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Bulles rationnelles et fluctuations de l'activité

Author

Listed:
  • Stefano Bosi

    () (THEMA - Théorie économique, modélisation et applications - Université de Cergy Pontoise - CNRS - Centre National de la Recherche Scientifique)

  • Thomas Seegmuller

    () (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - CNRS - Centre National de la Recherche Scientifique - ECM - Ecole Centrale de Marseille)

Abstract

Cet article propose de présenter dans un cadre simple, mais unifié, un certain nombre de résultats liés à l'existence et aux fluctuations d'une bulle rationnelle. Nous développons une économie d'échange à générations imbriquées dans laquelle chaque ménage fait un choix de portefeuille entre monnaie, détenue à cause d'une contrainte de liquidité, et un autre actif sans valeur fondamentale. On montre l'existence d'équilibres où ce deuxième actif a une valeur positive, c'est-à-dire avec bulle rationnelle pure. Nous exhibons des fluctuations de l'activité et de la bulle, dues à la volatilité des anticipations des agents. Une politique monétaire expansive peut immuniser l'économie contre de telles fluctuations endogènes. La vertu stabilisatrice de la politique monétaire est toutefois modérée par une perte de bien-être qui vérifie la critique de Friedman (1969). Nous montrons également les possibilités d'éclatement de cette bulle rationnelle. Enfin, une bulle sur l'encaisse réelle peut apparaître, de manière temporaire. Nous montrons que ce phénomène est aussi source de fluctuations auto-entretenues de l'activité. Nous concluons en discutant d'un certain nombre de développements récents, liés aux imperfections du marché du crédit.

Suggested Citation

  • Stefano Bosi & Thomas Seegmuller, 2011. "Bulles rationnelles et fluctuations de l'activité," Working Papers halshs-00556408, HAL.
  • Handle: RePEc:hal:wpaper:halshs-00556408 Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00556408
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