L'inflation sous-jacente en France, en Allemagne et Royaume-Uni

Central banks usually work with inflation targets, either directly or indirectly. In any case, it is in their interest to have an accurate measure of structural inflation, i.e. cyclically adjusted inflation. This component of inflation, also called core inflation, is here obtained from a structural VAR model. Economists generally agree on the long-term neutrality of inflation with regard to output. Use of such a constraint in a structural VAR model, including observed inflation and output, makes it possible to disentangle the core from the cyclical component of inflation. Core inflation is obtained by cancelling the cyclical component attributable to output shocks. Quah and Vahey (1995) use the identification method proposed by Blanchard and Quah (1989) to compute core inflation in the United Kingdom; we have adopted the same technique for France, Germany and the United Kingdom. In addition, we have confirmed the procyclical nature of short-term inflation in the three countries and shown that, since 1993, inflation has been closer to its underlying level in Germany than in its partners. Greater nominal rigidities would explain this difference.