IDEAS home Printed from https://ideas.repec.org/a/cai/ecoldc/ecop_172_0101.html
   My bibliography  Save this article

Un indicateur de retournement conjoncturel pour la France : une application du modèle à facteur avec changements de régimes

Author

Listed:
  • Muriel Nguiffo-Boyom

Abstract

This article proposes the construction of a turning-point indicator obtained by estimating a dynamic-factor model with regime switching. The factor summarizing the sentiment of economic agents about economic activity is extracted from four balances of opinion in three business surveys conducted by the French National Statistical Institute (INSEE). The opinion displays optimistic and pessimistic phases, which are modeled with a Markov-switching model. We can also predict opinion turning points, which correspond to the model changes in the regime. We show that turning points in opinion tend to lead GDP turning points, a property that enables us to construct a cyclical turning-point indicator.

Suggested Citation

  • Muriel Nguiffo-Boyom, 2006. "Un indicateur de retournement conjoncturel pour la France : une application du modèle à facteur avec changements de régimes," Economie & Prévision, La Documentation Française, vol. 172(1), pages 101-114.
    • Handle: RePEc:cai:ecoldc:ecop_172_0101
    as

    Download full text from publisher

    File URL: http://www.cairn.info/load_pdf.php?ID_ARTICLE=ECOP_172_0101
    Download Restriction: free
    File URL: http://www.cairn.info/revue-economie-et-prevision-1-2006-1-page-101.htm
    Download Restriction: free
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.
    2. Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2014. "Dynamic factor models: A review of the literature," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2013(2), pages 73-107.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cai:ecoldc:ecop_172_0101. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jean-Baptiste de Vathaire (email available below). General contact details of provider: https://www.cairn.info/revue-economie-et-prevision.htm .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.