Analyse du cycle économique. Datation et prévision

Abstract : The « Great Recession » of 2008-2009 and the sovereign and public debt crises which strengthened in the euro area in the summer of 2011 are recent events that have crystallized the challenges facing economic analysis, especially those related to dating and predicting cyclical inflections of real activity. The purpose of this thesis is to study these two complementary approaches to the economic cycle. Chapter 1 provides a portrait of the cycle using three distinct conceptions of its turning points: the classical cycle, the growth cycle and the acceleration cycle. We also discuss the measurement of the cycle with respect to various possible representations of aggregate activity of a country, as well as to two existing traditions which encompass dating models. Moreover, we highlight the growing influence of the financial environment over business cycle fluctuations. In chapter 2, we develop two non-parametric algorithms in order to identify the inflections that are particular to each of the previously conceptualized cycles, but also to measure their main characteristics. The first algorithm is based on a univariate representation of overall economic activity, the second on its ultivariate representation; ultimately, we apply the algorithms to the data of the French economy between 1970 and 2010. Chapter 3 builds on our results for cyclical dating to predict French recessions since 1974. Using probit models, we illustrate the role of monetary and financial variables as leading indicators of French business cycle fluctuations. In addition, we show that our models accurately detect recessions for a forecasting lag of two-quarters. Chapter 4 extends the entire analysis to several member states of the euro zone, with observations beginning in 1979. We first construct a chronology of their classical cycles, and then we propose an analysis of their main characteristics and their degree of synchronization. Finally, based on financial and monetary indicators in the context of a dynamic probit with fixed effects, we can anticipate the recessionary episodes which occurred in these economies with a horizon of two quarters.
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Theses
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http://docnum.univ-lorraine.fr/prive/DDOC_T_2013_0249_MAJETTI.pdf
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https://hal.univ-lorraine.fr/tel-01750385
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Submitted on : Thursday, March 29, 2018 - 12:44:30 PM
Last modification on : Tuesday, May 22, 2018 - 11:15:34 AM

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  • HAL Id : tel-01750385, version 1

Citation

Reynald Majetti. Analyse du cycle économique. Datation et prévision. Economies et finances. Université de Lorraine, 2013. Français. ⟨NNT : 2013LORR0249⟩. ⟨tel-01750385⟩

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