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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:10.3406/ecop.2000.6127
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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. 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.
  3. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "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?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
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  6. 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.
  7. Johansen, Soren & Juselius, Katarina, 1994. "Identification of the long-run and the short-run structure an application to the ISLM model," Journal of Econometrics, Elsevier, vol. 63(1), pages 7-36, July.
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    • Blanchflower, D. & Oswald, A., 1989. "The Wage Curve," Papers 340, London School of Economics - Centre for Labour Economics.
  9. 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.
  10. 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.
  11. Lawrence F. Katz & Olivier Blanchard, 1999. "Wage Dynamics: Reconciling Theory and Evidence," American Economic Review, American Economic Association, vol. 89(2), pages 69-74, May.
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  13. 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.
  14. 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.).
  15. 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.
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Cited by:
  1. Eric Heyer & Xavier Timbeau, 2002. "Le chômage structurel à 5% en France ?," Sciences Po publications info:hdl:2441/1625, Sciences Po.
  2. Valérie Chauvin & Gaël Dupont & Éric Heyer & Mathieu Plane & Xavier Timbeau, 2002. "Le modèle France de l'OFCE. La nouvelle version : e-mod.fr," Revue de l'OFCE, Presses de Sciences-Po, vol. 81(2), pages 245-300.
  3. Irac, D., 2000. "Estimation of a Time Varying NAIRU for France," Working papers 75, Banque de France.
  4. Claire Sensoli & Francisco Serranito & Thierry Latreille & Olivier Passet & Odile Chagny & Hélène Baudchon & Catherine Mathieu & Christine Rifflart & Hervé Péléraux & Henri Sterdyniak & Paola Ver, 2000. "Tous ensemble ? Perspectives 2000-2001 pour l'économie mondiale," Sciences Po publications info:hdl:2441/2781, Sciences Po.
  5. Frédéric Ghersi & Emmanuel Combet & Jean-Charles Hourcade & Camille Thubin, 2010. "Économie d'une fiscalité carbone en France - Rapport d'étude réalisée avec le soutien de l'ADEME et de la CFDT‐IRES," Post-Print halshs-00458205, HAL.
  6. Eric Heyer & Frederic Reynes & Henri Sterdyniak, 2004. "Observable and unobservable variables in the theory of the equilibrium rate of unemployment, a comparison between France and the United States," Documents de Travail de l'OFCE 2004-06, Observatoire Francais des Conjonctures Economiques (OFCE).
  7. 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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