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Désinflation et chômage dans la zone euro : une analyse à l'aide d'un modèle VAR structurel

  • Fève, P.
  • Matheron, J.
  • Sahuc, J-G.

The present paper investigates the dynamic effects of disinflation shocks for a number of real macroeconomic variables in the euro area. Using structural VARs, we identify disinflation shocks as the only shocks that can exert a long--run effect on inflation as well as other nominal variables cointegrating with inflation. These shocks are found to generate large recessionary effects, notably when it comes to investment, and triggers a persistent rise in unemployment and in the real interest rate. The analysis is complemented by computing inefficiency measures on goods and labor markets. We show that, after a disinflation shock, inefficiencies in the labor market seem to prevail. These conclusions are robust to modifications of our baseline identification scheme.

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Paper provided by Banque de France in its series Working papers with number 247.

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Length: 19 pages
Date of creation: 2009
Date of revision:
Handle: RePEc:bfr:banfra:247
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Web page: http://www.banque-france.fr/

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