Advertisement

Cliometrica

, Volume 3, Issue 3, pp 275–300 | Cite as

French economic cycles: a wavelet analysis of French retrospective GNP series

  • Patrice BaubeauEmail author
  • Bernard Cazelles
Original Paper

Abstract

Although 50 years of scientific work has been invested in building retrospective economic time series, their reliability is still debated, a good example being the two competing nineteenth century French GNP series. Instead of trying to bring up some new details to gauge their respective accuracy, we propose a different route, i.e. testing the intrinsic features of these two series, in absolute terms first, then by benchmarking them to a non-retrospective time series. In order to do that, we rely on new mathematical tools—wavelet spectrum analysis—developed in signal processing. This leads to a new approach, which separates the accuracy of a series between amplitude and time variations, and brings nuanced conclusions as to which of the two series tested is the best: indeed, since a trade-off is almost inescapable between the two criterions of accuracy, the statistical quality of one retrospective time series tends to linger either on one side (amplitude level) or the other (time variations). Our study also shows that variance distribution along the time axis is a good proxy for complex retrospective series accuracy.

Keywords

Wavelets Data estimation methodology Macroeconomics 

JEL Classification

C49 E01 E32 E51 E58 N13 N24 N01 

References

  1. Asselain J-C (2007) Le projet français d’ “ histoire économique quantitative”: Ambitions et resultats”, Economies et Sociétés Série “Histoire économique quantitative. Ser AF 4(36):567–609Google Scholar
  2. Baker M, Collins M (1999) Financial crises and structural change in english commercial bank assets, 1860–1913. Explor Econ Hist 36(4):428–444CrossRefGoogle Scholar
  3. Baubeau P (2004) Les cathédrales de papier, Naissance et subversion du système de l’escompte en France, fin 18e-premier 20e siècle. PhD dissertation, Université Paris X Nanterre, pp. 236–237Google Scholar
  4. Billoret J-L (1969) Système bancaire et dynamique économique dans un pays à monnaie stable, France 1816–1914. Thèse en vue de l’obtention du doctorat ès-sciences économiques, Université de Nancy, Nancy, p 63Google Scholar
  5. Bourguignon F, Lévy-Leboyer M (1985) L’économie française au XIXe siècle: Analyse macroéconomique. Economica, ParisGoogle Scholar
  6. Caron F, Bouvier J (1993) Les indices majeurs. In: Labrousse E, Braudel F. Histoire économique et sociale de la France, vol. 4, années 1880–1950, La croissance industrielle, Le temps des Guerres mondiales et la Grande crise Paris, PUF (1st edn 1979)Google Scholar
  7. Cazelles B, Chavez M, Constantin de Magny G, Guégan J-F, Hales S (2007) Time dependent spectral analysis of epidemiological time series with wavelets. J R Soc Interface 4:625–636. doi: 10.1098/rsif.2007.0212 CrossRefGoogle Scholar
  8. Coquelin C (1852) Crises économiques. Dictionnaire d’économie politique, vol 1. Guillaumin, ParisGoogle Scholar
  9. Crafts N (2004) Productivity growth in the industrial revolution: a new growth accounting perspective. J Econ Hist 64:521–535CrossRefGoogle Scholar
  10. Crafts N, Harley K (1992) Output growth and the industrial revolution: a restatement of the Crafts-Harley view. Economic History Review, 45Google Scholar
  11. Diebolt C (2005) Long cycles revisited, an essay in econometric history. AFC Working Paper, no. 5Google Scholar
