This study on overinvestment differs from the existing literature in that investment in machinery and equipment is modelled as a structural vector autoregression with identification achieved by imposing long-run restrictions, as in Blanchard and Quah (1989). The transitory components obtained...

In this paper, the authors use polynomial adjustment cost (PAC) models to analyze and forecast the main components of the U.S. trade sector. For instance, they model and measure the elasticities of imports and exports to changes in the exchange rate and income. PAC models provide a theoretical...

This article puts forward a framework based primarily on probabilistic tools to analyse the nature of housing loan cycles in France. The continued high growth rate of housing loans may indeed raise concerns as to the duration and determinants of the cycle which currently prevails. The results...

Aux États-Unis, l’information issue des séries financières, qui reflètent les anticipations des agents basées sur l’information économique disponible, permet de bien prévoir la survenance de retournements conjoncturels.

Deux indicateurs sont proposés, le premier (IPCA, indicateur probabiliste du cycle d’accélération) visant à détecter les phases de ralentissement et d’accélération de l’ensemble de l’activité économique, le second (IPRI, indicateur probabiliste de récession industrielle) les...

Traditional structural models cannot distinguish whether changes in activity are a function of altered expectations today or lagged responses to past plans. Polynomial-adjustment-cost (PAC) models remove this ambiguity by explicitly separating observed dynamic behaviour into movements that have...

The two oil shocks of the 1970s reduced the GDP growth rate. Since that period, sudden oil price increases have been considered as a major source of economic slowdown. We estimate VAR models and Markov-Switching models to evaluate the impact of oil price increases on French growth. Our results...

This paper proposes two new coincident probabilistic cyclical indicators developed by the Bank of France in order to follow, on a monthly basis, the French economic activity. The first one is an indicator which aims at detecting the turning points of the acceleration cycle while the second one...

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...