Revue Economie, Gestion et Société, Vol. 1, No 24 (2020)

MODÉLISATION PRÉVISIONNELLE PAR HAWKES PROCESS DES CRISES ECONOMIQUES

Habib ELFATHAOUI

Résumé


The object of this article is to work on the modeling of recurrent shocks likely to affect an economy in the period of economic crises, we take into consideration the endogenous aspect of such shocks by basing our analysis on a model inspired by the Hawkes process. Taking into account the interdependence of events in addition to the foundations of the Poisson function allows us to have a much more realistic approach to the course of events. The determinants of the Hawkes process implemented on a series of Morocco's GDP give us an image taking up in many aspects the intensity of the crisis and its duration based on the assumption of self-excitation and a cluster effect behavior after the crisis.