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Prévisions de l’activité économique en temps de crise

Author

Listed:
  • Manuel Paquette-Dupuis
  • Dalibor Stevanovic
  • Rachidi Kotchoni

Abstract

L’objectif de cette recherche est d’améliorer les modèles de prévisions en période de crise pour l’économie canadienne et québécoise. Nous utilisons les techniques em-ployées par Kotchoni et Stevanovic (2016) et Guerron-Quintana et Zhong (2017) qui sont basées sur l’ajout de la probabilité de récession au modèle autorégressif et la cor-rection des prévisions par la méthode des k plus proches voisins respectivement. Les variables d’intérêts sont le taux de croissance de l’emploi, le taux de chômage et le taux de croissance du PIB. Un exercice de prévision hors échantillon est réalisé pour comparer les di˙érents modèles proposés.

Suggested Citation

  • Manuel Paquette-Dupuis & Dalibor Stevanovic & Rachidi Kotchoni, 2019. "Prévisions de l’activité économique en temps de crise," CIRANO Project Reports 2019rp-04, CIRANO.
    • Handle: RePEc:cir:cirpro:2019rp-04
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    File URL: https://cirano.qc.ca/files/publications/2019RP-04.pdf
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    References listed on IDEAS

    as
    1. Olivier Fortin‐Gagnon & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2022. "A large Canadian database for macroeconomic analysis," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 55(4), pages 1799-1833, November.
    2. Dalibor Stevanovic & Rachidi Kotchoni, 2016. "Forecasting U.S. Recessions and Economic Activity," CIRANO Working Papers 2016s-36, CIRANO.
    3. Souhaib Ben Taieb & Rob J Hyndman, 2012. "Recursive and direct multi-step forecasting: the best of both worlds," Monash Econometrics and Business Statistics Working Papers 19/12, Monash University, Department of Econometrics and Business Statistics.
    4. Bernard, Henri & Gerlach, Stefan, 1998. "Does the Term Structure Predict Recessions? The International Evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 3(3), pages 195-215, July.
    5. Pablo Guerróon‐Quintana & Molin Zhong, 2023. "Macroeconomic forecasting in times of crises," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(3), pages 295-320, April.
    6. Arturo Estrella & Frederic S. Mishkin, 1996. "The yield curve as a predictor of U.S. recessions," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 2(Jun).
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    More about this item

    Keywords

    ; Analyse en composantes principales ; Cycles économiques ; Points de Retournement ; Probit ; Récessions;
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