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Relation de Phillips, boucle prix-salaire : une estimation par la méthode de Johansen

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  • Frédéric Lerais
  • Hervé Le Bihan
  • Eric Heyer

Abstract

[fre] Relation de Phillips, boucle prix-salaire : une estimation par la méthode de Johansen par Eric Heyer, Hervé Le Bihan et Frédéric Lerais . Nous estimons, sur données trimestrielles françaises, une boucle prix-salaire en utilisant la méthode de Johansen, qui permet de prendre en compte la non-stationnarité des séries et le caractère simultané des interactions. Les prix et salaires étant caractérisés comme des variables I(2), nous spécifions le système en taux de croissance. La courbe de Phillips traditionnelle est alors interprétée comme une relation de cointegration. La spécification retenue permet de tester différentes hypothèses d'indexation et de modéliser les rigidités nominales de court terme. Suivant la démarche de Johansen et Juselius (1995), nous identifions et estimons des équations de prix et salaires de court terme susceptibles de recevoir une interprétation structurelle. [eng] Revisiting the Classic Augmented Phillips Curve for France: a VECM Approach by Eric Heyer, Hervé Le Bihan et Frédéric Lerais . This paper presents an empirical model of a price- wage loop based on French quarterly data. We apply the Johansen maximum likelihood technique to deal with the series' non-stationarity and capture nominal rigidities. Given that prices and wages can be treated as I(2) variables, we estimate a VECM in terms of price and wage differences. The classic augmented Phillips curve is hence interpreted as a cointegration relation. Our specification is used to test different wage and price indexation assumptions and to model short-run nominal rigidities. Two other long-run relations are identified: the mark-up of value-added prices over labour costs and a consumer price inflation equation involving import prices. We also use the Johansen and Juselius (1995) approach to identify and estimate a set of structural short-run price and wage equations.

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Bibliographic Info

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

Volume (Year): 146 (2000)
Issue (Month): 5 ()
Pages: 43-60

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_2000_num_146_5_6127

Note: DOI:doi:10.3406/ecop.2000.6127
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Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecop

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  1. Engle, Robert F. & Hendry, David F., 1993. "Testing superexogeneity and invariance in regression models," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 119-139, March.
  2. Nicolas Sobczak & Yannick L'Horty, 1997. "Les déterminants du chômage d'équilibre : estimation d'un modèle WS-PS," Économie et Prévision, Programme National Persée, vol. 127(1), pages 101-116.
  3. Shadman-Mehta, Fatemeh, 1996. "Does Modern Econometrics replicate the Phillips Curve?," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1996015, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  4. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, September.
  5. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
  6. Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244.
  7. Søren Johansen & Katarina Juselius, 1992. "Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model," Discussion Papers 92-04, University of Copenhagen. Department of Economics.
  8. Olivier Jean Blanchard & Lawrence Katz, 1999. "Wage Dynamics: Reconciling Theory and Evidence," NBER Working Papers 6924, National Bureau of Economic Research, Inc.
  9. Henri Sterdyniak & Hervé Le Bihan, 1998. "Courbe de Phillips et modèle WS-PS. Quelques réflexions," Revue Économique, Programme National Persée, vol. 49(3), pages 937-948.
  10. Chiarini, Bruno & Piselli, Paolo, 1997. "Wage Setting, Wage Curve and Phillips Curve: The Italian Evidence," Scottish Journal of Political Economy, Scottish Economic Society, vol. 44(5), pages 545-65, November.
  11. Clara Jørgensen & Hans Christian Kongsted & Anders Rahbek, 1996. "Trend-Stationarity in the I(2) Cointegration Model," Discussion Papers 96-12, University of Copenhagen. Department of Economics.
  12. Hall, S G, 1989. "Maximum Likelihood Estimation of Cointegration Vectors: An Example of the Johansen Procedure," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 51(2), pages 213-18, March.
  13. John M. Roberts & Norman J. Morin, 1999. "Is hysteresis important for U.S. unemployment?," Finance and Economics Discussion Series 1999-56, Board of Governors of the Federal Reserve System (U.S.).
  14. Yannick L’Horty & Christophe Rault, 2003. "Les causes du chômage en France. Une ré-estimation du modèle ws-ps," Revue économique, Presses de Sciences-Po, vol. 54(2), pages 271-294.
  15. Julia Darby & Simon Wren-Lewis, 1993. "Is There a Cointegrating Vector for UK Wages?," Journal of Economic Studies, Emerald Group Publishing, vol. 20(1/2), pages 87-115, January.
  16. Florence Thibault & Yannick L'Horty, 1997. "Le Nairu en France : les insuffisances d'une courbe de Phillips," Économie et Prévision, Programme National Persée, vol. 127(1), pages 83-99.
  17. Juselius, Katarina, 1992. "Domestic and foreign effects on prices in an open economy: The case of Denmark," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 401-428, August.
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Cited by:
  1. Irac, D., 2000. "Estimation of a Time Varying NAIRU for France," Working papers 75, Banque de France.
  2. Frédéric Ghersi & Emmanuel Combet & Jean-Charles Hourcade & Camille Thubin, 2010. "Économie d'une fiscalité carbone en France," Post-Print halshs-00458205, HAL.
  3. Heyer, Eric & Reynes, Frederic & Sterdyniak, Henri, 2007. "Structural and reduced approaches of the equilibrium rate of unemployment, a comparison between France and the United States," Economic Modelling, Elsevier, vol. 24(1), pages 42-65, January.

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