Les marchés financiers anticipent-ils les retournements conjoncturels ?

Benoît Bellone, Erwan Gautier and Sébastien Le Coent

Economie & Prévision, 2006, vol. 172, issue 1, 83-99

Abstract: This article aims to estimate leading indicators of the U.S. economy with financial variables. We use two types of hidden Markov chain models: a quantitative one (Krolzig (1997)) and a qualitative one (Gregoir and Lenglart (2000)). Both models provide a robust and reliable framework for using financial variables to build a qualitative probabilistic indicator with a 3- to 6-month lead on the business and growth cycles. In the past forty years, the financial market has rarely provided false signals; on the contrary, it has identified all six recessions - as dated by the NBER - and slowdowns in the U.S. economy.

Keywords: business cycles; qualitative multivariate Markov switching models; MS VAR models; leading indicators (search for similar items in EconPapers)
Date: 2006
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Related works:
Journal Article: Les marchés financiers anticipent-ils les retournements conjoncturels ? (2006)
Working Paper: Les march s financiers anticipent-ils les retournements conjoncturels? (2005)
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