Un indicateur de retournement conjoncturel pour la France: une application du modèle à facteur avec changements de régimes

Muriel Nguiffo-Boyom

Economie & Prévision, 2006, vol. 172, issue 1, 101-114

Abstract: This article proposes the construction of a turning-point indicator obtained by estimating a dynamic-factor model with regime switching. The factor summarizing the sentiment of economic agents about economic activity is extracted from four balances of opinion in three business surveys conducted by the French National Statistical Institute (INSEE). The opinion displays optimistic and pessimistic phases, which are modeled with a Markov-switching model. We can also predict opinion turning points, which correspond to the model changes in the regime. We show that turning points in opinion tend to lead GDP turning points, a property that enables us to construct a cyclical turning-point indicator.

Keywords: regime changes; balances of opinion; economic cycle (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (4)

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