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Tendances et cycles stylisés dans les pays du G7 - Une approche stochastique

  • Jacky Fayolle
  • Alexandre Mathis

[eng] Stylized trends and cycles in the G7 countries : a stochastic approach Jacky Fayolle, Alexandre Mathis To present stylized cyclical movements of the G7 countries, this paper uses the unobservable components models proposed by Harvey (1985, 1989). To fit the dynamics, the set of specification covers various combination between trend, cycle and irregular. This approach is not a descriptive tool. Specifically, the specification dees not assume any value of the basic characteristics of the cycle such as the period but these characteristics are subject to estimation. We can show the statistical properties of each component extracted by the Kalman filter applied to the model written in state-space form. The characteristics of the cycle underlying these models are in accordance with intentions and results obtained by conjoncturists using statistical descriptive tools. The trend plus cycle model propose a representation of the cycle which respect the statistical property of stationarity. It is able to fit the complexity of the apparent cyclical movements, which usually present assymetry and angularity. The innovations of the cyclical component give the cyclical conjonctural impulses and this time series is interprétable in terms of the economic history. The stochastic trend formulation gives a trend component which is both smooth and able to integrate the curvature of the growth path. [fre] Pour styliser les mouvements cycliques des économies du G7, on recourt aux modèles à composantes inobservables proposés par Harvey (1985, 1989). La gamme des spécifications de ces modèles recouvre diverses représentations possibles de la combinaison entre tendance, cycle et irrégularité. Il ne s'agit pas de simples outils descriptifs. En particulier, leur écriture ne préjuge pas de la valeur des caractéristiques de base du cycle, comme sa période, qui sont l'objet de l'estimation. On met ainsi en évidence les propriétés statistiques de chacune des composantes, dont l'extraction rec

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Article provided by Presses de Sciences-Po in its journal Revue de l'OFCE.

Volume (Year): n° 47 (1993)
Issue (Month): 5 ()
Pages: 201-233

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Handle: RePEc:cai:reofsp:reof_p1993_47n1_0201
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