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Extraction du cycle des affaires : la méthode de Baxter et King

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  • Jean-Yves Fournier

Abstract

[eng] Extracting the Business Cycle Using the Baxter and King Method by Jean- Yves Fournier . Baxter and King recently proposed a method for extracting cyclical fluctuations and trends from economic time series. This method is based on a range of frequencies that defines the cycle. We present the construction of their approximate band-pass filter and its application to French GDP. The cycle obtained is used to estimate the output gap (the relative deviation between GDP and its trend), which is particularly important in economic policy. . The band-pass filter is then used to identify the cycles of the French economy's main variables and those of the GDPs of France's economic partners. We show that household consumption is slightly less cyclical than GDP, whereas investment and foreign trade are more so. None of these series appears to consistently lag or lead GDP. Last but not least, we find that the cyclical components of European GDP are synchronised to some extent and that the Anglo-Saxon economies are persistently in the lead. [fre] Extraction du cycle des affaires : la méthode de Baxter et King par Jean- Yves Fournier . Baxter et King ont proposé récemment une méthode d'extraction de la tendance, du cycle et de l'irrégulier d'une série temporelle. Cette méthode repose sur le choix a priori des fréquences définissant le cycle. On présente la construction d'un filtre propre à réaliser cette décomposition, puis sa mise en oeuvre sur le PIB français. Le cycle ainsi obtenu constitue une estimation de l'écart de production (ou output gap), écart relatif entre le PIB effectif et le PIB tendanciel, qui revêt une importance particulière en matière de politique économique. . Ce filtre est ensuite utilisé pour dégager les cycles des principales variables de l'économie française et ceux des PIB des partenaires économiques de la France. On montre que la consommation est un peu moins cyclique que le PIB, alors que l'investissement et le commerce extérieur le sont davantage. Cependant, aucun déphasage significatif entre cycles des principales variables macroéconomiques n'apparaît. Enfin, on met en évidence une certaine synchronisation des cycles des économies européennes, depuis 1993, et une avance persistante des économies anglo-saxonnes.

Suggested Citation

  • Jean-Yves Fournier, 2000. "Extraction du cycle des affaires : la méthode de Baxter et King," Économie et Prévision, Programme National Persée, vol. 146(5), pages 155-178.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_2000_num_146_5_6135
    DOI: 10.3406/ecop.2000.6135
    Note: DOI:10.3406/ecop.2000.6135
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    References listed on IDEAS

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    1. Stéphane Gregoir & Guy Laroque, 1992. "La place des stocks dans les fluctuations conjoncturelles," Annals of Economics and Statistics, GENES, issue 28, pages 39-63.
    2. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
    3. Quah, Danny, 1992. "The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds," Econometrica, Econometric Society, vol. 60(1), pages 107-118, January.
    4. repec:adr:anecst:y:1992:i:28:p:02 is not listed on IDEAS
    5. Stock, James H. & Watson, Mark W., 1999. "Business cycle fluctuations in us macroeconomic time series," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 1, pages 3-64, Elsevier.
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    2. Corinne Prost & Cédric Audenis, 2003. "Finances publiques et cycle économique : une autre approche," Économie et Prévision, Programme National Persée, vol. 157(1), pages 1-12.

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