Note sur les méthodes univariées d’extraction du cycle économique

Anna Sess and Michel Grun-Rehomme

Brussels Economic Review, 2007, vol. 50, issue 3, 335-360

Abstract: Ce papier présente des méthodes courantes d’extraction du cycle :les filtres classiques de Hodrick-Prescott, Baxter-King et Christiano-Fitzgerald, puis les filtres numériques de Butterworth, de Hamming et de Hanning, enfin la modélisation tendance-cycle à composantes inobservables. Ces méthodes sont appliquées à des séries cycliques simulées et aux données trimestrielles du PIB américain (1948 - 2001). Une classification des méthodes apparaît plus pertinente en fonction de leur propriété fréquentielle. Les filtres tendance-cycle et de Hamming semblent extraire un cycle plus lisse. Et, les filtres estiment un cycle largement différent de celui défini par la règle des points de retournement proposée par le NBER. / This paper presents commonly used filters in macroeconomics. We consider the usual filters of Hodrick-Prescott, Baxter-King and Christiano-Fitzgerald, then the numerical filters of Butterworth, of Hamming and of Hanning, finally the unobserved components Trend-Cycle model. The methods are illustrated through some artificial cyclical series and the US GDP quarterly series (1948 - 2001). This paper suggests that business cycles display different groups according to their frequency property. The filters trend-cycle and Hamming seem to extract a smoother cycle. Also the filters lead to identification of a cycle different from the turning points dates rule proposed by NBER.

Keywords: Cycle économique/Business cycle; Tendance/Trend; Filtre passe-haut/High-pass filter; Filtre passe-bande/Pass-band filter; Composantes inobservables/Unobserved components (search for similar items in EconPapers)
JEL-codes: C10 C14 C15 C22 E32 (search for similar items in EconPapers)
Date: 2007
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