Une étude empirique des sources des fluctuations économiques dans le cadre d'un modéle à tendances communes
AbstractThe estimation of common trends models allows us to shed light on the debate about the source of economic fluctuations in four OECD countries. As one cointegrating relation is found between the real GNP, the government expenditures, the monetary aggregate M1 and the real GNP deflator, three common trends are identified. The supply permanent shock accounts for a large part of business cycle variations of the four variables. However, the innovations in the demand stochastic trends appear highly significant in explaining the short run fluctuations of the real GNP and have persistent effects on its level.
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Bibliographic InfoArticle provided by ENSAE in its journal Annals of Economics and Statistics.
Volume (Year): (1993)
Issue (Month): 30 ()
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- Jean-Olivier Hairault & Frédérique Bec, 1993. "Taux d'intérêt, politique monétaire et activité économique en France : un examen empirique," Économie et Prévision, Programme National Persée, vol. 109(3), pages 13-24.
- Olivier De Bandt & Catherine Bruneau, 1999.
"La modélisation Var "structurel" : application à la politique monétaire en France,"
Économie et Prévision,
Programme National Persée, vol. 137(1), pages 67-94.
- Bruneau, C. & De Bandt, O., 1998. "La modélisation VAR structurel : application à la politique monétaire en France," Working papers 52, Banque de France.
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