IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

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

Listed author(s):
  • Jacky Fayolle
  • Alexandre Mathis

[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 recourt à la technique du filtre de Kalman, une fois le modèle écrit sous forme espace-état. La caractérisation du cycle qui découle de certains des modèles examinés s'accorde bien avec les intentions et les résultats des conjoncturistes recourant aux outils de statistique descriptive. Le modèle dit tendance plus cycle propose une représentation du cycle qui respecte la propriété statistique de stationnante et s'avère capable de reproduire la complexité des mouvements cycliques apparents, dont on sait qu'ils manifestent fréquemment dissymétries et angulosités. Les innovations de cette composante cyclique donnent les impulsions conjoncturelles du cycle, et leur chronique est interprétable au regard de l'histoire économique. La formulation de la tendance stochastique, quant à elle, permet d'obtenir une composante tendancielle qui soit à la fois lisse et apte à intégrer les courbures du sentier de croissance. [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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
Download Restriction: no

File URL:
Download Restriction: no

Article provided by Programme National Persée in its journal Observations et diagnostics économiques : revue de l'OFCE.

Volume (Year): 47 (1993)
Issue (Month): 1 ()
Pages: 201-233

in new window

Handle: RePEc:prs:rvofce:ofce_0751-6614_1993_num_47_1_1350
Note: DOI:10.3406/ofce.1993.1350
Contact details of provider: Web page:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

in new window

  1. Plosser, Charles I, 1989. "Understanding Real Business Cycles," Journal of Economic Perspectives, American Economic Association, vol. 3(3), pages 51-77, Summer.
  2. Harvey, A C, 1985. "Trends and Cycles in Macroeconomic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(3), pages 216-227, June.
  3. Peter K. Clark, 1987. "The Cyclical Component of U. S. Economic Activity," The Quarterly Journal of Economics, Oxford University Press, vol. 102(4), pages 797-814.
  4. Pierre Danthine, Jean & Donaldson, John B., 1993. "Methodological and empirical issues in real business cycle theory," European Economic Review, Elsevier, vol. 37(1), pages 1-35, January.
  5. Blackburn, Keith & Ravn, Morten O, 1992. "Business Cycles in the United Kingdom: Facts and Fictions," Economica, London School of Economics and Political Science, vol. 59(236), pages 383-401, November.
  6. Fiorito, Riccardo & Kollintzas, Tryphon, 1994. "Stylized facts of business cycles in the G7 from a real business cycles perspective," European Economic Review, Elsevier, vol. 38(2), pages 235-269, February.
  7. Mankiw, N Gregory, 1989. "Real Business Cycles: A New Keynesian Perspective," Journal of Economic Perspectives, American Economic Association, vol. 3(3), pages 79-90, Summer.
  8. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:prs:rvofce:ofce_0751-6614_1993_num_47_1_1350. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Equipe PERSEE)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.