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Cycles de la production industrielle: une analyse historique dans le domaine des fréquences
| Content Provider | Semantic Scholar |
|---|---|
| Author | Villa, Pierre |
| Copyright Year | 1999 |
| Abstract | [fre] Cycles de la production industrielle : une analyse historique dans le domaine des frequences . par Pierre Villa . Nous etudions les cycles par la methode ARFIMA. Nous calculons des series mensuelles de taux de chomage et de production industrielle, puis nous les filtrons par Holt et Winters puis par de Geweke et Porter-Husak pour retirer la tendance a memoire longue correspondant a un processus d'integration fractionnaire. Nous estimons les fluctuations mesurees par la difference entre la serie corrigee des variations saisonnieres et la tendance longue mesuree par la Fourier inverse du processus fractionnaire. Il n'y a pas de cycle regulier Selon la premiere interpretation, il y un effet de " cliquet ". Selon la deuxieme, l'Etat a depuis la seconde guerre mondiale reduit les fluctuations de forte amplitude enregistrees auparavant par sa gestion de l'activite. Selon la troisieme, les chocs aleatoires observes correspondent a une theorie des cycles reels. [eng] Industrial production cycles: a historical analysis of frequencies . by Pierre Villa . This paper uses the ARFIMA method to study industrial production cycles. We calculate monthly industrial production and unemployment rate data. We then filter them using "Holt and Winters" and then "Geweke and Porter-Husak" to find the long-run memory trend corresponding to a fractional degree of integration. We estimate the fluctuations, which are measured by the difference between the seasonally adjusted series and the long-run memory trend as measured by the inverse Fourier transform. No regular cycle is found. The first interpretation of this is that a "ratchet" effect is at work. The second interpretation is that the government has stabilised the economy using Keynesian policies since the Second World War. A third interpretation is that the observed random shocks are related to the real business cycle theory. |
| Starting Page | 95 |
| Ending Page | 108 |
| Page Count | 14 |
| File Format | PDF HTM / HTML |
| DOI | 10.3406/ecop.1999.5949 |
| Volume Number | 137 |
| Alternate Webpage(s) | http://www.cepii.fr/PDF_PUB/wp/1997/wp1997-16.pdf |
| Alternate Webpage(s) | https://doi.org/10.3406/ecop.1999.5949 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
