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Règle du taux d'intérêt optimale, prix des actions et taux d'inflation anticipé : une étude de la stabilité macroéconomique
[Optimal interest rate rule, asset prices and expected inflation rate : a study of the macroeconomic stability]

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Author Info

  • Dai, Meixing
  • Sidiropoulos, Moïse

Abstract

Cet article étudie la stabilité macroéconomique lorsque la Banque Centrale intègre dans sa règle du taux d'intérêt optimale les cours boursiers. Nous montrons que lorsque la Banque Centrale a une forte aversion pour l'inflation en attribuant un poids important à l'objectif de l'inflation par rapport à celui de l'output (le cas d'un banquier « conservateur » au sens de Rogoff), le système économique risque d'être instable. La présence du prix des actions dans la règle du taux d'intérêt optimale de la Banque Centrale n'est pas à l'origine de l'instabilité. (English)This paper examines the macroeconomic stability when monetary authorities include asset prices in their optimal interest rate rule. We show that when the Central Bank has a strong inflationary aversion by giving more important weight to inflation target relative to output target (the case of a "conservative" central banker according to Rogoff), the economy is likely to be unstable. The presence of the asset prices in Central Bank's optimal interest rate rule is not a reason of instability.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 14401.

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Date of creation: Mar 2002
Date of revision: Jun 2003
Publication status: Published in Économie Appliquée 6.4(2003): pp. 115-140
Handle: RePEc:pra:mprapa:14401

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Keywords: Politique monétaire optimale; règle optimale du taux d'intérêt; prox d'actifs; stabilité macroéconomique. (English)Optimal monetary policy; optimal interest rate rule; asset prices; macroeconomic stability;

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References

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  1. David H. Romer, 2000. "Keynesian Macroeconomics without the LM Curve," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 14(2), pages 149-169, Spring.
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  14. DURRE, Alain, 2001. "Would it Be Optimal for Central Banks to Include Asset Prices in Their Loss Function ?," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) 2001013, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
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Citations

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Cited by:
  1. Dai, Meixing, 2006. "Independent inflation-targeting regime versus monetary union: An analysis of dynamic stability under endogenous inflation expectations," MPRA Paper 15142, University Library of Munich, Germany.
  2. Dai, Meixing, 2009. "The Design of a 'Two-Pillar' Monetary Policy Strategy," Economics Discussion Papers 2009-29, Kiel Institute for the World Economy.
  3. Meixing DAI, 2010. "Financial market imperfections and monetary policy strategy," Working Papers of BETA 2010-19, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
  4. Meixing DAI, 2009. "On the role of money growth targeting under inflation targeting regime," Working Papers of BETA 2009-11, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
  5. Dai, Meixing & Sidiropoulos, Moïse, 2005. "Flexibility in inflation targeting, financial markets and macroeconomic stability," MPRA Paper 13864, University Library of Munich, Germany.
  6. Dai, Meixing, 2003. "Une note sur la règle du taux d’intérêt et le rôle de la courbe LM
    [A note on the interest rate rule and the role of LM curve]
    ," MPRA Paper 13779, University Library of Munich, Germany, revised Mar 2009.
  7. Meixing Dai, 2006. "Inflation-targeting under a Managed Exchange Rate: the Case of the Chinese Central Bank," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, Taylor & Francis Journals, vol. 4(3), pages 199-219.

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