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French economic cycles: a wavelet analysis of French retrospective GNP series

Author

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  • Patrice Baubeau

    () (Agence Nationale de la Recherche—CoDiSyNa, Université Paris Ouest Nanterre La Défense—IDHE, CNRS UMR 8533, 200, Avenue de la République, 92001 Nanterre Cedex, France)

  • Bernard Cazelles

    (CNRS UMR 7625, Ecole Normale Supérieure, 46 rue d’Ulm, 75230 Paris, France and IRD UR GEODES, 93143 Bondy, France)

Abstract

Although 50 years of scientific work has been invested in building retrospective economic time series, their reliability is still debated, a good example being the two competing nineteenth century French GNP series. Instead of trying to bring up some new details to gauge their respective accuracy, we propose a different route, i.e. testing the intrinsic features of these two series, in absolute terms first, then by benchmarking them to a non-retrospective time series. In order to do that, we rely on new mathematical tools—wavelet spectrum analysis—developed in signal processing. This leads to a new approach, which separates the accuracy of a series between amplitude and time variations, and brings nuanced conclusions as to which of the two series tested is the best: indeed, since a trade-off is almost inescapable between the two criterions of accuracy, the statistical quality of one retrospective time series tends to linger either on one side (amplitude level) or the other (time variations). Our study also shows that variance distribution along the time axis is a good proxy for complex retrospective series accuracy.

Suggested Citation

  • Patrice Baubeau & Bernard Cazelles, 2009. "French economic cycles: a wavelet analysis of French retrospective GNP series," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 3(3), pages 275-300, October.
  • Handle: RePEc:afc:cliome:v:3:y:2009:i:3:p:275-300
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    File URL: http://dx.doi.org/10.1007/s11698-008-0033-9
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    Citations

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    Cited by:

    1. Aviral Tiwari & Niyati Bhanja & Arif Dar & Faridul Islam, 2015. "Time–frequency relationship between share prices and exchange rates in India: Evidence from continuous wavelets," Empirical Economics, Springer, vol. 48(2), pages 699-714, March.
    2. Luís Aguiar-Conraria & Maria Joana Soares, 2014. "The Continuous Wavelet Transform: Moving Beyond Uni- And Bivariate Analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 28(2), pages 344-375, April.
    3. Sousa, Rita & Aguiar-Conraria, Luís & Soares, Maria Joana, 2014. "Carbon financial markets: A time–frequency analysis of CO2 prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 118-127.
    4. repec:eee:phsmap:v:490:y:2018:i:c:p:1028-1045 is not listed on IDEAS
    5. Rita Sousa & Luís Aguiar-Conraria & Maria Joana Soares, 2014. "Carbon Financial Markets: a time-frequency analysis of CO2 price drivers," NIPE Working Papers 03/2014, NIPE - Universidade do Minho.

    More about this item

    Keywords

    Wavelets; Data estimation methodology; Macroeconomics;

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • N13 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - Europe: Pre-1913
    • N24 - Economic History - - Financial Markets and Institutions - - - Europe: 1913-
    • N01 - Economic History - - General - - - Development of the Discipline: Historiographical; Sources and Methods

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