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Impulsions dominantes et analyse des fluctuations de l’économie française

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  • Bec, Frédérique

    (CREST-ENSAE)

Abstract

Following Brunner and Meltzer [1978], the dominant impulses hypothesis attributes the business cycles to the unanticipated component of a set of explicit home and foreign impulses. While maintaining this frame, our study departs from this approach by using a more sophisticated statistical methodology recently developped in the field of time series econometrics. The analysis of a VAR model including real GDP, its price deflator, a monetary aggregate, an indicator of fiscal policy, the import price index and the foreign demand, supports an explanation of the French economic fluctuations in terms of multiple impulses in the short run. More precisely, it underlines the necessity of taking foreign impulses into account, the foreign demand shock dominating the foreign price impulse. L’approche des impulsions dominantes, dans la tradition de Brunner et Meltzer [1978], considère que les fluctuations économiques conjoncturelles sont dues à la composante non anticipée d’un ensemble d’impulsions explicites domestiques et étrangères. Bien que s’inscrivant dans cette approche, notre étude se propose de la reformuler dans un cadre statistique plus performant en utilisant les développements récents de l’économétrie des séries temporelles. L’analyse d’un modèle VAR incluant le PIB en volume, son déflateur, un agrégat monétaire, un indicateur des actions gouvernementales en matière de politique budgétaire, le prix des importations et la demande étrangère plaide en faveur d’une explication en termes d’impulsions multiples des fluctuations de l’économie française à court terme, et souligne l’importance de la prise en compte des chocs étrangers, et plus particulièrement des chocs de demande étrangère.

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Bibliographic Info

Article provided by Société Canadienne de Science Economique in its journal L'Actualité économique.

Volume (Year): 70 (1994)
Issue (Month): 1 (mars)
Pages: 5-26

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Handle: RePEc:ris:actuec:v:70:y:1994:i:1:p:5-26

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Web page: http://www.scse.ca/
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  1. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  2. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc.
  3. Kunst, Robert & Neusser, Klaus, 1990. "Cointegration in a Macroeconomic System," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(4), pages 351-65, Oct.-Dec..
  4. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  5. Fratianni, Michele, 1978. "Inflation and unanticipated changes in output in Italy," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 8(1), pages 141-180, January.
  6. Robert J. Barro, 1976. "Unanticipated Money Growth and Unemployment in the United States," Working Papers 234, Queen's University, Department of Economics.
  7. Boschen, John F. & Mills, Leonard O., 1988. "Tests of the relation between money and output in the real business cycle model," Journal of Monetary Economics, Elsevier, vol. 22(3), pages 355-374.
  8. Barro, Robert J. & Fischer, Stanley, 1976. "Recent developments in monetary theory," Journal of Monetary Economics, Elsevier, vol. 2(2), pages 133-167, April.
  9. Jean-Claude Chouraqui & Robert P. Hagemann & Nicola Sartor, 1990. "Indicators of Fiscal Policy: A Re-Examination," OECD Economics Department Working Papers 78, OECD Publishing.
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