| Titre | Extraction du cycle des affaires : la méthode de Baxter et King | |
|---|---|---|
| Auteur | Jean-Yves Fournier | |
 |
Revue | Economie et prévision |
| Numéro | no 146, 2000/5 | |
| Rubrique / Thématique | Méthodes |
|
| Page | 155-178 | |
| Résumé anglais |
Extracting the Business Cycle Using the Baxter and King Method by Jean- Yves Fournier
Baxter and King recently proposed a method for extracting cyclical fluctuations and trends from economic time series. This method is based on a range of frequencies that defines the cycle. We present the construction of their approximate band-pass filter and its application to French GDP. The cycle obtained is used to estimate the output gap (the relative deviation between GDP and its trend), which is particularly important in economic policy.
The band-pass filter is then used to identify the cycles of the French economy's main variables and those of the GDPs of France's economic partners. We show that household consumption is slightly less cyclical than GDP, whereas investment and foreign trade are more so. None of these series appears to consistently lag or lead GDP. Last but not least, we find that the cyclical components of European GDP are synchronised to some extent and that the Anglo-Saxon economies are persistently in the lead. Source : Éditeur (via Persée) |
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| Article en ligne | http://www.persee.fr/web/revues/home/prescript/article/ecop_0249-4744_2000_num_146_5_6135 |
