Les marchés financiers anticipent-ils les retournements conjoncturels?
This article aims at estimating leading indicators of the American economy with financial variables. We use two types of hidden Markov chains models, a quantitative one (Krolzig (1997)) and a qualitative one (Gregoir and Lenglart (2000)). These models provide a robust and reliable framework to build with financial variables a qualitative probabilistic indicator with a 3- to 6-month lead on business and growth cycle. During the last forty years, the financial market rarely proved false signals and identified all recessions -which are dated by the NBER- and slowdowns periods of the American economy.
|Date of creation:||2005|
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