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Sources of economic fuctuations in France: A structural VAR model

Author

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  • Nabil Ben Arfa

    (University of Nice Sophia Antipolis)

Abstract

This paper studies the economic fluctuations of an open economy such as the French economy. A system of variables containing output, price level, trade balance, real exchange rate and oil prices is analyzed by applying the structural vector autoregressive (SVAR) methodology initiated by Sims (1980). This set of variables allows to evaluate the main sources of impulses of the French economy fluctuations. The results show that five structural shocks are identified using the long-run constraints implemented by Blanchard and Quah (1989). From the SVAR dynamic properties, impulse response functions and variance decomposition, the French economy is shown to be particularly vulnerable to supply and oil price shocks, where these two shocks respectively contribute to 40% and 35% of the economic disturbance. France is also hit by important external shocks which damage its trade balance position. Finally, it is found that shocks related to economic policy (demand shocks) have a quite limited impact on the economic activity.

Suggested Citation

  • Nabil Ben Arfa, 2012. "Sources of economic fuctuations in France: A structural VAR model," European Journal of Government and Economics, Europa Grande, vol. 1(1), pages 66-85, June.
    • Handle: RePEc:egr:ejge00:v:1:i:1:p:66-85
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    File URL: http://www.ejge.org/index.php/ejge/article/download/3/12
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    Cited by:

    1. Ngomba Bodi, Francis Ghislain, 2018. "Contributions relatives des chocs de demande agrégée et d’offre agrégée aux fluctuations de la croissance réelle en zone CEMAC [Relative contributions of aggregate demand and supply shocks to busin," MPRA Paper 116376, University Library of Munich, Germany.

    More about this item

    Keywords

    economic fluctuations; external shocks; internal shocks; oil price shock; SVAR model;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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