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Sources et impacts à long terme des chocs dans l'industrie manufacturière : une analyse au niveau désagrégé

  • Jean-Pierre Rouy
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    [fre] Sources et impacts à long terme des chocs dans l'industrie manufacturière : . une analyse au niveau désagrégé . par Jean-Pierre Rouy . Cette étude propose une mesure de la persistance des chocs sur la production des dix-huit branches composant l'industrie manufacturière française. L'analyse est effectuée à l'aide du système vectoriel autorégressif multisectoriel proposé par Pesaran, Pierse et Lee (1993). Pour l'ensemble des branches, il apparaît que l'effet des chocs ne disparaît pas au cours du temps et que le comportement des séries est proche d'une marche aléatoire. La réalisation de chocs macro-économiques (taux d'intérêt, demande extérieure, prix de l'énergie et masse monétaire) ne participe à la persistance observée que dans une faible part. [eng] Sources and Long-Term Impact of Shocks in the Manufacturing Industry: . A Disaggregation Analysis . by Jean-Pierre Rouy . This article proposes a measurement of the persistence of shocks on output in the eighteen branches of France's manufacturing industry. The analysis uses the multiple-sector vector autoregression system proposed by Pesaran, Pierse and Lee (1993). The effects of shocks do not seem to fade over time in all branches and the series display a pattern that is similar to a random walk. Macroeconomic shocks involving interest rates, export demand, energy prices and money supply only play a small part in the actual persistence of shocks.

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    Article provided by Programme National Persée in its journal Économie & prévision.

    Volume (Year): 131 (1997)
    Issue (Month): 5 ()
    Pages: 131-144

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    Handle: RePEc:prs:ecoprv:ecop_0249-4744_1997_num_131_5_5889
    Note: DOI:10.3406/ecop.1997.5889
    Contact details of provider: Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecop

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    1. Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 341-60, Oct.-Dec..
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