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Comportement du banquier central en environnement incertain

Author

Listed:
  • Jean-Guillaume Sahuc

    (Banque de France et EPEE, Université d’Evry)

  • Sanvi Avouyi-Dovi

    (Banque de France et SDFi, Université de Dauphine)

Abstract

Plusieurs travaux récents sont consacrés à l’examen du comportement du banquier central face à l’incertitude affectant notamment son environnement économique. Ce papier propose, du point de vue du banquier central, une synthèse des principales sources d’incertitude ainsi qu’une illustration de leurs effets dans un cadre analytique. Il montre en particulier que selon l’hypothèse d’incertitude et le choix de la fonction de perte retenus, les recommandations de politique monétaire peuvent être sensiblement différentes. Retenir par exemple une fonction de perte ad hoc (choix discrétionnaire) à la place d’une fonction endogène (choix cohérent avec les paramètres structurels) peut entraîner de considérables pertes en bien être.

Suggested Citation

  • Jean-Guillaume Sahuc & Sanvi Avouyi-Dovi, 2007. "Comportement du banquier central en environnement incertain," Documents de recherche 07-05, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    • Handle: RePEc:eve:wpaper:07-05
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    References listed on IDEAS

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    Cited by:

    1. Patrick Fève & Julien Matheron & Jean‐Guillaume Sahuc, 2009. "Minimum Distance Estimation and Testing of DSGE Models from Structural VARs," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 883-894, December.
    2. Alain Monfort, 2008. "Optimal portfolio allocation under asset and surplus VaR constraints," Journal of Asset Management, Palgrave Macmillan, vol. 9(3), pages 178-192, September.

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    More about this item

    Keywords

    Politique monétaire; incertitude; modèle macroéconomique;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination

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