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Transmission de la politique monétaire et régime de changes : une comparaison France - Allemagne - Etats-Unis

  • Catherine Bruno
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    [fre] Dans cette étude, nous analysons l'impact d'un choc monétaire sur le produit, le taux d'intérêt, les prix et les encaisses réelles en France, en Allemagne et aux Etats-Unis. Le fait de disposer d'un échantillon de données sur une période allant de 1960 à 1994 nous permet d'étudier la transmission de la politique monétaire en régime de changes fixes (de 1960 à 1973) et en régime de changes flexibles (de 1973 à 1994) (Joyce et Kamas, 1993 ; Bayoumi et Taylor, 1995) . Nous utilisons la modélisation vectorielle autorégressive (VAR) pour mener à bien ce travail. Pour chaque pays, nous analysons le profil de réponse de l'activité, des prix, des encaisses réelles et du taux d'intérêt à un choc monétaire avant et après 1973. De même, nous nous interrogeons sur l'importance du choc monétaire comme source des fluctuations de l'activité réelle. Cet exercice nous permet de savoir si la réponse de l'activité économique à un changement monétaire dépend du régime de changes. Pour cela, d'une part nous comparons le profil de réponse du produit à un choc monétaire en changes fixes et flexibles et d'autre part nous calculons la corrélation entre ces deux réponses. Puis, nous mesurons la causalité au sens de Granger entre les variables du système vectoriel autorégressif г Ainsi, ce calcul permet de déterminer l'ordre d'exogénéité des variables avant et après 1973. Nous pouvons vérifier empiriquement si la monnaie est plus exogène en changes flexibles qu'en changes fixes et si elle cause l'activité réelle en changes flexibles : en effet, en changes flexibles, la réalisation de l'équilibre externe est assurée parles variations du taux de change et non par la variation des réserves en devises, composante externe de la monnaie. Dans ce cas, la monnaie constitue un objectif intermédiaire de la politique monétaire. De plus, nous comparons le profil de réponse du produit en France, en Allemagne et aux Etats-Unis avant et après 1973. Ainsi, nous analysons si les mécanismes de transmission de la politique monétaire à l'activité réelle sont les mêmes dans les trois pays. Il est également pertinent de comparer les chocs monétaires d'un pays à l'autre avant et après 1973. Cette comparaison permet de déterminer si les chocs monétaires sont spécifiques ou communs aux trois pays. [eng] The transmission of monetary policy and exchange rate regime : a France - United States - Germany comparison Catherine Bruno In this paper, we determine the impact of a monetary shock on output, interest rate, price level and real balances in France, Germany and the United States. As the data are available over the sample 1960- 1994, we can study the transmission of monetary policy with an exchange rate either fixed (from 1960 to 1973) or flexible (from 1973 to 1994). We adopt a vectorial autoregressive {VAR) methodology in order to achieve this work. For each country, we analyze the impulse responses of output, price level, real balances and interest rate following a country-specific monetary shock before and after the year 1973. This exercise allows us to know if the output response to a monetary shock depends on the exchange rate regime. For that, we compare the output response between the fixed and flexible exchange rate regimes. Then we calculate the correlation between these two responses. We also mesure the Granger causality between the variables of the VAR system. So we can determine the exogeneity order of the variables. For instance, we verify empirically if the monetary aggregate is more exogeneous in the flexible regime than in the fixed one on one side and if money causes output in the flexible regime on the other side. Finally, we compare the output response between the three countries. So, we analyze if the propagation mechanisms of monetary policy to real output are the same ones in the three countries. We also compare to each other the country-specific monetary shocks before and after the year 1973. This comparison allows us to determine if the monetary shocks are either symmetrical or asymmmetrical between the three countries.

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    File URL: http://dx.doi.org/doi:10.3406/ofce.1997.1455
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    File URL: http://www.persee.fr/doc/ofce_0751-6614_1997_num_61_1_1455
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    Article provided by Programme National Persée in its journal Revue de l'OFCE.

    Volume (Year): 61 (1997)
    Issue (Month): 1 ()
    Pages: 139-164

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    Handle: RePEc:prs:rvofce:ofce_0751-6614_1997_num_61_1_1455
    Note: DOI:10.3406/ofce.1997.1455
    Contact details of provider: Web page: http://www.persee.fr/collection/ofce

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    10. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbance," Working papers 497, Massachusetts Institute of Technology (MIT), Department of Economics.
    11. Bernanke, Ben S & Blinder, Alan S, 1992. "The Federal Funds Rate and the Channels of Monetary Transmission," American Economic Review, American Economic Association, vol. 82(4), pages 901-21, September.
    12. Christina D. Romer & David H. Romer, 1989. "Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwartz," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 121-184 National Bureau of Economic Research, Inc.
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    22. Mélitz Jacques & Axel A. Weber, 1996. "The Costs/Benefits of a Common Monetary Policy in France and Germany and Possible Lessons for Monetary Union," Discussion Paper Serie B 369, University of Bonn, Germany.
    23. Allan H. Meltzer, 1995. "Monetary, Credit and (Other) Transmission Processes: A Monetarist Perspective," Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 49-72, Fall.
    24. Blanchard, Olivier Jean & Kiyotaki, Nobuhiro, 1987. "Monopolistic Competition and the Effects of Aggregate Demand," American Economic Review, American Economic Association, vol. 77(4), pages 647-66, September.
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