  12. Diebolt C, Doliger C (2005) Kuznets versus Kitchin, Juglar & Kondratieff: Renewed spectral analysis of comparative growth of per capita GDP series in the OECD countries in the nineteenth and twentieth centuries. AFC Working Papers, no. 2Google Scholar
  13. Efron B, Tibshirani RJ (1993) An introduction to the bootstrap. Chapman and Hall, LondonGoogle Scholar
  14. Iacobucci A (2003) Spectral analysis for economic time series. OFCE Working Paper, November 2003, no. 07Google Scholar
  15. Juglar C (1862) Des crises commerciales et de leur retour périodique. Guillemin, ParisGoogle Scholar
  16. Kuznets S, Epstein L, Jenks E (1941) National income and its composition: 1919–1938. C.U.P, New YorkGoogle Scholar
  17. Labrousse E (1993) A livre ouvert sur les élans et les vicissitudes des croissances. In: Labrousse E, Braudel F (eds) Histoire économique et sociale de la France, vol 3, 1789- années 1880, L’avènement de l’ère industrielle, Paris, PUF (1st edn 1976)Google Scholar
  18. Lau WK-M, Weng H (1995) Climatic signal detection using wavelet transform: how to make a time series sing. Bull Am Meteorol Soc 76:2391–2402CrossRefGoogle Scholar
  19. Maddison A (2003) L’économie mondiale: statistiques historiques. OCDE, ParisGoogle Scholar
  20. Mallat S (1998) A wavelet tour of signal processing. Academic Press, San DiegoGoogle Scholar
  21. Mitchell BR (2003) International historical statistics, vol 3. Palgrave, BasingstokeGoogle Scholar
  22. Nishimura S (1971) The decline of inland bills of exchange in the London money market, 1855–1913. Cambridge University Press, CambridgeGoogle Scholar
  23. Ramon G (1929) Histoire de la banque de france d’après les sources originales. Grasset, ParisGoogle Scholar
  24. Ritschl A, Uebele M (2005) Stock markets and business cycle comovement in germany before World War I: evidence from spectral analysis. SFB 649 Discussion Paper 2005–056, Humboldt-Universität zu, BerlinGoogle Scholar
  25. Roulleau G (1914) Les règlements par effets de commerce en France et à l’étranger. Paris, Imp. Dubreuil, Frèrebeau et CieGoogle Scholar
  26. Schleicher C (2002) An introduction to wavelets for economists. Bank of Canada Banque du Canada, Working Paper 2002–3/Document de travail 2002–3Google Scholar
  27. Shumway RH, Stoffer DS (2000) Time series analysis and its applications. SpringerGoogle Scholar
  28. Temin P (1996) Two views of the British industrial revolution. NBER Working Paper Series on Historical Factors in Long Run Growth, NBER, 81, 1996 (published in 1997 in The Journal of Economic History)Google Scholar
  29. Temin P (2000) A response to Harley and Crafts. J Econ Hist 60(3):842–846CrossRefGoogle Scholar
  30. Torrence C, Compo GP (1998) A practical guide to wavelet analysis. Bull Am Meteorol Soc 79:61–78CrossRefGoogle Scholar
  31. Toutain J-C (1996) Comparaison entre les différentes évaluations du produit intérieur brut de la France de 1815 à 1938 ou L’histoire économique quantitative a-t-elle un sens ? Revue économique 47(4):893–919. http://www.persee.fr
  32. Toutain J-C (1997) Le produit intérieur brut de la France, 1789–1990. Economies et Sociétés, Histoire économique quantitative Série HEQ no 1, no 11, pp 5–136Google Scholar
  33. Verley P (1995) L’industrialisation, 1830–1914. In: Gueslin A (ed) Nouvelle histoire économique de la France contemporaine. vol. 2, Paris, La Découverte (1st edn 1989) pp 12–13Google Scholar

Copyright information

© Springer-Verlag 2008

Authors and Affiliations

  1. 1.Agence Nationale de la Recherche—CoDiSyNaUniversité Paris Ouest Nanterre La Défense—IDHE, CNRS UMR 8533Nanterre CedexFrance
  2. 2.CNRS UMR 7625, Ecole Normale SupérieureParisFrance
  3. 3.IRD UR GEODESBondyFrance

Personalised recommendations