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Deux indicateurs probabilistes de retournement cyclique pour l’économie française

Author

Listed:
  • Adanero-Donderis , M.
  • Darné, O.
  • Ferrara, L.

Abstract

This paper proposes two new coincident probabilistic cyclical indicators developed by the Bank of France in order to follow, on a monthly basis, the French economic activity. The first one is an indicator which aims at detecting the turning points of the acceleration cycle while the second one is dedicated to the follow-up of recession phases in the industrial sector. Both indicators are based on the methodology of Markov-Switching models and use only for input the Bank of France monthly business survey. An historical validation since 1998 points out to the interest and the complementarity of both indicators for the short-term economic diagnosis. This kind of indicators provides with an original and additional conjonctural qualitative information by comparison with more classical quantitative tools aiming at estimating the GDP growth rate.

Suggested Citation

  • Adanero-Donderis , M. & Darné, O. & Ferrara, L., 2007. "Deux indicateurs probabilistes de retournement cyclique pour l’économie française," Working papers 187, Banque de France.
  • Handle: RePEc:bfr:banfra:187
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    References listed on IDEAS

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    Cited by:

    1. 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.

    More about this item

    Keywords

    Business cycle ; Acceleration cycle ; Probabilistic indicator ; Markov-Switching models ; Surveys.;

    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
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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