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Co-variation des taux de croissance sectoriels au Luxembourg: l?apport des corrélations conditionnelles dynamiques

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  • Abdelaziz Rouabah

Abstract

Cette analyse emploie le modèle des corrélations conditionnelles dynamiques développées récemment par Engle (2002) pour déterminer le caractère synchrone ou asynchrone des mouvements des taux de croissance de la valeur ajoutée des différents secteurs économiques au Luxembourg. Le recours à cette méthodologie, initialement développée pour l?analyse des séries financières, s?explique principalement par la non-constance de la volatilité des séries trimestrielles des composantes du PIB luxembourgeois. Cette caractéristique de la volatilité demeure naturelle pour une petite économie très ouverte, sujette par ailleurs, à une multiplicité de chocs exogènes dont les effets se traduiraient par une plus grande volatilité des agrégats économiques. Nous adoptons, par ailleurs, le test de causalité des moyennes et des variances construit par Cheung et Ng (1996) pour confirmer ou infirmer le rôle attribué par certains au secteur financier en tant que locomotive de l?économie luxembourgeoise.

Suggested Citation

  • Abdelaziz Rouabah, 2007. "Co-variation des taux de croissance sectoriels au Luxembourg: l?apport des corrélations conditionnelles dynamiques," BCL working papers 25, Central Bank of Luxembourg.
    • Handle: RePEc:bcl:bclwop:bclwp025
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    File URL: https://www.bcl.lu/fr/Recherche/publications/cahiers_etudes/25/BCLWP025.pdf
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    References listed on IDEAS

    as
    1. Lee, Jim, 2006. "The comovement between output and prices: Evidence from a dynamic conditional correlation GARCH model," Economics Letters, Elsevier, vol. 91(1), pages 110-116, April.
    2. repec:ebl:ecbull:v:18:y:2006:i:3:p:1-9 is not listed on IDEAS
    3. Engle, Robert F & Sheppard, Kevin K, 2001. "Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH," University of California at San Diego, Economics Working Paper Series qt5s2218dp, Department of Economics, UC San Diego.
    4. Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-350, July.
    5. Cheung, Yin-Wong & Ng, Lilian K., 1996. "A causality-in-variance test and its application to financial market prices," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 33-48.
    6. Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
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    8. Arnaud Bourgain & Paolo Guarda & Patrice Pieretti, 2000. "Dynamique de la croissance et spécialisation: analyse en panel des branches industrielles," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 167, pages 275-298.
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    Cited by:

    1. Paolo Guarda & Abdelaziz Rouabah, 2015. "Is the financial sector Luxembourg?s engine of growth?," BCL working papers 97, Central Bank of Luxembourg.

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    More about this item

    Keywords

    GARCH; Corrélations conditionnelles dynamiques;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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