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Le modèle d'équilibre général de la « Nouvelle synthèse » : quelles hypothèses retenir ?

Author

Listed:
  • Jean-Guillaume Sahuc
  • Stéphane Moyen

Abstract

[fre] L’objet de cet article est double. D’une part, il présente le modèle d’équilibre général de la Nouvelle synthèse qui est devenu en peu de temps une véritable référence pour l’analyse macroéconomique (simulations de politiques économiques, prévisions d’inflation, etc.). D’autre part, il cherche à identifier, à l’aide du critère de vraisemblance marginale et de l’inspection des moments d’ordre deux, la contribution des différentes rigidités (nominales et réelles) aux bonnes performances de ce type de modèle. Les principaux résultats sont les suivants : (i) la combinaison prix rigides et indexés - salaires rigides est indispensable à la qualité de l’ajustement du modèle aux données, (ii) seules les hypothèses de formation d’habitude sur la consommation et de coûts d’ajustement sur l’investissement sont nécessaires, cette dernière étant cruciale pour la reproduction des dynamiques aussi bien réelles que nominales, (iii) l’introduction d’une complémentarité stratégique permet de retrouver un degré de rigidités nominales plus proche de celui observé sur données microéconomiques. [eng] This article has a twofold purpose. First, it describes the general-equilibrium model of the “ new synthesis ,” which has rapidly become a true benchmark for macroeconomic analysis in areas such as economic-policy simulation and inflation forecasting. Second, it seeks to identify the contribution of nominal and real rigidities to the good performance of this type of model, using the marginal-likelihood criterion and the inspection of moments of order two. The main results are as follows : (1) the combination of rigid and indexed prices and rigid wages is essential to the quality of the model’s fit to the data ; (2) the only hypotheses needed are habit formation for consumption and adjustment costs for investment, the second hypothesis being crucial for reproducing real and nominal dynamics ; (3) by introducing strategic complementarity, we can obtain a degree of nominal rigidity closer to that observed on macroeconomic data.

Suggested Citation

  • Jean-Guillaume Sahuc & Stéphane Moyen, 2008. "Le modèle d'équilibre général de la « Nouvelle synthèse » : quelles hypothèses retenir ?," Économie et Prévision, Programme National Persée, vol. 183(2), pages 15-34.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_2008_num_183_2_7804
    DOI: 10.3406/ecop.2008.7804
    Note: DOI:10.3406/ecop.2008.7804
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    2. Jihene Bousrih, 2012. "Degree of openness and inflation targeting policy: model of a small open economy," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 4(3), pages 232-246, July.

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    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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