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Les chocs monétaires et la persistance du taux de chômage

Author

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  • Moïse Sidiropoulos
  • Jamel Trabelsi

Abstract

[fre] L'objectif de cet article est de rechercher un mécanisme de propagation des chocs susceptible d''expliquer l'émergence des phénomènes de persistance du taux de chômage en Allemagne. Notre travail s''appuie sur un modèle théorique au travers duquel nous construisons la dynamique qui génère le taux de chômage et où les différents chocs économiques sont mis en valeur. Plus particulièrement, nous nous sommes intéressés à l'étude de l'impact des chocs monétaires de nature interne (choc de politique monétaire domestique) et externe (choc dû à une hausse du taux d'intérêt américain), au moyen d''un modèle ARCH-M. Les résultats empiriques mettent en valeur l'ampleur de l''impact des chocs externes sur la variance non conditionnelle du taux de chômage, laquelle agit directement sur le taux de chômage dans l'équation de la moyenne. Le mécanisme de propagation des chocs croisés, formalisé par le modèle ARCH-M, nous a permis d'expliquer la persistance du taux chômage par la persistance des chocs de volatilité, lesquels sont générés par des chocs externes et internes. [eng] Monetary Shocks and Persistent Unemployment . by Moïse Sidiropoulos and Jamel Trabelsi . This paper sets out to find a shock propagation mechanism that could explain persistent unemployment rates in Germany. Our work is based on an “ insider outsider” theoretical model, which constructs the dynamics that generate the unemployment rate and highlights the different economic shocks. We are especially interested in studying the effect of internal monetary shocks (domestic monetary policy shock) and external monetary shocks (shock due to an increase in the American interest rate) using the ARCH-M model. Our empirical findings show the extent of the effect of external shocks on the unemployment rate’s unconditional variance, which directly affects the unemployment rate in the mean equation. The crossed shock propagation mechanism, formalised by theARCH-Mmodel, explains the persistence of the unemployment rate by the persistence of volatility shocks, which are generated by external and internal shocks. . .

Suggested Citation

  • Moïse Sidiropoulos & Jamel Trabelsi, 2001. "Les chocs monétaires et la persistance du taux de chômage," Économie et Prévision, Programme National Persée, vol. 148(2), pages 41-47.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_2001_num_148_2_6276
    DOI: 10.3406/ecop.2001.6276
    Note: DOI:10.3406/ecop.2001.6276
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    1. Alain Maurin & Roland Craigwell & Sébastien Mathouraparsad, 2011. "Modeling time series of unemployment rates in the Caribbean basin," EcoMod2011 3296, EcoMod.

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