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Les march s financiers anticipent-ils les retournements conjoncturels?

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  • Bellone, B.
  • Gautier, E.
  • Le Coent, S.

Abstract

This article aims at estimating leading indicators of the American economy with financial variables. We use two types of hidden Markov chains models, a quantitative one (Krolzig (1997)) and a qualitative one (Gregoir and Lenglart (2000)). These models provide a robust and reliable framework to build with financial variables a qualitative probabilistic indicator with a 3- to 6-month lead on business and growth cycle. During the last forty years, the financial market rarely proved false signals and identified all recessions -which are dated by the NBER- and slowdowns periods of the American economy.

Suggested Citation

  • Bellone, B. & Gautier, E. & Le Coent, S., 2005. "Les march s financiers anticipent-ils les retournements conjoncturels?," Working papers 128, Banque de France.
    • Handle: RePEc:bfr:banfra:128
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    References listed on IDEAS

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    15. Benoit Bellone, 2004. "MSVARlib: a new Gauss library to estimate multivariate Hidden Markov Models," Econometrics 0406004, University Library of Munich, Germany.
    16. Anas, Jacques & Ferrara, Laurent, 2002. "Un indicateur d'entrée et sortie de récession: application aux Etats-Unis [A start-end recession index: Application for United-States]," MPRA Paper 4043, University Library of Munich, Germany.
    17. Chopin, Nicolas & Pelgrin, Florian, 2004. "Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation," Journal of Econometrics, Elsevier, vol. 123(2), pages 327-344, December.
    18. Benoit Bellone & David Saint-Martin, 2004. "Detecting Turning Points with Many Predictors through Hidden Markov Models," Econometrics 0407001, University Library of Munich, Germany.
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    Cited by:

    1. 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.
    2. Abdou-Aziz Niang & Abdoulaye Diagne & Marie-Claude Pichery, 2011. "Exploring the finance-real economy link in U.S.: empirical evidence from panel unit root and cointegration analysis," Empirical Economics, Springer, vol. 40(1), pages 253-268, February.
    3. Ferrara, L., 2008. "The contribution of cyclical turning point indicators to business cycle analysis," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 13, pages 49-61, Autumn.
    4. Coffinet, J., 2008. "La prévision des taux d’intérêt à partir de contrats futures : l’apport de variables économiques et financières," Working papers 193, Banque de France.
    5. Adanero-Donderis , M. & Darné, O. & Ferrara, L., 2007. "Deux indicateurs probabilistes de retournement cyclique pour l’économie française," Working papers 187, Banque de France.

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    More about this item

    Keywords

    Business cycles ; Qualitative multivariate Markov switching models ; MS-VAR models ; Leading indicators;
    All these keywords.

    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
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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