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L'impact des chocs externes sur et dans la zone euro : un modèle VAR structurel

  • Jean-Baptiste Gossé

    ()

    (CEPN - Centre d'Economie de l'Université Paris Nord (ancienne affiliation) - Université Paris 13 - CNRS - Centre National de la Recherche Scientifique)

  • Cyriac Guillaumin

    (CREG - Centre de recherche en économie de Grenoble - Grenoble 2 UPMF - Université Pierre Mendès France)

Ce papier étudie l'impact des principaux chocs externes qu'a connu la zone euro et ses pays membres depuis le début des années 2000 : chocs monétaire (baisse des taux d'intérêts mondiaux), financier (deux crises boursières) et réel (augmentation des prix du pétrole et accumulation de déséquilibres courants mondiaux). Pour cela, nous utilisons la méthodologie VAR structurel (SVAR) à partir de laquelle nous définissons quatre chocs structurels : externe, offre, demande et monétaire. L'estimation de modèles SVAR permet de déterminer l'impact de ces chocs sur la zone euro et sur les pays la composant. Cette étude met en évidence l'hétérogénéité des réactions dans la zone euro. Si les chocs pétrolier et monétaire ont des répercussions assez similaires sur l'ensemble des pays de la zone euro - à l'exception des Pays-Bas et du Royaume-Uni - les chocs financiers et de déséquilibres mondiaux ont des effets très différents. Les chocs externes contribuent à expliquer un cinquième de la variance du différentiel de croissance et de la balance courante et environ un tiers des fluctuations du taux de change effectif réel en Europe. L'impact du choc pétrolier est particulièrement fort mais il déprécie l'euro. Les déséquilibres mondiaux expliquent également une part importante des fluctuations du taux de change mais entraînent une appréciation de l'euro. Par ailleurs, les fonctions de réponses aux chocs financier et monétaire sont similaires à l'exception de celles de la balance courante. En effet, un choc financier semble provoquer davantage de sorties de capitaux qu'un choc monétaire. Cette étude met donc en évidence l'hétérogénéité des réactions dans la zone euro et montre que les chocs externes expliquent davantage les variations du taux de change effectif réel que celles du différentiel de croissance ou de la balance courante tout en soulignant le rôle particulièrement important des déséquilibres mondiaux dans les fluctuations du cours des devises européennes.

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Paper provided by HAL in its series CEPN Working Papers with number hal-00493384.

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Date of creation: 01 Apr 2010
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Handle: RePEc:hal:cepnwp:hal-00493384
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