IDEAS home Printed from https://ideas.repec.org/a/prs/rvofce/ofce_0751-6614_2000_num_72_1_1572.html
   My bibliography  Save this article

L'indicateur avancé de l'OFCE

Author

Listed:
  • Françoise Charpin
  • Hervé Péléraux

Abstract

[eng] This paper presents the building of a leading indicator for the French economy and its possible use. The aim of the indicator is to predict the GDP growth for the current quarter and for the next quarter. The leading indicator includes monthly information and can be estimated each month. Two sets of variables enter the indicator : a real block containing coincident and one quarter leading series, and a financial block including series leading for at least three quarters. Contributions of each set are analysed to determine the role of the different factors. Then the indicator is used for a retrospective forecast. The results seem significant and give to the tool operational properties which nevertheless will have to be tested forecast after forecast.. JEL Codes : E32, E37 [fre] Cet article présente les principes de construction d'un indicateur avancé pour l'économie française, ainsi que son utilisation possible. L'objectif est de prévoir la croissance du PIB pour le trimestre en cours et le trimestre à venir. L'indicateur avancé incorpore des informations conjoncturelles à fréquence mensuelle et peut être ainsi calculé chaque mois. Deux blocs de variables entrent dans la composition de l'indicateur : un bloc réel contenant des variables coïncidentes et avancées d'un trimestre, et un bloc financier regroupant des variables avancées d'au moins trois trimestres. Les contributions de chaque bloc sont analysées pour apprécier le rôle des différents facteurs. Puis l'indicateur est mis en œuvre dans un exercice rétrospectif de prévision. Les résultats paraissent significatifs et confèrent à l'instrument un caractère opérationnel qui devra toutefois être éprouvé au fil des prévisions.

Suggested Citation

  • Françoise Charpin & Hervé Péléraux, 2000. "L'indicateur avancé de l'OFCE," Revue de l'OFCE, Programme National Persée, vol. 72(1), pages 133-155.
    • Handle: RePEc:prs:rvofce:ofce_0751-6614_2000_num_72_1_1572
    DOI: 10.3406/ofce.2000.1572
    Note: DOI:10.3406/ofce.2000.1572
    as

    Download full text from publisher

    File URL: https://doi.org/10.3406/ofce.2000.1572
    Download Restriction: no
    File URL: https://www.persee.fr/doc/ofce_0751-6614_2000_num_72_1_1572
    Download Restriction: no
    File URL: https://libkey.io/10.3406/ofce.2000.1572?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Jacky Fayolle, 1993. "Décrire le cycle économique," Revue de l'OFCE, Programme National Persée, vol. 45(1), pages 161-197.
    2. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
    3. James H. Stock & Mark W. Watson, 1989. "New Indexes of Coincident and Leading Economic Indicators," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409, National Bureau of Economic Research, Inc.
    4. 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.
    5. James H. Stock & Mark W. Watson, 1993. "Business Cycles, Indicators, and Forecasting," NBER Books, National Bureau of Economic Research, Inc, number stoc93-1, January.
    6. Stock, James H. & Watson, Mark W. (ed.), 1993. "Business Cycles, Indicators, and Forecasting," National Bureau of Economic Research Books, University of Chicago Press, edition 1, number 9780226774886, October.
    7. repec:adr:anecst:y:1999:i:54:p:05 is not listed on IDEAS
    8. 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.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Morais, Igor Alexandre C. & Chauvet, Marcelle, 2011. "Leading Indicators for the Capital Goods Industry," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 31(1), March.
    2. Diebold, Francis X & Rudebusch, Glenn D, 1996. "Measuring Business Cycles: A Modern Perspective," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 67-77, February.
    3. Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018. "A spectral EM algorithm for dynamic factor models," Journal of Econometrics, Elsevier, vol. 205(1), pages 249-279.
    4. Christopher L. Gilbert & Duo Qin, 2007. "Representation in Econometrics: A Historical Perspective," Working Papers 583, Queen Mary University of London, School of Economics and Finance.
    5. Hamilton, James D., 2011. "Calling recessions in real time," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1006-1026, October.
    6. Christopher L. Gilbert & Duo Qin, 2007. "Representation in Econometrics: A Historical Perspective," Working Papers 583, Queen Mary University of London, School of Economics and Finance.
    7. Benoit Bellone, 2004. "Une lecture probabiliste du cycle d’affaires américain," Econometrics 0407002, University Library of Munich, Germany, revised 28 Mar 2005.
    8. DAVID E. ALLEN & MICHAEL McALEER & ROBERT J. POWELL & ABHAY K. SINGH, 2018. "Non-Parametric Multiple Change Point Analysis Of The Global Financial Crisis," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 1-23, June.
    9. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
    10. Neely, Christopher J. & Rapach, David E., 2011. "International comovements in inflation rates and country characteristics," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1471-1490.
    11. Blagica Petreski & Marjan Petreski, 2014. "Leading composite index produced by Finance Think: Forecasting power reassessed," Finance Think Policy Studies 2014-12/2, Finance Think - Economic Research and Policy Institute.
    12. Rua, António, 2017. "A wavelet-based multivariate multiscale approach for forecasting," International Journal of Forecasting, Elsevier, vol. 33(3), pages 581-590.
    13. Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers halshs-02262202, HAL.
    14. Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
    15. Gerson Javier Pérez-Valbuena & Diana Ricciulli-Marín & Jaime Bonet-Morón & Paula Barrios, 2021. "Reglas fiscales subnacionales en Colombia: desde su concepción hasta los resultados frente al COVID-19," Documentos de Trabajo Sobre Economía Regional y Urbana 19126, Banco de la República, Economía Regional.
    16. Edward N. Gamber, 1996. "The policy content of the yield curve slope," Review of Financial Economics, John Wiley & Sons, vol. 5(2), pages 163-179.
    17. J. Polzehl & V. Spokoiny & C. Starica, 2004. "When did the 2001 recession really start?," Econometrics 0411017, University Library of Munich, Germany.
    18. Valerie Cerra & Sweta Chaman Saxena, 2005. "Did Output Recover from the Asian Crisis?," IMF Staff Papers, Palgrave Macmillan, vol. 52(1), pages 1-23, April.
    19. Issler, Joao Victor & Vahid, Farshid, 2006. "The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity," Journal of Econometrics, Elsevier, vol. 132(1), pages 281-303, May.
    20. Grace H.Y. Lee & M. Azali, 2009. "A Bayesian Approach to Optimum Currency Areas in East Asia," Monash Economics Working Papers 18-09, Monash University, Department of Economics.

    More about this item

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

    Statistics

    Access and download statistics

    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:prs:rvofce:ofce_0751-6614_2000_num_72_1_1572. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Equipe PERSEE (email available below). General contact details of provider: https://www.persee.fr/collection/ofce .

    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.