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Une lecture probabiliste du cycle d'affaires américain

Author

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  • Benoît Bellone

Abstract

This article explores 35 years of the U.S. business cycle with a multivariate hidden Markov model using monthly data. It identifies ten U.S. time series offering particularly reliable information to detect recessions. It also assesses the performances of different and complementary ?recession models? based on Markov processes and draws two main conclusions: (1) simple univariate models are decisive to monitor the business cycle providing that the series are shown to be highly reliable; (2) models adding a multivariate dimension are useful but work only marginally better than a simple summary. The primary determinant of model quality appears to be the variables?information content. The author introduces a new reading of the business cycle using a preferred recession model and concludes by discussing the limitations of leading indicators and ?real-time detection.?

Suggested Citation

  • Benoît Bellone, 2006. "Une lecture probabiliste du cycle d'affaires américain," Economie & Prévision, La Documentation Française, vol. 172(1), pages 63-81.
    • Handle: RePEc:cai:ecoldc:ecop_172_0063
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    Cited by:

    1. Marie Adanero-Donderis & Olivier Darné & Laurent Ferrara, 2009. "Un indicateur probabiliste du cycle d'accélération pour l'économie française," Economie & Prévision, La Documentation Française, vol. 0(3), pages 95-114.
    2. Kamel Helali, 2022. "Markov Switching-Vector AutoRegression Model Analysis of the Economic and Growth Cycles in Tunisia and Its Main European Partners," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 13(1), pages 656-686, March.
    3. Benoît Bellone & Erwan Gautier & Sébastien Le Coent, 2006. "Les marchés financiers anticipent-ils les retournements conjoncturels ?," Economie & Prévision, La Documentation Française, vol. 172(1), pages 83-99.
    4. Benoît Bellone, 2006. "Une lecture probabiliste du cycle d'affaires américain," Economie & Prévision, La Documentation Française, vol. 172(1), pages 63-81.
    5. Benoit Bellone, 2004. "MSVARlib: a new Gauss library to estimate multivariate Hidden Markov Models," Econometrics 0406004, University Library of Munich, Germany.

    More about this item

    Keywords

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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