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Les marchés financiers anticipent-ils les retournements conjoncturels ?

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  • Sébastien Le Coent
  • Erwan Gautier
  • Benoît Bellone

Abstract

[eng] 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. [fre] Cet article cherche à identifier la capacité des variables financières à constituer des indicateurs avancés de l’activité américaine. Il introduit notamment l’utilisation de divers modèles à chaîne de Markov cachée dont le modèle MS-VAR de Krolzig (1997) et celui de Grégoir-Lenglart (2000). A partir de quatre séries financières, ceux-ci fournissent un cadre qui se révèle robuste et fiable pour la construction d’un indicateur avancé probabiliste qualitatif dont l’horizon prédictif est de trois à six mois. Les marchés financiers au cours des quarante dernières années ont renvoyé très peu de faux signaux , identifiant toutes les phases de ralentissements conjoncturels outre-atlantiques, dont les six récessions majeures considérées par le NBER.

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  • Sébastien Le Coent & Erwan Gautier & Benoît Bellone, 2006. "Les marchés financiers anticipent-ils les retournements conjoncturels ?," Économie et Prévision, Programme National Persée, vol. 172(1), pages 83-99.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_2006_num_172_1_7481
    DOI: 10.3406/ecop.2006.7481
    Note: DOI:10.3406/ecop.2006.7481
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    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. 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.
    3. 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.
    4. Coffinet, J., 2008. "La prévision des taux d’intérêt à partir de contrats futures : l’apport de variables économiques et financières," Working papers 193, Banque de France.
    5. Adanero-Donderis , M. & Darné, O. & Ferrara, L., 2007. "Deux indicateurs probabilistes de retournement cyclique pour l’économie française," Working papers 187, Banque de France.

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    More about this item

    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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