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Ecart de production dans la zone euro : une estimation par le filtre de Hodrick-Prescott multivarié

Author

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  • Odile Chagny

    (Centre Etudes & Prospective - Groupe ALPHA)

  • Matthieu Lemoine

    (OFCE - Observatoire français des conjonctures économiques (Sciences Po) - Sciences Po - Sciences Po)

Abstract

Cet article applique le filtre de Hodrick-Prescott multivarié (HPMV) à l'estimation de l'écart de production de la zone euro. Le filtre HPMV est reformulé comme un modèle espace-état, qui peut ensuite s'estimer avec le filtre de Kalman et l'algorithme EM. À la différence des autres études empiriques sur le filtre HPMV, cette méthode d'estimation présente l'avantage d'estimer tous les paramètres des équations économiques plutôt que de les calibrer, ce qui augmente la précision des estimations de l'écart de production. Lorsque sont ajoutées une loi d'Okun et une équation de capacités, le filtre HPMV modifie sensiblement le diagnostic conjoncturel pour la zone euro par rapport aux évaluations fournies par un filtre HP univarié. Les résultats du filtre HPMV présentent un certain nombre d'avantages relativement à ceux du filtre HP univarié. L'écart de production connaît des révisions nettement moins importantes avec un filtre HPMV, ce qui est utile dans un contexte d'analyse conjoncturelle. De plus, la capacité prédictive de l'écart de production sur l'inflation est meilleure avec le filtre HPMV.

Suggested Citation

  • Odile Chagny & Matthieu Lemoine, 2003. "Ecart de production dans la zone euro : une estimation par le filtre de Hodrick-Prescott multivarié," Post-Print hal-01019442, HAL.
    • Handle: RePEc:hal:journl:hal-01019442
    DOI: 10.3917/reof.086.0173
    Note: View the original document on HAL open archive server: https://sciencespo.hal.science/hal-01019442
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    References listed on IDEAS

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