Résumé
The short-termanalysis of a country'seconomy in a context of globalisation and interdependenceis a verydelicate and complexexercise for the management of economic and monetarypolicy. Indeed, managers and politicaldecision-makersscrutinize the economic conditions of the moment, make anticipations, and adapttheirgovernanceaccordingly. Thus, the evolution of the parametersthat influence the rate of growth of the Gross Domestic Product (GDP) fuels passions and animatesdebates. Time seriesfrom the real and financialeconomy do not have the samecharacteristics, both in terms of their sampling frequency and theirpredictive contribution. This raises questions about the use of thesedata: -Which temporal aggregationis the mostrelevant? -Whatindicatorsshouldbeconsidered? -What model can beconstructedfor a givenestimate, at what temporal frequency? The purpose of ourstudyis to answerthese questions by evokingfundamentalelements of econometric estimation in order to discern the problems and issues at stake. Weattempt a new model construction and applyit to the GDP data of the French economy, the unemployment rate and the CAC 40 stock market index from the 1st quarter of 2010 to the 3rd quarter of 2012.