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Banques centrales et prix d'actifs : une étude empirique

Listed author(s):
  • Grégory Levieuge

[fre] Cet article cherche à déterminer si diverses variables financières sont activement prises en compte par les banques centrales. Les estimations ne permettent pas d'affirmer qu'elles ont été influencées par l'évolution des cours boursiers, à l'exception de la Banque du Japon. Qui plus est, les autorités monétaires nipponnes ont eu un comportement asymétrique à l'égard du cours des actions, une chute de ces dernières entraînant une baisse des taux directeurs plus forte que le relèvement des taux induit par une hausse des cours. Contrairement à ce qu'indiquent Bernanke et Gert- ler [1999], ce ne serait pas tant l'introduction de variables financières dans les règles monétaires qui poserait un problème de stabilité macroéconomique, mais le comportement asymétrique des banques centrales à leur égard, qui crée un aléa moral et cautionne les excès financiers qu'elles souhaitent a priori combattre. [eng] This research aims at determining whether some financial assets are actively taken into account by central banks. According to the estimations, central banks do not seem to be reactive to share indexes, except the Bank of Japan. Moreover, Japanese monetary authorities have had an asymmetric behaviour towards stock returns. This result tends to confirm the conclusions of Cecchetti et al. [2000] which assert that financial assets must be taken into account for an optimal monetary policy. Because if they are right and if the Bank of Japan is partly responsible for the Japanese financial instability of the last decade, the latter did not occur because of the introduction of the share index in the Japanese monetary rule — contrary to what Bernanke & Gertler [1999] affirm -but because of the asymmetric behaviour of the BoJ. In effect, this conduct creates a moral hazard and induces financial excesses that authorities want to fight initially.

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Article provided by Programme National Persée in its journal Revue française d'économie.

Volume (Year): 16 (2002)
Issue (Month): 4 ()
Pages: 25-59

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Handle: RePEc:prs:rfreco:rfeco_0769-0479_2002_num_16_4_1520
Note: DOI:10.3406/rfeco.2002.1520
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