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Unité et pluralité du cycle européen

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Author Info

  • Guilhem Bentoglio
  • Jacky Fayolle

    (Centre Etudes & Prospective)

  • Matthieu Lemoine

    (Département analyse et prévision (OFCE))

Abstract

Cet article mobilise une classe particulière de modèles à composantes inobservables pour s’intéresser au partage de la trajectoire des PIB des pays de la zone euro et de cette zone elle-même entre tendances de long terme et cycles conjoncturels, à partir de données trimestrielles couvrant l’ensemble des quatre décennies 1960 à 1990. L’attention est portée prioritairement sur la caractérisation des mouvements cycliques.Trois approches sont confrontées. Elles identifient respectivement les cycles européens à partir du PIB agrégé de la zone euro (comparativement aux cycles américains dans le cadre d’un modèle bivarié avec les États-Unis) ; à partir de l’agrégation des cycles nationaux extraits des modèles univariés propres à chaque pays de la zone ; enfin, à partir d’un modèle multivarié, qui regroupe l’ensemble des pays de la zone euro (moins le Luxembourg et l’Irlande) et qui permet d’assimiler le cycle agrégé de celle-ci à un cycle commun aux différents pays membres, engendré par des chocs de nature symétrique. La convergence entre les résultats de ces trois approches est satisfaisante et débouche ainsi sur une vision assez robuste du mouvement cyclique global de la zone euro (...).

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File URL: http://spire.sciencespo.fr/hdl:/2441/2130/resources/1-78.pdf
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Bibliographic Info

Paper provided by Sciences Po in its series Sciences Po publications with number info:hdl:2441/2130.

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Date of creation: Jul 2001
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Publication status: Published in Revue de l'OFCE, 2001, pp.9-73
Handle: RePEc:spo:wpmain:info:hdl:2441/2130

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  1. Jacky Fayolle & Alexandre Mathis, 1993. "Tendances et cycles stylisés dans les pays du G7 - Une approche stochastique," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(5), pages 201-233.
  2. Nyblom, Jukka & Harvey, Andrew, 1999. "Tests of Common Stochastic Trends," Cambridge Working Papers in Economics 9902, Faculty of Economics, University of Cambridge.
  3. Forni, Mario & Reichlin, Lucrezia, 2001. "Federal policies and local economies: Europe and the US," European Economic Review, Elsevier, vol. 45(1), pages 109-134, January.
  4. Blackburn, Keith & Ravn, Morten O, 1992. "Business Cycles in the United Kingdom: Facts and Fictions," Economica, London School of Economics and Political Science, vol. 59(236), pages 383-401, November.
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Cited by:
  1. Agresti, Anna Maria & Mojon, Benoît, 2001. "Some stylised facts on the euro area business cycle," Working Paper Series 0095, European Central Bank.
  2. Bouoiyour, Jamal & Ibourk, Aomar, 2005. "Le Cycle des affaires dans les pays MENA Une Application du Filtre Hodrick-Prescott
    [The Business Cycle in MENA Application of a Hodrick-Prescott Filter]
    ," MPRA Paper 46115, University Library of Munich, Germany.
  3. repec:spo:wpecon:info:hdl:2441/2942 is not listed on IDEAS
  4. Matthieu Lemoine & Florian Pelgrin, 2003. "Introduction aux modèles espace-état et au filtre de Kalman," Revue de l'OFCE, Presses de Sciences-Po, vol. 86(3), pages 203-229.
  5. Jérôme Creel & Jacky Fayolle, 2002. "La Banque centrale et l'Union monétaire européennes : les tribulations de la crédibilité," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(5), pages 211-244.
  6. repec:spo:wpecon:info:hdl:2441/2129 is not listed on IDEAS

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