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
References: Add references at CitEc
Citations: View citations in EconPapers (5)
Downloads: (external link)
https://publications.banque-france.fr/sites/defaul ... g-paper_128_2005.pdf (application/pdf)
Related works:
Journal Article: Les marchés financiers anticipent-ils les retournements conjoncturels ? (2006) 
Journal Article: Les marchés financiers anticipent-ils les retournements conjoncturels ? (2006) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:128
Access Statistics for this paper
More papers in Working papers from Banque de France Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS. Contact information at EDIRC.
Bibliographic data for series maintained by Michael brassart ().