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

  • Pascal Jacquinot
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    [fre] De nombreuses banques centrales intègrent des objectifs d'inflation, de manière directe ou indirecte. Dans tous les cas, ces dernières ont intérêt à disposer d'une mesure précise de l'inflation structurelle, c''est-à-dire corrigée de l'influence du cycle économique. Cette composante de l'inflation, encore appelée inflation sous-jacente, est obtenue dans ce travail à partir d'un VAR structurel. De nombreux économistes s'accordent sur la neutralité à long terme de l'inflation sur la production. L'imposition d'une telle contrainte dans un VAR structurel, incluant l''inflation observée et la production industrielle, permet de séparer la composante sous-jacente de la composante cyclique de l'inflation. L''inflation sous-jacente est déduite en annulant la composante cyclique imputable aux chocs survenus sur la production. La méthode d'identification est celle proposée par Blanchard et Quah (1989). Quah et Vahey (1995) l'utilisent pour calculer l'inflation sous-jacente au Royaume-Uni ; nous reprenons cette démarche et l'appliquons à la France, l'Allemagne et au Royaume-Uni. En outre, nous vérifions le caractère procyclique de l'inflation de court terme pour les différents pays et observons que l'inflation serait, depuis 1993, plus proche en Allemagne de son niveau sous-jacent que chez ses partenaires. De plus fortes rigidités nominales en Allemagne expliqueraient cette différence. [eng] Core Inflation in France, Germany and the United Kingdom . by Pascal Jacquinot . 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.

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

    Volume (Year): 147 (2001)
    Issue (Month): 1 ()
    Pages: 171-185

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    Handle: RePEc:prs:ecoprv:ecop_0249-4744_2001_num_147_1_6220
    Note: DOI:10.3406/ecop.2001.6220
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    1. Michael F. Bryan & Stephen G. Cecchetti, 1994. "Measuring Core Inflation," NBER Chapters, in: Monetary Policy, pages 195-219 National Bureau of Economic Research, Inc.
    2. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
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    9. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-73, September.
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    13. Weber, Axel A., 1994. "Testing long-run neutrality: empirical evidence for G7-countries with special emphasis on Germany," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 41(1), pages 67-117, December.
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