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Effet peso : présentation théorique et application à la politique monétaire

  • Nicolas Million

    ()

    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne, Centre de recherche de la Banque de France - Banque de France)

Cet article traite des implications théoriques liées à la présence d'un effet Peso pour les anticipations. Après avoir présenté l'effet Peso comme la probabilité d'apparition d'un évènement rare mais suffisamment important pour être pris en compte dans les prévisions, nous présentons un modèle permettant d'isoler l'erreur de prévision systématique. La manifestation de cette erreur systématique provient en particulier d'une information imparfaite concernant les états futurs ainsi que pour le régime courant. Cette incertitude du régime courant amène les agents à mettre en oeuvre un processus d'apprentissage du modèle. Dans la dernière partie de cet article, nous précisons comment une banque centrale crédible peut limiter l'apparition d'effets Peso.

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Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00144659.

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Date of creation: Mar 2007
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Handle: RePEc:hal:cesptp:halshs-00144659
Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00144659
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  1. Martin D.D. Evans, 1995. "Peso Problems: Their Theoretical and Empirical Implications," Working Papers 95-05, New York University, Leonard N. Stern School of Business, Department of Economics.
  2. Fourgeaud, Claude & Gourieroux, Christian & Pradel, Jacqueline, 1986. "Learning Procedures and Convergence to Rationality," Econometrica, Econometric Society, vol. 54(4), pages 845-68, July.
  3. François Gardes & Jean-Loup Madre & Marie-Claude Pichery & Salah Ghabri, 1997. "Rationalité des anticipations des ménages. Tests qualitatifs sur données individuelles françaises," Revue Économique, Programme National Persée, vol. 48(3), pages 639-652.
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