EconPapers    
Economics at your fingertips  
 

Prévision de court terme de la croissance du PIB français à l’aide de modèles à facteurs dynamiques

Marie Bessec () and Catherine Doz ()
Additional contact information
Catherine Doz: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - ENPC - École des Ponts ParisTech - ENS Paris - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique - EHESS - École des hautes études en sciences sociales - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: In recent years, factor models have received increasing interest from central banks and international organizations to forecast macroeconomic variables. We examine the performance of these models in forecasting the French GDP growth rate over short horizons. The factors are extracted from a large data set including surveys balances, real, financial and international variables. A pseudo real time evaluation over the last decade exhibits a gain relative to the usual benchmarks. However, forecasts remain inaccurate before the beginning of the quarter. We also show that the use of international and financial variables can improve forecasts at the longest horizons.

Keywords: Prévision du PIB; modèles à facteurs (search for similar items in EconPapers)
Date: 2012
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01515627
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Published in Economie & prévision, 2012, 1 (199), pp.1-30

Downloads: (external link)
https://hal.archives-ouvertes.fr/hal-01515627/document (application/pdf)

Related works:
Journal Article: Prévision à court terme de la croissance du PIB français à l'aide de modèles à facteurs dynamiques (2012) Downloads
Journal Article: Prévision à court terme de la croissance du PIB français à l’aide de modèles à facteurs dynamiques (2012) Downloads
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:hal:cesptp:hal-01515627

Access Statistics for this paper

More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2021-10-19
Handle: RePEc:hal:cesptp:hal-01515627