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...

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.

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...

Outre le suivi régulier du comportement d’offre de prêts des banques et des déterminants de la demande de leur clientèle, l’enquête sur la distribution du crédit permet d’établir des indicateurs avancés des évolutions à court terme des encours de crédit.

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...

Business surveys aim at getting, as quickly and as simply as possible, the recent and probable changes in economic activity. Answers to most of the questions are qualitative with three modalities (qualification of an evolution: up / stable / down). The qualitative indicators provided by these...

Government balances are often adjusted for changes in economic activity in order to draw a clearer picture of the underlying fiscal situation and to use this as a guide to fiscal policy analysis. International organisations estimate the cyclical component of economic activity by the current...

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...

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...