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Analyse factorielle dynamique multifréquence appliquée à la datation de la conjoncture française

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  • Matthieu Cornec

Abstract

The author describes a dynamic-factor model to date the French economic cycle on a monthly basis from 1985 to the present, using the methodology proposed by Murasawa and Mariano. The model, estimated using a Kalman filter, assumes a common monthly dynamic between quarterly GDP and other major quantitative indicators of the French economy. The resulting indicator enables us to distinguish seven cyclical phases during the period. Only one recession appears, from September 1992 to May 1993. We also apply the method to business surveys in manufacturing in order to re-examine the ?synthetic? business-climate indicator published by INSEE.

Suggested Citation

  • Matthieu Cornec, 2006. "Analyse factorielle dynamique multifréquence appliquée à la datation de la conjoncture française," Economie & Prévision, La Documentation Française, vol. 172(1), pages 29-43.
    • Handle: RePEc:cai:ecoldc:ecop_172_0029
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    Cited by:

    1. Fondeur, Y. & Karamé, F., 2013. "Can Google data help predict French youth unemployment?," Economic Modelling, Elsevier, vol. 30(C), pages 117-125.
    2. Antonin Aviat & Frédérique Bec & Claude Diebolt & Catherine Doz & Denis Ferrand & Laurent Ferrara & Eric Heyer & Valérie Mignon & Pierre-Alain Pionnier, 2021. "Dating business cycles in France: a reference chronology," SciencePo Working papers Main hal-03373425, HAL.

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