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

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  • Matthieu Cornec

Abstract

[fre] Un modèle à facteurs dynamiques est proposé pour dater au niveau mensuel la conjoncture française de 1985 à nos jours, en suivant la méthodologie proposée par Murasawa et Mariano. Ce modèle suppose une dynamique mensuelle commune entre le PIB trimestriel et d'autres grands indicateurs mensuels quantitatifs de l’économie française. L’estimation est effectuée par un filtre de Kalman. Au vu de l’indicateur ainsi construit, nous distinguons sept phases de conjoncture durant cette période. Une seule récession apparaît, de septembre 1992 à mai 1993. Enfin, cette méthode est appliquée aux enquêtes de conjoncture dans l’industrie afin de revisiter l’indicateur synthétique du climat des affaires publié par l’Insee. [eng] 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," Économie et Prévision, Programme National Persée, vol. 172(1), pages 29-43.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_2006_num_172_1_7478
    DOI: 10.3406/ecop.2006.7478
    Note: DOI:10.3406/ecop.2006.7478
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    1. repec:adr:anecst:y:1999:i:54:p:05 is not listed on IDEAS
    2. Catherine Doz & Fabrice Lenglart, 1999. "Analyse factorielle dynamique : test du nombre de facteurs, estimation et application à l'enquête de conjoncture dans l'industrie," Annals of Economics and Statistics, GENES, issue 54, pages 91-127.
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    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. Marie Adanero-Donderis & Olivier Darné & Laurent Ferrara, 2009. "Un indicateur probabiliste du cycle d'accélération pour l'économie française," Economie & Prévision, La Documentation Française, vol. 0(3), pages 95-114.
    3. Fondeur, Y. & Karamé, F., 2013. "Can Google data help predict French youth unemployment?," Economic Modelling, Elsevier, vol. 30(C), pages 117-125.
    4. 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.

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