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La règle monétaire de McCallum revue à la lumière de la méthodologie de Litterman

  • Racette, Daniel

    (Institut d’économie appliquée, École des Hautes Études Commerciales)

  • Raynauld, Jacques

    (Institut d’économie appliquée, École des Hautes Études Commerciales)

  • Lauzon, Simon

    (Institut d’économie appliquée, École des Hautes Études Commerciales)

Registered author(s):

    Since the abandonment of monetary targeting by the Central Banks of major industrial nations, McCallum's rule has attracted renewed attention in the macroeconomic literature. Both McCallum and his critics have investigated the stabilizing properties of the rule and its robustness across regimes and models. In this paper, we adopt the same pragmatic view and seek to discover some unknown empirical properties of McCallum's rule by using a methodology that blends a BVAR model of the U.S. economy to the theory of optimal control (Litterman, 1987). Our results indicate that i. the monetary base is a rather weak instrument of U.S. monetary policy; ii. its use to stabilize nominal income leads to large fluctuations in the other variables of the system subjecting the whole exercise to the Lucas critique; iii. that optimal control analysis can be used to investigate marginally different configurations of McCallum's rule that have better overall stabilizing properties. Depuis l’abandon du contrôle des agrégats monétaires par les grandes banques centrales, la règle de McCallum a attiré une attention soutenue dans la littérature macroéconomique. Tant McCallum que ses critiques ont tenté de cerner le caractère stabilisateur de la règle et sa robustesse sous différents régimes et modèles. Dans cet article, nous adoptons une vision pragmatique et tentons de mettre en lumière des facettes empiriques méconnues de la règle de McCallum en utilisant une méthodologie qui allie judicieusement l’utilisation d’un modèle BVAR de l’économie américaine et la théorie du contrôle optimal (Litterman, 1987). Nos résultats montrent i. que la base monétaire est un instrument relativement anémique de la politique monétaire américaine; ii. que son utilisation pour stabiliser le revenu nominal peut mener à des fluctuations difficilement acceptables de l’ensemble des autres variables du système et est donc sujette à la critique de Lucas; iii. qu’il est possible, à l’aide du contrôle optimal, de pousser l’analyse de la règle et de trouver de nouvelles configurations qui ont de meilleures propriétés stabilisatrices des variables objectifs.

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    Article provided by Société Canadienne de Science Economique in its journal L'Actualité économique.

    Volume (Year): 68 (1992)
    Issue (Month): 1 (mars et juin)
    Pages: 262-282

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    Handle: RePEc:ris:actuec:v:68:y:1992:i:1:p:262-282
    Contact details of provider: Web page: http://www.scse.ca/
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    1. Robert B. Litterman, 1984. "Forecasting and policy analysis with Bayesian vector autoregression models," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall.
    2. Mccallum, Bennet T., 1988. "Robustness properties of a rule for monetary policy," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 29(1), pages 173-203, January.
    3. Ben S. Bernanke, 1986. "Alternative Explanations of the Money-Income Correlation," NBER Working Papers 1842, National Bureau of Economic Research, Inc.
    4. Mankiw, N Gregory, 1990. "A Quick Refresher Course in Macroeconomics," Journal of Economic Literature, American Economic Association, vol. 28(4), pages 1645-60, December.
    5. Bean, Charles R, 1983. "Targeting Nominal Income: An Appraisal," Economic Journal, Royal Economic Society, vol. 93(372), pages 806-19, December.
    6. McCallum, Bennett T, 1984. "Monetarist Rules in the Light of Recent Experience," American Economic Review, American Economic Association, vol. 74(2), pages 388-91, May.
    7. McNees, Stephen K, 1986. "Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 5-15, January.
    8. Robert J. Gordon & Stephen R. King, 1982. "The Output Cost of Disinflation in Traditional and Vector Autoregressive Models," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 13(1), pages 205-244.
    9. Kydland, Finn E & Prescott, Edward C, 1977. "Rules Rather Than Discretion: The Inconsistency of Optimal Plans," Journal of Political Economy, University of Chicago Press, vol. 85(3), pages 473-91, June.
    10. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1986. "Forecasting and conditional projection using realistic prior distribution," Staff Report 93, Federal Reserve Bank of Minneapolis.
    11. Richard M. Todd, 1984. "Improving economic forecasting with Bayesian vector autoregression," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall.
    12. Christopher A. Sims, 1986. "Are forecasting models usable for policy analysis?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 2-16.
    13. Robert B. Litterman, 1979. "Techniques of forecasting using vector autoregressions," Working Papers 115, Federal Reserve Bank of Minneapolis.
    14. Jacques Raynauld, 1988. "Canadian Regional Cycles: The Quebec-Ontario Case Revisited," Canadian Journal of Economics, Canadian Economics Association, vol. 21(1), pages 115-28, February.
    15. Friedman, Benjamin M., 1988. "Conducting monetary policy by controlling currency plus noise : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 29(1), pages 205-212, January.
    16. Leamer, Edward E., 1985. "Vector autoregressions for causal inference?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 22(1), pages 255-304, January.
    17. Blanchard, Olivier Jean, 1989. "A Traditional Interpretation of Macroeconomic Fluctuations," American Economic Review, American Economic Association, vol. 79(5), pages 1146-64, December.
    18. Taylor, John B., 1985. "What would nominal GNP targetting do to the business cycle?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 22(1), pages 61-84, January.
    19. Bennett T. McCallum, 1987. "The case for rules in the conduct of monetary policy: a concrete example," Economic Review, Federal Reserve Bank of Richmond, issue Sep, pages 10-18.
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