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Unité et pluralité du cycle européen

  • Guilhem Bentoglio
  • Jacky Fayolle

    (Centre Etudes & Prospective)

  • Matthieu Lemoine

    (Département analyse et prévision (OFCE))

Cet article mobilise une classe particulière de modèles à composantes inobservables pour s’intéresser au partage de la trajectoire des PIB des pays de la zone euro et de cette zone elle-même entre tendances de long terme et cycles conjoncturels, à partir de données trimestrielles couvrant l’ensemble des quatre décennies 1960 à 1990. L’attention est portée prioritairement sur la caractérisation des mouvements cycliques.Trois approches sont confrontées. Elles identifient respectivement les cycles européens à partir du PIB agrégé de la zone euro (comparativement aux cycles américains dans le cadre d’un modèle bivarié avec les États-Unis) ; à partir de l’agrégation des cycles nationaux extraits des modèles univariés propres à chaque pays de la zone ; enfin, à partir d’un modèle multivarié, qui regroupe l’ensemble des pays de la zone euro (moins le Luxembourg et l’Irlande) et qui permet d’assimiler le cycle agrégé de celle-ci à un cycle commun aux différents pays membres, engendré par des chocs de nature symétrique. La convergence entre les résultats de ces trois approches est satisfaisante et débouche ainsi sur une vision assez robuste du mouvement cyclique global de la zone euro (...).

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Paper provided by Sciences Po in its series Sciences Po publications with number info:hdl:2441/2130.

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Date of creation: Jul 2001
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Publication status: Published in Revue de l'OFCE, 2001, pp.9-73
Handle: RePEc:spo:wpmain:info:hdl:2441/2130
Contact details of provider: Web page: http://www.sciencespo.fr/

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  1. Nyblom, Jukka & Harvey, Andrew, 1999. "Tests of Common Stochastic Trends," Cambridge Working Papers in Economics 9902, Faculty of Economics, University of Cambridge.
  2. Blackburn, Keith & Ravn, Morten O, 1992. "Business Cycles in the United Kingdom: Facts and Fictions," Economica, London School of Economics and Political Science, vol. 59(236), pages 383-401, November.
  3. Forni, Mario & Reichlin, Lucrezia, 2001. "Federal policies and local economies: Europe and the US," European Economic Review, Elsevier, vol. 45(1), pages 109-134, January.
  4. Alexandre Mathis & Jacky Fayolle, 1993. "Tendances et cycles stylisés dans les pays du G7 - Une approche stochastique," Revue de l'OFCE, Programme National Persée, vol. 47(1), pages 201-233.
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