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Tendances et cycles stylisés dans les pays du G7 - Une approche stochastique

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  • Alexandre Mathis
  • Jacky Fayolle

Abstract

[eng] Stylized trends and cycles in the G7 countries : a stochastic approach Jacky Fayolle, Alexandre Mathis To present stylized cyclical movements of the G7 countries, this paper uses the unobservable components models proposed by Harvey (1985, 1989). To fit the dynamics, the set of specification covers various combination between trend, cycle and irregular. This approach is not a descriptive tool. Specifically, the specification dees not assume any value of the basic characteristics of the cycle such as the period but these characteristics are subject to estimation. We can show the statistical properties of each component extracted by the Kalman filter applied to the model written in state-space form. The characteristics of the cycle underlying these models are in accordance with intentions and results obtained by conjoncturists using statistical descriptive tools. The trend plus cycle model propose a representation of the cycle which respect the statistical property of stationarity. It is able to fit the complexity of the apparent cyclical movements, which usually present assymetry and angularity. The innovations of the cyclical component give the cyclical conjonctural impulses and this time series is interprétable in terms of the economic history. The stochastic trend formulation gives a trend component which is both smooth and able to integrate the curvature of the growth path. [fre] Pour styliser les mouvements cycliques des économies du G7, on recourt aux modèles à composantes inobservables proposés par Harvey (1985, 1989). La gamme des spécifications de ces modèles recouvre diverses représentations possibles de la combinaison entre tendance, cycle et irrégularité. Il ne s'agit pas de simples outils descriptifs. En particulier, leur écriture ne préjuge pas de la valeur des caractéristiques de base du cycle, comme sa période, qui sont l'objet de l'estimation. On met ainsi en évidence les propriétés statistiques de chacune des composantes, dont l'extraction recourt à la technique du filtre de Kalman, une fois le modèle écrit sous forme espace-état. La caractérisation du cycle qui découle de certains des modèles examinés s'accorde bien avec les intentions et les résultats des conjoncturistes recourant aux outils de statistique descriptive. Le modèle dit tendance plus cycle propose une représentation du cycle qui respecte la propriété statistique de stationnante et s'avère capable de reproduire la complexité des mouvements cycliques apparents, dont on sait qu'ils manifestent fréquemment dissymétries et angulosités. Les innovations de cette composante cyclique donnent les impulsions conjoncturelles du cycle, et leur chronique est interprétable au regard de l'histoire économique. La formulation de la tendance stochastique, quant à elle, permet d'obtenir une composante tendancielle qui soit à la fois lisse et apte à intégrer les courbures du sentier de croissance.

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File URL: http://dx.doi.org/10.3406/ofce.1993.1350
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File URL: http://www.persee.fr/articleAsPDF/ofce_0751-6614_1993_num_47_1_1350/ofce_0751-6614_1993_num_47_1_1350.pdf?mode=light
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Bibliographic Info

Article provided by Programme National Persée in its journal Revue de l'OFCE.

Volume (Year): 47 (1993)
Issue (Month): 1 ()
Pages: 201-233

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Handle: RePEc:prs:rvofce:ofce_0751-6614_1993_num_47_1_1350

Note: DOI:10.3406/ofce.1993.1350
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Web page: http://www.persee.fr/web/revues/home/prescript/revue/ofce

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Cited by:
  1. Guilhem Bentoglio & Jacky Fayolle & Matthieu Lemoine, 2002. "Unity and Plurality of the European Cycle," Documents de Travail de l'OFCE 2002-03, Observatoire Francais des Conjonctures Economiques (OFCE).
  2. Jacky Fayolle & Guilhem Bentoglio & Matthieu Lemoine, 2002. "Unity and Plurality of the European Cycle," Sciences Po publications N°2002-3, Sciences Po.
  3. Jacky Fayolle & Guilhem Bentoglio & Matthieu Lemoine, 2001. "Unité et pluralité du cycle européen," Sciences Po publications info:hdl:2441/2130, Sciences Po.
  4. Nicolas Sobczak & Guillaume Rabault & Catherine Doz, 1995. "Décomposition tendance-cycle : estimations par des méthodes statistiques univariées," Économie et Prévision, Programme National Persée, vol. 120(4), pages 73-93.
  5. Olivier Passet & Christine Rifflart & Henri Sterdyniak, 1997. "Ralentissement de la croissance potentielle et hausse du chômage," Sciences Po publications info:hdl:2441/2476, Sciences Po.
  6. Pierre Villa, 1999. "Cycles de la production industrielle : une analyse historique dans le domaine des fréquences," Économie et Prévision, Programme National Persée, vol. 137(1), pages 95-108.

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