, long memory, cointegration, bubble detection.
Economic Forecasting: Multi-step forecasting, Model choice, robustness, forecast evaluation. Applications include oil prices, exchange rates, Emerging economies output, French external trade; asset prices Macroeconomics: Models with learning, adaptive expectations, monetary policy, New Keynesian Phillips Curve, Business cycles.
Corporate Finance: Power delegation in shareholder meetings.
Projets en Cours
Inference in models with adaptive learning, with an application to the New Keynesian Phillips Curve ( pdf, with Sophocles Mavroeidis, Brown University, and Michael Massmann, Vrije Universiteit Amsterdam)
Publications académiques
Articles
"Inference in Models with Adaptive Learning" (G. Chevillon, M. Massmann, S. Mavroeidis), Journal of Monetary Economics, avr. 2010, Vol. 57, Numéro 3, p. 341‑351
"Stratégies de Vote en AG Face aux Résolutions Externes" (P. Charléty, G. Chevillon, M. Messaoudi), Revue Française de Gestion, déc. 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the South African GDP" (G. Chevillon), International Journal of Forecasting, juil. 2009, Vol. 25, Numéro 3, p. 602‑628 (unpublished appendices are available from my personal website)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, juil. 2009, Vol. 31, Numéro 4, p. 537‑549
"Direct Multi-Step Estimation and Forecasting" (G. Chevillon), Journal of Economic Surveys, sept. 2007, Vol. 21, Numéro 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, avr. 2005, Vol. 21, p. 201‑218
Chapitres
Impact du taux de change sur le tourisme en France. In: Evolution Recente du commerce extérieur Français (avec X. Timbeau). Paris (France) : La Documentation Française, Artus, P & L. Fontagné, Conseil d'Analyse Economique. 2006, p. 99-108
Publications professionnelles
Articles
"Brouillard autour des puits de pétrole" (G. Chevillon, C. Rifflart), Lettre de l'OFCE, oct. 2004, Numéro 253, p. 1‑4
"Les tribulations de la parité euro/dollar," (G. Chevillon, Dap), Lettre de l'OFCE, juin 2004, Numéro 252, p. 1‑4
Chapitres
Perspectives de l'économie Française à l'horizon 2009. In: Rapport d'information du Sénat n° 70 (avec 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 (avec 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" (avec S. Mavroeidis, M. Massmann). Brown University, 2009 janv. 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 févr. 06.
"Weak trends for estimation and forecasting in finite samples" Oxford Economic Working Paper, 210 sept. 04.
Autres publications
Articles de presse
"Buts et Abus d'une Constitution". Libération, 24 sept. 2004, p. 40-40
Enseignement à l'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 MSc in Management (Grande Ecole Program): Financial Econometrics
Undergraduate: Business Statistics
Autres activités pédagogiques
for past teaching and online documentation, see personal webpage. subjects were econometrics, time series, statistics, forecasting, macroeconomics.
Prix et distinctions
Research grant, Europlace Institute of Finance (in collaboration), 2007, Paris.
Best core papers performance in the MPhil in Economics, 1999, Oxford.
Activités scientifiques
Communications présentées à des conférences
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 et activités académiques
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. Expérience professionnelle
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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