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Effet peso : présentation théorique et application à la politique monétaire

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This article deals with the theoretical implications implied by the presence of Peso effects in expectations. After presenting the Peso effect as the probability of occurence of an unusual event though important enough to be taken into account in the forecasts, we present a model able to isolate the systematic expectation error. The appearance of this error comes especially from imperfect information concerning the future states as well as the current regime. This uncertainty about the current regime leads the agents to implement a learning process for the model. In the last part of this article, we show how a credible central bank can limit the occurrence of Peso effects.

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File URL: ftp://mse.univ-paris1.fr/pub/mse/CES2007/V07012.pdf
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Paper provided by Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne in its series Documents de travail du Centre d'Economie de la Sorbonne with number v07012.

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Length: 26 pages
Date of creation: Mar 2007
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Handle: RePEc:mse:cesdoc:v07012

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Keywords: Peso effect; efficient markets; rational expectations.;

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  1. Fourgeaud, Claude & Gourieroux, Christian & Pradel, Jacqueline, 1986. "Learning Procedures and Convergence to Rationality," Econometrica, Econometric Society, vol. 54(4), pages 845-68, July.
  2. Marie-Claude Pichery & François Gardes & Jean-Loup Madre & Salah Ghabri, 1997. "Rationalité des anticipations des ménages. Tests qualitatifs sur données individuelles françaises," Revue économique, Presses de Sciences-Po, vol. 0(3), pages 639-652.
  3. Martin D.D. Evans, 1995. "Peso Problems: Their Theoretical and Empirical Implications," Working Papers 95-05, New York University, Leonard N. Stern School of Business, Department of Economics.
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