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Une lecture probabiliste du cycle d’affaires américain

  • Benoit Bellone

    (Direction de la prévision et de l'analyse économique)

This paper explores 35 years of the American business cycle with the Hidden Markov Model (HMM) as a monitoring tool using monthly data. It exhibits ten US time series, which offer reliable information to detect recessions in real time. It also assesses the performances of different and complementary “recession models” based on Markovian processes : the “Pooled data model” and a multivariate HMM, and draws two main conclusions: simple HMM are decisive to monitor the business cycle providing that the series are proved highly reliable; models adding a multivariate dimension are useful but work marginally better than a simple summary : the inner quality of series seem to dominate their modeling. This paper introduces a new reading of the business cycle through, a favored recession model and concludes about leading and “real time detection” limitations. This paper is written in French.

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Paper provided by EconWPA in its series Econometrics with number 0407002.

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Length: 37 pages
Date of creation: 04 Jul 2004
Date of revision: 28 Mar 2005
Handle: RePEc:wpa:wuwpem:0407002
Note: Type of Document - pdf; pages: 37. This paper introduces two new business cycle stochastic indicator of the US economy, with a foolproof recession index.
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  4. Benoit Bellone & David Saint-Martin, 2004. "Detecting Turning Points with Many Predictors through Hidden Markov Models," Econometrics 0407001, EconWPA.
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  9. David Hendry & Hans-Martin Krolzig, 2000. "Computer Automation of General-to-Specific Model Selection Procedures," Economics Series Working Papers 3, University of Oxford, Department of Economics.
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  11. Dean Croushore & Tom Stark, 1999. "A real-time data set for macroeconomists," Working Papers 99-4, Federal Reserve Bank of Philadelphia.
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  13. Stéphane Grégoir & Fabrice Lenglart, 1998. "Measuring the Probability of a Business Cycle Turning Point by Using a Multivariate Qualitative Hidden Markov Model," Working Papers 98-48, Centre de Recherche en Economie et Statistique.
  14. Chauvet, Marcelle, 1998. "An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 969-96, November.
  15. Peter Reinhard Hansen, 2001. "An Unbiased and Powerful Test for Superior Predictive Ability," Working Papers 2001-06, Brown University, Department of Economics.
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  17. Nicolas Chopin, 2001. "Sequential Inference and State Number Determination for Discrete State-Space Models through Particle Filtering," Working Papers 2001-34, Centre de Recherche en Economie et Statistique.
  18. Mike Artis & Hans-Martin Krolzig & Juan Toro, 2002. "The European Business Cycle," Economic Working Papers at Centro de Estudios Andaluces E2002/19, Centro de Estudios Andaluces.
  19. Harding, Don & Pagan, Adrian, 2003. "A comparison of two business cycle dating methods," Journal of Economic Dynamics and Control, Elsevier, vol. 27(9), pages 1681-1690, July.
  20. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
  21. James H. Stock & Mark W. Watson, 1993. "A Procedure for Predicting Recessions with Leading Indicators: Econometric Issues and Recent Experience," NBER Chapters, in: Business Cycles, Indicators and Forecasting, pages 95-156 National Bureau of Economic Research, Inc.
  22. Albert, James H & Chib, Siddhartha, 1993. "Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 1-15, January.
  23. Hamilton, James D & Perez-Quiros, Gabriel, 1996. "What Do the Leading Indicators Lead?," The Journal of Business, University of Chicago Press, vol. 69(1), pages 27-49, January.
  24. Anas, Jacques & Ferrara, Laurent, 2002. "Un indicateur d'entrée et sortie de récession: application aux Etats-Unis
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    ," MPRA Paper 4043, University Library of Munich, Germany.
  25. Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1, July.
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