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La modélisation VAR structurel : application à la politique monétaire en France

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Author Info
Bruneau, C.
De Bandt, O.

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Abstract

This paper discusses the purposes and limits of " structural " VAR modeling. It explains the choices that modelers have to make at different stages of the procedure. An illustration is provided by an analysis of monetary policy shocks in France over the 1972 : 1-1995 : 2. Compared with previous studies of this country, the main finding is the statistically significant effect of monetary policy on economic activity and inflation. This is found by introducing an additional variable that measures budget policy. The article shows that " structural " VARs can be used to analyse the 1993 recession.

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File URL: http://www.banque-france.fr/fr/publications/telechar/ner/ner52.pdf
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Publisher Info
Paper provided by Banque de France in its series Documents de Travail with number 52.

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Length: 44 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:bfr:banfra:52

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Postal: Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS
Web page: http://www.banque-france.fr/
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Keywords: VAR ; Structural models ; Time Series ; Estimation ; Monetary shocks ; France.;

References listed on IDEAS
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  1. Olivier J. Blanchard & Mark W. Watson, 1986. "Are Business Cycles All Alike?," NBER Chapters, in: The American Business Cycle: Continuity and Change, pages 123-180 National Bureau of Economic Research, Inc. [Downloadable!]
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  2. Lawrence J. Christiano & Martin Eichenbaum & Charles Evans, 1994. "The effects of monetary policy shocks: evidence from the flow of funds," Proceedings, Federal Reserve Bank of Dallas, issue Apr.
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  3. Bernanke, Ben S. & Mihov, Ilian, 1995. "Measuring Monetary Policy," Economics Series 10, Institute for Advanced Studies. [Downloadable!]
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  4. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-73, September. [Downloadable!] (restricted)
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  5. Bernanke, Ben S., 1986. "Alternative explanations of the money-income correlation," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 49-99, January. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. ODIA NDONGO, Yves Francis, 2007. "Les sources des fluctuations marcoéconomiques au Cameroun," MPRA Paper 1308, University Library of Munich, Germany. [Downloadable!]
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