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Deux indicateurs probabilistes de retournement cyclique pour l’économie française

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Author Info
Adanero-Donderis , M.
Darné, O.
Ferrara, L.

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Abstract

This paper proposes two new coincident probabilistic cyclical indicators developed by the Bank of France in order to follow, on a monthly basis, the French economic activity. The first one is an indicator which aims at detecting the turning points of the acceleration cycle while the second one is dedicated to the follow-up of recession phases in the industrial sector. Both indicators are based on the methodology of Markov-Switching models and use only for input the Bank of France monthly business survey. An historical validation since 1998 points out to the interest and the complementarity of both indicators for the short-term economic diagnosis. This kind of indicators provides with an original and additional conjonctural qualitative information by comparison with more classical quantitative tools aiming at estimating the GDP growth rate.

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File URL: http://www.banque-france.fr/fr/publications/telechar/ner/ner187.pdf
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Publisher Info
Paper provided by Banque de France in its series Documents de Travail with number 187.

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Length: 32 pages
Date of creation: 2007
Date of revision:
Handle: RePEc:bfr:banfra:187

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Postal: Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS
Web page: http://www.banque-france.fr/
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Related research
Keywords: Business cycle ; Acceleration cycle ; Probabilistic indicator ; Markov-Switching models ; Surveys.;

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

References listed on IDEAS
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  1. Krolzig, H.-M. & Toro, J., 2001. "Classical And Modern Business Cycle Measurement: The European Case," Economics Series Working Papers 9960, University of Oxford, Department of Economics.
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  2. Layton, Allan P. & Smith, Daniel R., 2007. "Business cycle dynamics with duration dependence and leading indicators," Journal of Macroeconomics, Elsevier, vol. 29(4), pages 855-875, December. [Downloadable!] (restricted)
  3. Harding, Don & Pagan, Adrian, 2006. "Synchronization of cycles," Journal of Econometrics, Elsevier, vol. 132(1), pages 59-79, May. [Downloadable!] (restricted)
  4. Benoit Bellone, 2005. "Classical Estimation of Multivariate Markov-Switching Models using MSVARlib," Econometrics 0508017, EconWPA. [Downloadable!]
  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 357-84, March. [Downloadable!] (restricted)
  6. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "A turning point chronology for the Euro-zone," Working Papers 2007_33, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
  7. Ferrara, Laurent, 2003. "A three-regime real-time indicator for the US economy," Economics Letters, Elsevier, vol. 81(3), pages 373-378, December. [Downloadable!] (restricted)
  8. Zarnowitz, Victor & Ozyildirim, Ataman, 2006. "Time series decomposition and measurement of business cycles, trends and growth cycles," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1717-1739, October. [Downloadable!] (restricted)
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  9. Marcelle Chauvet & Jeremy M. Piger, 2003. "Identifying business cycle turning points in real time," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 47-61. [Downloadable!]
    Other versions:
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