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La modélisation VAR structurel : application à la politique monétaire en France

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  • Bruneau, C.
  • De Bandt, O.

Abstract

This paper discusses the purposes and limits of " structural " VAR modeling. It explains the choices that modelers have to make at different stages of the procedure. An illustration is provided by an analysis of monetary policy shocks in France over the 1972 : 1-1995 : 2. Compared with previous studies of this country, the main finding is the statistically significant effect of monetary policy on economic activity and inflation. This is found by introducing an additional variable that measures budget policy. The article shows that " structural " VARs can be used to analyse the 1993 recession.

Suggested Citation

  • Bruneau, C. & De Bandt, O., 1998. "La modélisation VAR structurel : application à la politique monétaire en France," Working papers 52, Banque de France.
  • Handle: RePEc:bfr:banfra:52
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    Cited by:

    1. Gossé, Jean-Baptiste & Guillaumin, Cyriac, 2013. "L’apport de la représentation VAR de Christopher A. Sims à la science économique," L'Actualité Economique, Société Canadienne de Science Economique, vol. 89(4), pages 309-319, Décembre.
    2. Monticello, Carlo & Tristani, Oreste, 1999. "What does the single monetary policy do? A SVAR benchmark for the European Central Bank," Working Paper Series 0002, European Central Bank.
    3. Sophie Garcia & Adrien Verdelhan, 2001. "Le policy-mix de la zone euro. Une évaluation de l'impact des chocs monétaires et budgétaires," Économie et Prévision, Programme National Persée, vol. 148(2), pages 23-40.
    4. Fakhri Issaoui & Talel Boufateh & Mourad Guesmi, 2015. "Money Neutrality: Rethinking the Myth," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(3), pages 287-320, June.
    5. Ghassan, Hassan B., 2003. "Test de l’effet de stabilisation automatique par la modélisation SVAR sans contrainte de long terme
      [Testing the Automatic Stabilization Effect: Evidence from SVAR Model without Long-Term Constrain
      ," MPRA Paper 56387, University Library of Munich, Germany, revised 02 Apr 2003.
    6. ODIA NDONGO, Yves Francis, 2007. "Les sources des fluctuations marcoéconomiques au Cameroun," MPRA Paper 1308, University Library of Munich, Germany.
    7. Benoît Mojon, 1998. "Monetary Policy Under a Fixed Exchange Rate Regime, the Case of France 1987-1996," Working Papers 1998-14, CEPII research center.

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