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Appréhender la conjoncture à l'aide de la méthode de Stock-Watson : une application à l'économie belge

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  • Vincent Bodart
  • Bertrand Candelon

Abstract

[eng] Understanding the Economy Using the Stock- Watson Method: an Application to the Belgian . Economy by Vincent Bodart and Bertrand Candelon . In recent studies, Stock and Watson (1989, 1991 and 1993) developed a new methodology for constructing economic indicators. Although this work has made a considerable contribution to business cycle analysis, it has strangely enough rarely been used for empirical applications. In this paper, we apply Stock- Watson' s methodology to Belgium. We show that the synthetic economic indicator obtained has remarkable properties and provides an unmistakably different view of the Belgian business cycle to that found by the more classic economic indicators. [fre] Appréhender la conjoncture à l'aide de la méthode de Stock- Watson : une application à l'économie belge par Vincent Bodart et Bertrand Candelon . Au cours de différents travaux récents, Stock et Watson (1989, 1991, 1993) ont développé une méthodologie nouvelle de construction d'indicateurs de conjoncture. Bien que ces travaux constituent un apport considérable pour l'analyse des cycles économiques, ceux-ci ont curieusement fait l'objet de peu d'applications empiriques. Dans cet article, nous présentons une application de la méthodologie de Stock- Watson au cas belge. Nous montrons que l'indicateur synthétique de conjoncture que nous obtenons dispose de propriétés remarquables et offre une vision du cycle économique belge nettement différente de celle mise en évidence par des indicateurs de conjoncture plus traditionnels.

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  • Vincent Bodart & Bertrand Candelon, 2000. "Appréhender la conjoncture à l'aide de la méthode de Stock-Watson : une application à l'économie belge," Économie et Prévision, Programme National Persée, vol. 146(5), pages 141-153.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_2000_num_146_5_6134
    DOI: 10.3406/ecop.2000.6134
    Note: DOI:10.3406/ecop.2000.6134
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    1. Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
    2. James H. Stock & Mark W. Watson, 1989. "New Indexes of Coincident and Leading Economic Indicators," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409, National Bureau of Economic Research, Inc.
    3. James H. Stock & Mark W. Watson, 1993. "Business Cycles, Indicators, and Forecasting," NBER Books, National Bureau of Economic Research, Inc, number stoc93-1, March.
    4. James H. Stock & Mark W. Watson, 1993. "A Procedure for Predicting Recessions with Leading Indicators: Econometric Issues and Recent Experience," NBER Chapters, in: Business Cycles, Indicators, and Forecasting, pages 95-156, National Bureau of Economic Research, Inc.
    5. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
    6. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-472, August.
    7. Stock, James H. & Watson, Mark W. (ed.), 1993. "Business Cycles, Indicators, and Forecasting," National Bureau of Economic Research Books, University of Chicago Press, edition 1, number 9780226774886, December.
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    Cited by:

    1. Vincent, BODART & Konstantin, KHOLODILIN & Fati, SHADMAN-MEHTA, 2005. "Identifying and Forecasting the Turning Points of the Belgian Business Cycle with Regime-Switching and Logit Models," Discussion Papers (ECON - Département des Sciences Economiques) 2005006, Université catholique de Louvain, Département des Sciences Economiques.
    2. Vincent, BODART & Konstantin A., KHOLODILIN & Fati, SHADMAN-MEHTA, 2003. "Dating and Forecasting the Belgian Business Cycle," LIDAM Discussion Papers IRES 2003018, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).

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