jeudi 4 novembre 2010

Présentation du 8/10/10 conjoncture économique

Présentation par Matthieu Cornec (INSEE, CREST) :
- Résumé l'univers de la conjoncture, en soulignant les contraintes de calendrier et les critères de validation.
- Présentation d'un travail récent "Constructing a conditional GDP fan chart with an application to French business survey data".

Prévision : 0.4% au T3 2004 pour le premier résultat de la croissance trimestriel du PIB français
intervalle de confiance à 90% (0.0%,0.9%)
Parution le 12 novembre du premier résultat

Publication du premier résultat de la croissance au T3 : 0.4% (12/11/2010)

###########################################################################################
Titre : Constructing a conditional GDP fan chart with an application to French business survey data

Matthieu Cornec

Abstract

Among economic forecasters, it has become a more common practice to provide point projection with a density forecast. This realistic view acknowledges that nobody can predict future evolution of the economic outlook with absolute certainty. Interval confidence and density forecasts have thus become useful tools to describe in probability terms the uncertainty inherent to any point forecast (for a review see Tay and Wallis 2000). Since 1996, the Central Bank of England (CBE) has published a density forecast of inflation in its quarterly Inflation Report, so called “fan chart”. More recently, INSEE has also published a fan chart of its Gross Domestic Production (GDP) prediction in the Note de Conjoncture. Both methodologies estimate parameters of exponential families on the sample of past errors. They thus suffer from some drawbacks. First, INSEE fan chart is unconditional which means that whatever the economic outlook is, the magnitude of the displayed uncertainty is the same.

On the contrary, it is common belief among practitioners that the forecasting exercise highly depends on the state of the economy, especially during crisis. A second limitation is that CBE fan chart is not reproducible as it introduces subjectivity. Eventually, another inadequacy is the parametric shape of the ditribution.

In this paper, we tackle those issues to provide a reproducible conditional and non-parametric fan chart. For this, following Taylor 1999, we combine quantile regression approach together with regularization techniques to display a density forecast conditional on the available information. In the same time, we build a Forecasting Risk Index associated to this fan chart to measure the intrinsic difficulty of the forecasting exercise. The proposed methodology is applied to the French economy. Using balances of different business surveys, the GDP fan chart captures efficiently the growth stall during the crisis on an real-time basis. Moreover, our Forecasting Risk Index increased substantially in this period of turbulence, showing signs of growing uncertainty.


Télécharger la présentation