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Règle monétaire et cible de prévisions d’inflation

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  • Lecarpentier-Moyal, Sylvie

    (CREREG, Université de Rennes I)

  • Payelle, Nathalie

    (CREREG, Université de Rennes I)

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    Abstract

    Compared to other strategies of monetary policy, implementing a rule for direct targeting inflation presents many advantages in theory, essentially in terms of credibility. But many operational problems related to such rules lead to question about the choice of inflation forecasts. We realized an empirical study based on historical and stochastic simulations, using french data over the period 1978-1997. We find evidence on such a rule with reaction coefficients that are consistent with efficient monetary policy. We show that the performance of this rule is highly sensitive to the way the inflation forecasts are generated. Par rapport aux autres dispositifs de politique monétaire, la mise en place d’une règle de cible directe d’inflation présente en théorie de nombreux avantages, essentiellement en termes de crédibilité. Mais les multiples problèmes opérationnels soulevés conduisent à s’interroger en particulier sur le choix des prévisions d’inflation. Une étude empirique menée sur données françaises, et sur la période 1978-1997 est réalisée à partir de simulations historiques et stochastiques. Elle milite en faveur d’une telle règle avec des coefficients de réaction modérés (compatibles avec une politique monétaire efficace). Elle permet également de montrer le degré de sensibilité de la performance de cette règle au choix du mode d’élaboration des prévisions d’inflation.

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    Bibliographic Info

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

    Volume (Year): 77 (2001)
    Issue (Month): 4 (décembre)
    Pages: 531-568

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    Handle: RePEc:ris:actuec:v:77:y:2001:i:4:p:531-568

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    1. Kydland, Finn E & Prescott, Edward C, 1977. "Rules Rather Than Discretion: The Inconsistency of Optimal Plans," Journal of Political Economy, University of Chicago Press, vol. 85(3), pages 473-91, June.
    2. Ben S. Bernanke & Frederic S. Mishkin, 1997. "Inflation Targeting: A New Framework for Monetary Policy?," Journal of Economic Perspectives, American Economic Association, vol. 11(2), pages 97-116, Spring.
    3. Taylor, John B., 1993. "Discretion versus policy rules in practice," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 39(1), pages 195-214, December.
    4. Taylor, John B., 1998. "The Robustness and Efficiency of Monetary Policy Rules as Guidelines for Interest Rate Setting by the European Central Bank," Seminar Papers 649, Stockholm University, Institute for International Economic Studies.
    5. Ben S. Bernanke & Michael Woodford, 1997. "Inflation Forecasts and Monetary Policy," NBER Working Papers 6157, National Bureau of Economic Research, Inc.
    6. Svensson, Lars E. O., 1997. "Inflation forecast targeting: Implementing and monitoring inflation targets," European Economic Review, Elsevier, vol. 41(6), pages 1111-1146, June.
    7. Laurence Ball, 1997. "Efficient Rules for Monetary Policy," NBER Working Papers 5952, National Bureau of Economic Research, Inc.
    8. Guy Debelle, 1997. "Inflation Targeting in Practice," IMF Working Papers 97/35, International Monetary Fund.
    9. Mccallum, Bennet T., 1988. "Robustness properties of a rule for monetary policy," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 29(1), pages 173-203, January.
    10. Frederic S. Mishkin & Adam S. Posen, 1997. "Inflation targeting: lessons from four countries," Economic Policy Review, Federal Reserve Bank of New York, issue Aug, pages 9-110.
    11. Svensson, L-E-O, 1996. "Price Level Targeting vs Inflation Targeting : A free Lunch?," Papers 614, Stockholm - International Economic Studies.
    12. Clarida, Richard & Galí, Jordi & Gertler, Mark, 1997. "Monetary Policy Rules in Practice: Some International Evidence," CEPR Discussion Papers 1750, C.E.P.R. Discussion Papers.
    13. Svensson, L.E.O., 1998. "Inflation Targeting as a Monetary Policy Rule," Papers 646, Stockholm - International Economic Studies.
    14. C. Alan Garner, 1995. "How useful are leading indicators of inflation?," Economic Review, Federal Reserve Bank of Kansas City, issue Q II, pages 5-18.
    15. Barro, Robert J & Gordon, David B, 1983. "A Positive Theory of Monetary Policy in a Natural Rate Model," Journal of Political Economy, University of Chicago Press, vol. 91(4), pages 589-610, August.
    16. Stephen G. Cecchetti, 1996. "Measuring Short-Run Inflation for Central Bankers," NBER Working Papers 5786, National Bureau of Economic Research, Inc.
    17. Taylor, J.B., 1998. "The Robustness and Efficiency of Monetary Policy Rules as Guidelines for Interest Rate Setting by European Central Bank," Papers 649, Stockholm - International Economic Studies.
    18. Joaquim Vieira Ferreira Levy & Ioannis Halikias, 1997. "Aspects of the Monetary Transmission Mechanism Under Exchange Rate Targeting," IMF Working Papers 97/44, International Monetary Fund.
    19. Bennett T. McCallum, 1987. "The case for rules in the conduct of monetary policy: a concrete example," Economic Review, Federal Reserve Bank of Richmond, issue Sep, pages 10-18.
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