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Variantes en Univers Incertain

Author

Listed:
  • Adjemian, S.
  • Christophe Cahn
  • Antoine Devulder
  • Nicolas Maggiar

Abstract

In this paper, we try to illustrate the interest of the Bayesian approach for the evaluation of economic policies, often realised by analysing the response of the economy to a standard shock. We present a Stochastic Dynamic General Equilibrium model for the euro area. The Bayesian estimation gives a measure of the uncertainty on the parameters, from which we can derive the uncertainty of the responses to standard shocks. As an illustration, we simulate the effects of a fiscal shock (announced VAT increase).

Suggested Citation

  • Adjemian, S. & Christophe Cahn & Antoine Devulder & Nicolas Maggiar, 2009. "Variantes en Univers Incertain," Working papers 236, Banque de France.
    • Handle: RePEc:bfr:banfra:236
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    References listed on IDEAS

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    1. Michel Juillard & Tarik Ocaktan, 2008. "Méthodes de simulation des modèles stochastiques d'équilibre général," Economie & Prévision, La Documentation Française, vol. 0(2), pages 115-126.
    2. Stéphane Adjemian & Florian Pelgrin, 2008. "Un regard bayésien sur les modèles dynamiques de la macroéconomie," Economie & Prévision, La Documentation Française, vol. 0(2), pages 127-152.
    3. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
    4. Roland Straub & Günter Coenen, 2005. "Non-Ricardian Households and Fiscal Policy in an Estimated DSGE Model of the Euro Area," Computing in Economics and Finance 2005 102, Society for Computational Economics.
    5. Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 2005. "Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy," Journal of Political Economy, University of Chicago Press, vol. 113(1), pages 1-45, February.
    6. Erceg, Christopher J. & Henderson, Dale W. & Levin, Andrew T., 2000. "Optimal monetary policy with staggered wage and price contracts," Journal of Monetary Economics, Elsevier, vol. 46(2), pages 281-313, October.
    7. Frank Smets & Raf Wouters, 2003. "An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area," Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1123-1175, September.
    8. Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 383-398, September.
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    Cited by:

    1. Tsasa Vangu, Jean-Paul Kimbambu, 2014. "Diagnostic de la politique monétaire en Rép. Dém. Congo – Approche par l’Equilibre Général Dynamique Stochastique," Dynare Working Papers 38, CEPREMAP.
    2. Patrick Fève & Julien Matheron & Jean-Guillaume Sahuc, 2010. "La TVA sociale : bonne ou mauvaise idée ?," Economie & Prévision, La Documentation Française, vol. 0(2), pages 1-19.
    3. Benjamin Carton, 2012. "Tax Reform and Coordination in a Currency Union," International Economics, CEPII research center, issue 132, pages 141-158.
    4. Ignatova Anna M., 2016. "The Use Of The Project Method In Public Administration In Modern Russia," Annals of marketing-mba, Department of Marketing, Marketing MBA (RSconsult), vol. 1, April.
    5. de Bandt, O. & Vigna, O., 2008. "The macroeconomic impact of structural reforms," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 11, pages 5-32, Spring.

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    JEL classification:

    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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