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Taux d'intérêt, politique monétaire et activité économique en France : un examen empirique

  • Jean-Olivier Hairault
  • Frédérique Bec

[eng] Interest Rates, Monetary Policy and Economic Activity in France: An Empirical Investigation, . by Frédérique Bec and Jean-Olivier Hairault.. . The properties of these elements are studied in terms of the cointegration of product in volume, a monetary aggregate, a price index and a nominal interest rate taken from French data. This approach reveals a continuous and specific interest rate shock linked to the level of foreign interest rates. Amodel with common trends is used to make an analysis of the weight of this shock in economic activity fluctuations in France. This empirical work shows that variations in real interest rates have a sizeable negative effect on the supply of goods. Moreover, shocks in the money supply would appear to temporarily stimulate economic activity via a different channel than changes in interest rates. [fre] Taux d'intérêt, politique monétaire et activité économique en France : un examen empirique, . par Frédérique Bec, Jean-Olivier Hairault.. . Nous étudions les propriétés en termes de cointégration du produit en volume, d'un agrégat monétaire, d'un indice de prix et d'un taux d'intérêt nominal sur données françaises. Cette démarche permet de révéler un choc permanent spécifique de taux d'intérêt lié au niveau des taux d'intérêt étrangers. Nous analysons alors, dans le cadre d'un modèle à tendances communes, l'importance de ce choc dans les fluctuations de l 'activité économique en France. Ce travail empirique met ainsi en évidence une influence négative importante des variations du taux d'intérêt réel sur l'offre de biens. En outre, les chocs d'offre de monnaie stimuleraient l'activité économique de façon transitoire par un autre canal que les variations du taux d'intérêt. [spa] Tipo de interés, política monetaria y actividad économica en Francia : un examen empírico, . por Frédérique Bec y Jean-Olivier Hairault.. . Se estudian las propiedades en términos de cointegración del producto en volumen, de un agregado monetario, de un índice de precios y de un tipo de interés nominal correspondientes a datos franceses. Este planteamiento permite revelar un impacto permanente especffico del tipo de interés al nivel de los tipos de interés de otros países. En el marco de un modelo de tendencias comunes, se analiza así la importancia de este impacto en las fîuctuaciones de la actividad económica de Francia. Este trabajo empírico hace resaltar una influencia negativa importante de las variaciones del tipo de interés real con respecto a la oferta de bienes. Ademas, los impactos de oferta de moneda podrían simular la actividad económica de forma transitoria por una vía distinta de aquella que corresponde a las variaciones del tipo de interés. [ger] Zinssätze, Währungspolitik und Wirtschaftstätigkeit in Frankreich: eine empirische Untersuchung, . von Frédérique Bec, Jean-Olivier Hairault.. . In diesem Artikel werden die Kointegrationseigenschaften des Produktionsvolumens, eines Geldmengenaggregats, eines Preisindex und eines nominalen Zinssatzes anhand französischer Daten untersucht. Mit diesem Ansatz läßt sich das Vorhandensein eines speziellen und ständigen Zinssatzschocks infolge der Höhe der ausländischen Zinssätze aufzeigen. Im Rahmen eines Modells mit gemeinsamen Tendenzen wird anschließend die Bedeutung dieses Schocks bei den Schwankungen der Wirtschaftstätigkeit in Frankreich analysiert. Aus diesen empirischen Arbeiten geht hervor, daß die Schwankungen des realen Zinssatzes einen beträchtlichen negativen Einfluß auf das Gütaangebot haben. Daneben würden die Geldmengenschocks die Wirtschaftstätigkeit vorübergehend über einen anderen Weg als über die Zinssatzschwankungen stimulieren.

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Article provided by Programme National Persée in its journal Économie & prévision.

Volume (Year): 109 (1993)
Issue (Month): 3 ()
Pages: 13-24

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_1993_num_109_3_5617
Note: DOI:10.3406/ecop.1993.5617
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  1. Hairault, J.O. & Portier, F., 1992. "Money New-Keynesian Macroeconomics and the Business Cycles," Papiers d'Economie Mathématique et Applications 92.32, Université Panthéon-Sorbonne (Paris 1).
  2. Sims, Christopher A., 1992. "Interpreting the macroeconomic time series facts : The effects of monetary policy," European Economic Review, Elsevier, vol. 36(5), pages 975-1000, June.
  3. Lawrence J. Christiano & Martin Eichenbaum, 1991. "Identification and the Liquidity Effect of a Monetary Policy Shock," NBER Working Papers 3920, National Bureau of Economic Research, Inc.
  4. Gali, Jordi, 1992. "How Well Does the IS-LM Model Fit Postwar U.S. Data," The Quarterly Journal of Economics, MIT Press, vol. 107(2), pages 709-38, May.
  5. Olivier J. Blanchard, 1987. "Why Does Money Affect Output? A Survey," Working papers 453, Massachusetts Institute of Technology (MIT), Department of Economics.
  6. Bernanke, Ben S & Blinder, Alan S, 1992. "The Federal Funds Rate and the Channels of Monetary Transmission," American Economic Review, American Economic Association, vol. 82(4), pages 901-21, September.
  7. Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1987. "Stochastic Trends and Economic Fluctuations," NBER Working Papers 2229, National Bureau of Economic Research, Inc.
  8. Warne, A., 1993. "A Common Trends Model: Identification, Estimation and Inference," Papers 555, Stockholm - International Economic Studies.
  9. Abel, Andrew B., 1985. "Dynamic behavior of capital accumulation in a cash-in-advance model," Journal of Monetary Economics, Elsevier, vol. 16(1), pages 55-71, July.
  10. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," NBER Working Papers 2737, National Bureau of Economic Research, Inc.
  11. Farmer, Roger E A, 1988. "Money and Contracts," Review of Economic Studies, Wiley Blackwell, vol. 55(3), pages 431-46, July.
  12. Stockman, Alan C., 1981. "Anticipated inflation and the capital stock in a cash in-advance economy," Journal of Monetary Economics, Elsevier, vol. 8(3), pages 387-393.
  13. Blanchard, Olivier Jean, 1989. "A Traditional Interpretation of Macroeconomic Fluctuations," American Economic Review, American Economic Association, vol. 79(5), pages 1146-64, December.
  14. King, Robert G. & Plosser, Charles I. & Rebelo, Sergio T., 1988. "Production, growth and business cycles : II. New directions," Journal of Monetary Economics, Elsevier, vol. 21(2-3), pages 309-341.
  15. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  16. Frédérique BEC & Jean-Olivier HAIRAUT, 1993. "Une étude empirique des sources des fluctuations économiques dans le cadre d'un modéle à tendances communes," Annales d'Economie et de Statistique, ENSAE, issue 30, pages 85-120.
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