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Money and risk aversion in a DSGE framework : a bayesian application to the euro zone

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  • Jonathan Benchimol

    (Economics Department - ESSEC Business School)

  • André Fourçans

    (Economics Department - ESSEC Business School)

Abstract

Cet article présente un modèle théorique et empirique de la zone euro, en mettant en perspective le rôle de la monnaie. Le modèle s'inscrit dans le cadre " Nouveaux Keynésiens-DSGE ", la monnaie étant introduite dans la fonction d'utilité des ménages sous une forme non-séparable. En testant le modèle selon la méthode bayésienne nous expliquons la variance de la production et de l'inflation, mais aussi du taux d'intérêt, des balances réelles, de la production et des balances réelles en prix flexibles. Le rôle de la monnaie est analysé plus particulièrement. Nous montrons que son impact sur la production dépend du degré d'aversion au risque des agents, qu'il augmente avec ce degré, et qu'il devient significatif quand l'aversion au risque inter-temporel est suffisamment élevée. L'impact direct de la monnaie est en revanche très limité pour expliquer la variance de l'inflation, la politique monétaire, via le taux d'intérêt, constituant le facteur dominant.

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Paper provided by HAL in its series Post-Print with number hal-00572374.

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Date of creation: Apr 2010
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Handle: RePEc:hal:journl:hal-00572374

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Keywords: Estimation bayésienne ; Modèle DSGE ; Monnaie ; Zone euro;

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Citations

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Cited by:
  1. Jonathan Benchimol & André Fourçans, 2012. "The role of money and monetary policy in crisis periods: the Euro area case," Post-Print hal-00672806, HAL.
  2. repec:hal:cesptp:hal-00800539 is not listed on IDEAS
  3. Jonathan Benchimol, 2013. "Money in the Production Function : A New Keynesian DSGE Perspective," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00795547, HAL.
  4. Crifo, Patricia & Mottis, Nicolas, 2010. "SRI Analysis and Asset Management: Independent or Convergent? A Field Study on the French Market," ESSEC Working Papers DR 10006, ESSEC Research Center, ESSEC Business School.
  5. Jonathan Benchimol, 2012. "Risk Aversion in the Euro area," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00713669, HAL.
  6. repec:hal:wpaper:hal-00800539 is not listed on IDEAS
  7. Benchimol, Jonathan, 2014. "Risk aversion in the Eurozone," Research in Economics, Elsevier, vol. 68(1), pages 39-56.

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  1. McCallum rule in Wikipedia English ne '')
  2. Пари in Wikipedia Bulgarian ne '')
  3. Monnaie in Wikipedia French ne '')
  4. Demand for money in Wikipedia English ne '')
  5. André Fourçans in Wikipedia French ne '')
  6. Robert E. Lucas in Wikipedia French ne '')
  7. Taylor rule in Wikipedia English ne '')
  8. Monetary policy in Wikipedia English ne '')
  9. Nominal income target in Wikipedia English ne '')
  10. Money in Wikipedia English ne '')
  11. Regla de Taylor in Wikipedia Spanish ne '')
  12. New Keynesian economics in Wikipedia English ne '')

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