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Mesurer l’instabilité macroéconomique - Applications aux données de recettes d’exportation, 1970-2005

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  • Joël CARIOLLE

    (Ferdi)

Abstract
La littérature sur l’instabilité macroéconomique couvre un champ extrêmement vaste qui se révèle par le spectre très large de mesures utilisées pour appréhender ce phénomène. Le choix de la mesure de l’instabilité macroéconomique apparait généralement peu discuté sous le prétexte que les différentes méthodes, basées sur la stationnarisation des séries, résultent en des scores d’instabilité fortement corrélés entre eux. Pourtant, si effectivement ces méthodes convergent lorsque seule l’ampleur moyenne d’une distribution autour d’une valeur de référence est analysée, elles divergent significativement quand on s’intéresse à son asymétrie ou à sa voussure (occurrence des déviations extrêmes). Dans cet article, nous proposons une revue de la littérature sur le sujet et présentons les principales méthodes de calcul de l’instabilité. A partir de données sur les recettes d’exportation de 134 pays de 1970 à 2005, nous comparons ces méthodes et analysons leurs propriétés. Nous distinguons notamment les mesures d’ampleur de l’instabilité, des mesures d’asymétrie, et d’occurrence des déviations extrêmes.

Suggested Citation

  • Joël CARIOLLE, 2012. "Mesurer l’instabilité macroéconomique - Applications aux données de recettes d’exportation, 1970-2005," Working Papers I14, FERDI.
    • Handle: RePEc:fdi:wpaper:638
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    References listed on IDEAS

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    2. BESSO, CHRISTOPHE RAOUL & chameni, celestin, 2016. "Analyse De La Vulnerabilite Macroeconomique De La Zone Franc [Analysis Of The Macroeconomic Vulnerability Of The Franc Zone]," MPRA Paper 75143, University Library of Munich, Germany.
    3. Izu, Akhenaton, 2016. "Volatilité des cours des produits miniers et vulnérabilité de l’économie: est-ce que la croissance économique va s’essouffler en RDC? [Volatility of the prices of the mining products and vulnerabil," MPRA Paper 74751, University Library of Munich, Germany, revised 25 Sep 2016.

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    More about this item

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • F17 - International Economics - - Trade - - - Trade Forecasting and Simulation

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