Saïd Souam

Mixture periodic GARCH models: Applications to exchange rate modeling

In this paper, we propose an extension of a mixture periodic ARCH model (MPARCH) to a mixture periodic GARCH model (MPGARCH), and provide some probabilistic properties of this class of models. An estimation method based on the Expectation-Maximization (EM) algorithm is proposed. Finally, it is applied to model the spot rates of the Algerian Dinar against the U.S.-Dollar and Euro. The empirical analysis demonstrates that the proposed mixture model yields the best performance among the competing models.

The effects of institutions and natural resources in heterogeneous growth regimes

The dependence on natural resources is the subject of a wide debate in the analysis of economic growth in rentier States. Up to now, there is no consensus about the way natural resources could impede or boost the economic development of such endowed countries. The same mitigated results are found concerning the interaction between institutions and growth. In this paper, we examine the combined interaction effects of natural resource dependence and the quality of institutions on economic growth by using a panel threshold regression methodology. We show that the effect of natural resource dependence on economic growth becomes positive when the quality of institutions improves. Moreover and contrary to many precedent results in the literature, it appears that an increase in natural resource dependence wipes out the positive effect of institutional quality on growth. Indeed, a positive variation of the quality of institutions does not necessarily lead to a positive variation in economic growth.