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Arbitrage entre fluctuations de l'inflation et de l'activité au niveau de la zone "euro"

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  • Catherine Bac

Abstract

[eng] Trade-off Between Fluctuations of Inflation and Fluctuations of Output in the Euro Area.. This study estimates the long-term trade-off between variance of inflation and variance of output facing the European monetary authorities. When the central bank pursues inflation and output gap objectives, its choice represents the limit of optimum monetary policy. A structural VAR model is used to determine a rule for optimum monetary policy. By modifying the weighting of the stabilisation objectives for growth and inflation fluctuations, respectively, we can empirically determine a long-term trade-off between the two. Application to the European series shows that monetary policy is more effective in controlling inflation than output. There seems in particular to be an incompressible threshold below which it is impossible to reduce the output variance. Moreover, the trade-off becomes very tight when the variance of inflation drops below 1%. This result suggests that when inflation is the only concern of the central bank, the output variance can be expected to be high. [fre] Cette étude estime l''arbitrage de long terme entre variance de l''inflation et variance de l''activité auquel les autorités monétaires européennes auront à faire face. Lorsque la Banque Centrale a un objectif d''inflation et d''écart à l''activité potentielle, cet arbitrage représente la frontière de politique monétaire optimale. Un modèle VAR structurel est utilisé pour calculer une règle de politique monétaire optimale. En modifiant les pondérations associées aux objectifs respectifs de stabilisation des fluctuations de la croissance et de l''inflation, on détermine empiriquement un arbitrage de long terme entre les deux. L''application aux séries européennes montre que le pouvoir de contrôle de la politique monétaire sur l''inflation est plus fort que celui sur l''activité. En particulier, il semble qu''il existe un seuil incompressible en dessous duquel il paraît impossible de diminuer la variance de l''activité. De plus, l''arbitrage devient très fort lorsque la variance de l''inflation descend en dessous de 1%. Ce résultat suggère que si l''inflation est l''unique préoccupation de la Banque Centrale, cela se traduira vraisemblablement par un niveau élevé de la variation de l''activité.

Suggested Citation

  • Catherine Bac, 2001. "Arbitrage entre fluctuations de l'inflation et de l'activité au niveau de la zone "euro"," Économie et Prévision, Programme National Persée, vol. 150(4), pages 47-58.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_2001_num_150_4_6348
    DOI: 10.3406/ecop.2001.6348
    Note: DOI:10.3406/ecop.2001.6348
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