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Règle de Taylor vs Règle-icm. Application à la zone euro

  • Grégory Levieuge

The aim of this article is to determine what is the optimal strategy of central banks (in particular of ecb) towards the exchange rate. According to the optimal monetary policy rules determined from a two-country (ea-usa) hybrid model with rational expectations, monetary authorities have to react to the exchange rate, in addition to the inflation and the output gap. This result confirms the superiority of strategies built around a Monetary Conditions Index (mci) on Taylor rules. Besides, the sensitive analysis of mci-rules according to the nature of shocks does not allow to assert that theses rules imply systematically a conflict of objective in case of real shocks. But the uncertainty which characterizes the equilibrium value of the exchange rate tends to minimize, even to annihilate, the role played by the exchange rate in the optimal monetary policy strategy.Classification JEL : E43, E47, E5.

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Article provided by Presses de Sciences-Po in its journal Revue économique.

Volume (Year): 57 (2006)
Issue (Month): 1 ()
Pages: 85-121

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Handle: RePEc:cai:recosp:reco_571_121
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  1. Svensson, Lars E.O., 1998. "Open-Economy Inflation Targeting," Seminar Papers 638, Stockholm University, Institute for International Economic Studies.
  2. Julio Rotemberg & Michael Woodford, 1997. "An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy," NBER Chapters, in: NBER Macroeconomics Annual 1997, Volume 12, pages 297-361 National Bureau of Economic Research, Inc.
  3. Smets, Frank, 2000. "What horizon for price stability," Working Paper Series 0024, European Central Bank.
  4. John B. Taylor, 2001. "The Role of the Exchange Rate in Monetary-Policy Rules," American Economic Review, American Economic Association, vol. 91(2), pages 263-267, May.
  5. Naug, Bjorn & Nymoen, Ragnar, 1996. " Pricing to Market in a Small Open Economy," Scandinavian Journal of Economics, Wiley Blackwell, vol. 98(3), pages 329-50.
  6. Jean-Guillaume Sahuc, 2003. "Robust European monetary policy rules," Applied Economics Letters, Taylor & Francis Journals, vol. 10(14), pages 889-894.
  7. P.A. Tinsley, 1993. "Fitting both data and theories: polynomial adjustment costs and error- correction decision rules," Finance and Economics Discussion Series 93-21, Board of Governors of the Federal Reserve System (U.S.).
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