Two Probabilistic Cyclical Turning Point Indicators for the French Economy (Deux Indicateurs Probabilistes de Retournement Cyclique Pour L’Économie Française) (French)

36 Pages Posted: 8 Oct 2010

See all articles by Marie Adanero-Donderis

Marie Adanero-Donderis

Banque de France

Olivier Darné

University of Nantes - Faculty of Business and Economics

Laurent Ferrara

SKEMA Business School; Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA); Université Paris Ouest - Nanterre, La Défense - EconomiX

Date Written: November 1, 2007

Abstract

This paper proposes two new coincident probabilistic cyclical indicators developed by the Bank of France in order to follow, on a monthly basis, the French economic activity. The first one is an indicator which aims at detecting the turning points of the acceleration cycle while the second one is dedicated to the follow-up of recession phases in the industrial sector. Both indicators are based on the methodology of Markov-Switching models and use only for input the Bank of France monthly business survey. An historical validation since 1998 points out to the interest and the complementarity of both indicators for the short-term economic diagnosis. This kind of indicators provides with an original and additional conjonctural qualitative information by comparison with more classical quantitative tools aiming at estimating the GDP growth rate.

Note: Downloadable document is in French.

Keywords: Business Cycle, Acceleration Cycle, Probabilistic Indicator, Markov-Switching Models, Surveys

JEL Classification: C32, C51, E32

Suggested Citation

Adanero-Donderis, Marie and Darné, Olivier and Ferrara, Laurent, Two Probabilistic Cyclical Turning Point Indicators for the French Economy (Deux Indicateurs Probabilistes de Retournement Cyclique Pour L’Économie Française) (French) (November 1, 2007). Banque de France Working Paper No. NER - E 187, Available at SSRN: https://ssrn.com/abstract=1688956 or http://dx.doi.org/10.2139/ssrn.1688956

Marie Adanero-Donderis (Contact Author)

Banque de France ( email )

Paris
France

Olivier Darné

University of Nantes - Faculty of Business and Economics ( email )

Nantes
France

Laurent Ferrara

SKEMA Business School ( email )

Paris la Défense, 92916
France

Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA) ( email )

ANU College of Business and Economics
Canberra, Australian Capital Territory 0200
Australia

Université Paris Ouest - Nanterre, La Défense - EconomiX ( email )

200 Avenue de la République
92000

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