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La modélisation Var "structurel" : application à la politique monétaire en France

  • Olivier De Bandt
  • Catherine Bruneau

[eng] Structural VAR modeling: application to France's monetary policy by Catherine Bruneau and Olivier De Bandt . This paper discusses the purposes and limits of "structural" VAR modeling. It explains the choices that modelers have to make at different stages of the procedure. An illustration is provided by an analysis of monetary policy shocks in France over the 1972:1-1995:2 period. Compared with previous studies of this country, the main finding is the statistically significant effect of monetary policy on economic activity and inflation. This is found by introducing an additional variable that measures budget policy. The article shows that "structural" VARs can be used to analyse the 1993 recession. [fre] La modélisation Var structurel : application à la politique monétaire en France par Catherine Bruneau et Olivier De Bandt . L'article discute de l'intérêt et des limites de la modélisation Var "structurel". Il explicite les choix que le modélisateur doit opérer aux différentes étapes de la procédure. Une illustration est fournie par une analyse des chocs de politique monétaire en France sur la période 1972:11995:2. Par rapport aux travaux antérieurs portant sur ce pays, le résultat essentiel est la mise en évidence d'un effet statistiquement significatif de la politique monétaire sur l'activité et l'inflation. On introduit pour cela une variable supplémentaire mesurant la politique budgétaire. L'article rend compte de la capacité des Var " structurels " à analyser la récession de 1993.

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

Volume (Year): 137 (1999)
Issue (Month): 1 ()
Pages: 67-94

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_1999_num_137_1_5948
Note: DOI:10.3406/ecop.1999.5948
Contact details of provider: Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecop

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  1. Warne, A., 1993. "A Common Trends Model: Identification, Estimation and Inference," Papers 555, Stockholm - International Economic Studies.
  2. Ben S. Bernanke & Ilian Mihov, 1995. "Measuring monetary policy," Working Papers in Applied Economic Theory 95-09, Federal Reserve Bank of San Francisco.
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  4. Jacques Mélitz & Hélène Erkel-Rousse, 1997. "Une nouvelle évaluation empirique des coûts de l'Union monétaire européenne," Économie et Prévision, Programme National Persée, vol. 128(2), pages 21-39.
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  14. Sims, Christopher A, 1980. "Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered," American Economic Review, American Economic Association, vol. 70(2), pages 250-57, May.
  15. Christiano, Lawrence J & Eichenbaum, Martin & Evans, Charles, 1996. "The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 16-34, February.
  16. Ben S. Bernanke, 1986. "Alternative Explanations of the Money-Income Correlation," NBER Working Papers 1842, National Bureau of Economic Research, Inc.
  17. Bruneau, C. & De Bandt, O., 1999. "Fiscal Policy in the Transition to Monetary Union: a Structural VAR Model," Working papers 60, Banque de France.
  18. 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.
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