IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

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

Listed author(s):
  • 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.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://id.erudit.org/iderudit/602067ar
    Download Restriction: no

    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

    as
    in new window

    Handle: RePEc:ris:actuec:v:68:y:1992:i:1:p:262-282
    Contact details of provider: Web page: http://www.scse.ca/
    Email:


    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:ris:actuec:v:68:y:1992:i:1:p:262-282. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Bruce Shearer)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.