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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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    References

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    1. Ball, Laurence, 1999. "Efficient Rules for Monetary Policy," International Finance, Wiley Blackwell, vol. 2(1), pages 63-83, April.
    2. Ben S. Bernanke & Michael Woodford, 1997. "Inflation Forecasts and Monetary Policy," NBER Working Papers 6157, National Bureau of Economic Research, Inc.
    3. Svensson, L-E-O, 1996. "Inflation Forecast Targeting : Implementaing and Monitoring Inflation Targets," Papers 615, Stockholm - International Economic Studies.
    4. Stephen G. Cecchetti, 1997. "Measuring short-run inflation for central bankers," Review, Federal Reserve Bank of St. Louis, issue May, pages 143-155.
    5. Frederic S. Mishkin & Adam S. Posen, 1998. "Inflation Targeting: Lessons from Four Countries," NBER Working Papers 6126, National Bureau of Economic Research, Inc.
    6. Svensson, Lars E. O., 1998. "Inflation targeting as a monetary policy rule," CFS Working Paper Series 1998/16, Center for Financial Studies (CFS).
    7. 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.
    8. Ben S. Bernanke & Frederic S. Mishkin, 1997. "Inflation Targeting: A New Framework for Monetary Policy?," NBER Working Papers 5893, National Bureau of Economic Research, Inc.
    9. Guy Debelle, 1998. "Inflation Targeting in Practice," Occasional Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number occ23, June.
    10. Taylor, John B., 1999. "The robustness and efficiency of monetary policy rules as guidelines for interest rate setting by the European central bank," Journal of Monetary Economics, Elsevier, vol. 43(3), pages 655-679, June.
    11. 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.
    12. 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.
    13. Svensson, L-E-O, 1996. "Price Level Targeting vs Inflation Targeting : A free Lunch?," Papers 614, Stockholm - International Economic Studies.
    14. 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.
    15. 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.
    16. 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.
    17. 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.
    18. 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.
    19. Clarida, Richard & Gali, Jordi & Gertler, Mark, 1998. "Monetary policy rules in practice Some international evidence," European Economic Review, Elsevier, vol. 42(6), pages 1033-1067, June.
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