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Les marchés financiers anticipent-ils les retournements conjoncturels?

Benoit Bellone (), Erwan Gautier and S. Le Coent

Working papers from Banque de France

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.

Keywords: Business cycles; Qualitative multivariate Markov switching models; MS-VAR models; Leading indicators (search for similar items in EconPapers)
JEL-codes: C32 E32 E44 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2005
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Citations: View citations in EconPapers (5)

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Journal Article: Les marchés financiers anticipent-ils les retournements conjoncturels ? (2006) Downloads
Journal Article: Les marchés financiers anticipent-ils les retournements conjoncturels ? (2006) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:128

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