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La modélisation Var "structurel" : application à la politique monétaire en France

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  • Olivier De Bandt
  • Catherine Bruneau

Abstract

[eng] Structural VAR modeling: application to France's monetary policy by Catherine Bruneau and Olivier De Bandt . This paper discusses the purposes and limits of "structural" VAR modeling. It explains the choices that modelers have to make at different stages of the procedure. An illustration is provided by an analysis of monetary policy shocks in France over the 1972:1-1995:2 period. Compared with previous studies of this country, the main finding is the statistically significant effect of monetary policy on economic activity and inflation. This is found by introducing an additional variable that measures budget policy. The article shows that "structural" VARs can be used to analyse the 1993 recession. [fre] La modélisation Var structurel : application à la politique monétaire en France par Catherine Bruneau et Olivier De Bandt . L'article discute de l'intérêt et des limites de la modélisation Var "structurel". Il explicite les choix que le modélisateur doit opérer aux différentes étapes de la procédure. Une illustration est fournie par une analyse des chocs de politique monétaire en France sur la période 1972:11995:2. Par rapport aux travaux antérieurs portant sur ce pays, le résultat essentiel est la mise en évidence d'un effet statistiquement significatif de la politique monétaire sur l'activité et l'inflation. On introduit pour cela une variable supplémentaire mesurant la politique budgétaire. L'article rend compte de la capacité des Var " structurels " à analyser la récession de 1993.

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Bibliographic Info

Article provided by Programme National Persée in its journal Économie & prévision.

Volume (Year): 137 (1999)
Issue (Month): 1 ()
Pages: 67-94

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_1999_num_137_1_5948

Note: DOI:10.3406/ecop.1999.5948
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Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecop

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  1. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  2. Christopher A. Sims, 1992. "Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy," Cowles Foundation Discussion Papers 1011, Cowles Foundation for Research in Economics, Yale University.
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  11. Bernanke, Ben S. & Mihov, Ilian, 1995. "Measuring Monetary Policy," Economics Series 10, Institute for Advanced Studies.
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  13. Sims, Christopher A, 1980. "Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered," American Economic Review, American Economic Association, vol. 70(2), pages 250-57, May.
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  16. Ben S. Bernanke, 1986. "Alternative Explanations of the Money-Income Correlation," NBER Working Papers 1842, National Bureau of Economic Research, Inc.
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  18. Bruneau, C. & De Bandt, O., 1999. "Fiscal Policy in the Transition to Monetary Union: a Structural VAR Model," Working papers 60, Banque de France.
  19. Frédérique BEC & Jean-Olivier HAIRAUT, 1993. "Une étude empirique des sources des fluctuations économiques dans le cadre d'un modéle à tendances communes," Annales d'Economie et de Statistique, ENSAE, issue 30, pages 85-120.
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Citations

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Cited by:
  1. Adrien Verdelhan & Sophie Garcia, 2001. "Le policy-mix de la zone euro. Une évaluation de l'impact des chocs monétaires et budgétaires," Économie et Prévision, Programme National Persée, vol. 148(2), pages 23-40.
  2. Ghassan, Hassan B., 2003. "Test de l’effet de stabilisation automatique par la modélisation SVAR sans contrainte de long terme
    [Testing the Automatic Stabilization Effect: Evidence from SVAR Model without Long-Term Constr
    ," MPRA Paper 56387, University Library of Munich, Germany, revised 02 Apr 2003.
  3. Monticello, Carlo & Tristani, Oreste, 1999. "What does the single monetary policy do? A SVAR benchmark for the European Central Bank," Working Paper Series 0002, European Central Bank.
  4. Benoît Mojon, 1998. "Monetary Policy Under a Fixed Exchange Rate Regime, the Case of France 1987-1996," Working Papers 1998-14, CEPII research center.
  5. ODIA NDONGO, Yves Francis, 2007. "Les sources des fluctuations marcoéconomiques au Cameroun," MPRA Paper 1308, University Library of Munich, Germany.

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