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L'indicateur avancé de l'OFCE

Author

Listed:
  • Françoise Charpin
  • Hervé Péléraux

Abstract

[eng] This paper presents the building of a leading indicator for the French economy and its possible use. The aim of the indicator is to predict the GDP growth for the current quarter and for the next quarter. The leading indicator includes monthly information and can be estimated each month. Two sets of variables enter the indicator : a real block containing coincident and one quarter leading series, and a financial block including series leading for at least three quarters. Contributions of each set are analysed to determine the role of the different factors. Then the indicator is used for a retrospective forecast. The results seem significant and give to the tool operational properties which nevertheless will have to be tested forecast after forecast.. JEL Codes : E32, E37 [fre] Cet article présente les principes de construction d'un indicateur avancé pour l'économie française, ainsi que son utilisation possible. L'objectif est de prévoir la croissance du PIB pour le trimestre en cours et le trimestre à venir. L'indicateur avancé incorpore des informations conjoncturelles à fréquence mensuelle et peut être ainsi calculé chaque mois. Deux blocs de variables entrent dans la composition de l'indicateur : un bloc réel contenant des variables coïncidentes et avancées d'un trimestre, et un bloc financier regroupant des variables avancées d'au moins trois trimestres. Les contributions de chaque bloc sont analysées pour apprécier le rôle des différents facteurs. Puis l'indicateur est mis en œuvre dans un exercice rétrospectif de prévision. Les résultats paraissent significatifs et confèrent à l'instrument un caractère opérationnel qui devra toutefois être éprouvé au fil des prévisions.

Suggested Citation

  • Françoise Charpin & Hervé Péléraux, 2000. "L'indicateur avancé de l'OFCE," Revue de l'OFCE, Programme National Persée, vol. 72(1), pages 133-155.
    • Handle: RePEc:prs:rvofce:ofce_0751-6614_2000_num_72_1_1572
    DOI: 10.3406/ofce.2000.1572
    Note: DOI:10.3406/ofce.2000.1572
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    References listed on IDEAS

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    2. Jacky Fayolle, 1993. "Décrire le cycle économique," Revue de l'OFCE, Programme National Persée, vol. 45(1), pages 161-197.
    3. James H. Stock & Mark W. Watson, 1989. "New Indexes of Coincident and Leading Economic Indicators," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409, National Bureau of Economic Research, Inc.
    4. repec:adr:anecst:y:1999:i:54:p:05 is not listed on IDEAS
    5. Stock, James H. & Watson, Mark W. (ed.), 1993. "Business Cycles, Indicators, and Forecasting," National Bureau of Economic Research Books, University of Chicago Press, edition 1, number 9780226774886, December.
    6. James H. Stock & Mark W. Watson, 1993. "A Procedure for Predicting Recessions with Leading Indicators: Econometric Issues and Recent Experience," NBER Chapters, in: Business Cycles, Indicators, and Forecasting, pages 95-156, National Bureau of Economic Research, Inc.
    7. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
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    More about this item

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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