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Les marchés financiers anticipent-ils les retournements conjoncturels ?

Author

Listed:
  • Benoît Bellone
  • Erwan Gautier
  • Sébastien Le Coent

Abstract

This article aims to estimate leading indicators of the U.S. economy with financial variables. We use two types of hidden Markov chain models: a quantitative one (Krolzig (1997)) and a qualitative one (Gregoir and Lenglart (2000)). Both models provide a robust and reliable framework for using financial variables to build a qualitative probabilistic indicator with a 3- to 6-month lead on the business and growth cycles. In the past forty years, the financial market has rarely provided false signals; on the contrary, it has identified all six recessions - as dated by the NBER - and slowdowns in the U.S. economy.

Suggested Citation

  • 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.
    • Handle: RePEc:cai:ecoldc:ecop_172_0083
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    Cited by:

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    2. 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.
    3. Abdou-Aziz Niang & Abdoulaye Diagne & Marie-Claude Pichery, 2011. "Exploring the finance-real economy link in U.S.: empirical evidence from panel unit root and cointegration analysis," Empirical Economics, Springer, vol. 40(1), pages 253-268, February.
    4. Ferrara, L., 2008. "The contribution of cyclical turning point indicators to business cycle analysis," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 13, pages 49-61, Autumn.
    5. Jérôme Coffinet, 2008. "La pr vision des taux d int r t partir de contrats futures : l apport de variables conomiques et financiéres," Working papers 193, Banque de France.
    6. Adanero-Donderis , M. & Olivier Darn & Laurent Ferrara, 2007. "Deux indicateurs probabilistes de retournement cyclique pour l conomie fran aise," Working papers 187, Banque de France.

    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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