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Quelle prise en compte des caractéristiques nationales dans les mesures macro-prudentielles en zone euro ?

Listed author(s):
  • Jean-Christophe Poutineau

    ()

    (CREM - Centre de Recherche en Economie et Management - UR1 - Université de Rennes 1 - Université de Caen Basse-Normandie - CNRS - Centre National de la Recherche Scientifique)

  • Gauthier Vermandel

    ()

    (LEDa - Laboratoire d'Economie de Dauphine - Université Paris-Dauphine)

Cet article évalue l’impact des prêts transfrontaliers sur les modalités de mise en œuvre des mesures de politique macro-prudentielle dans la zone euro. L’objectif est d’apprécier – indépendamment de l’organisation institutionnelle actuelle - quel poids relatif il convient d’affecter aux considérations fédérales et nationales. L’analyse est menée dans le cadre d’un MEGIS à deux pays, prenant en compte le mécanisme d'accélérateur financier. Ce modèle est estimé à l'aide de l'économétrie bayesienne sur données européennes en séparant les pays du cœur de la zone des pays de la périphérie. Nos résultats montrent que la divergence des cycles réels et financiers entre les deux régions de l’union monétaire tient à la fois à l’hétérogénéité régionale des paramètres structurels et à celle des chocs subis qui apparaissent plus importants dans les pays de la périphérie. Pour ce qui concerne la mise en œuvre de la politique macro-économique, le traitement hétérogène des pays conduit à une plus forte réaction de cet instrument dans les pays de la périphérie, ce qui affecte parfois de manière différente les performances macroéconomiques régionales. Enfin, une analyse contrefactuelle étudiant la réaction de l’activité et de l’investissement au moment de la crise montre que si globalement l’union monétaire (en moyenne) et les pays de la périphérie bénéficient de la mise en œuvre de mesures macro prudentielles ; les pays du cœur voient au contraire leur situation se détériorer.

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Paper provided by HAL in its series Working Papers with number halshs-01205487.

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Date of creation: 25 Sep 2015
Handle: RePEc:hal:wpaper:halshs-01205487
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  1. Bernanke, Ben S. & Gertler, Mark & Gilchrist, Simon, 1999. "The financial accelerator in a quantitative business cycle framework," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 21, pages 1341-1393 Elsevier.
  2. Dominic Quint & Pau Rabanal, 2014. "Monetary and Macroprudential Policy in an Estimated DSGE Model of the Euro Area," International Journal of Central Banking, International Journal of Central Banking, vol. 10(2), pages 169-236, June.
  3. Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models—Rejoinder," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 211-219.
  4. Schmitt-Grohe, Stephanie & Uribe, Martin, 2003. "Closing small open economy models," Journal of International Economics, Elsevier, vol. 61(1), pages 163-185, October.
  5. Eric Jondeau & Jean-Guillaume Sahuc, 2008. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity," International Journal of Central Banking, International Journal of Central Banking, vol. 4(2), pages 23-72, June.
  6. Schmitt-Grohe, Stephanie & Uribe, Martin, 2007. "Optimal simple and implementable monetary and fiscal rules," Journal of Monetary Economics, Elsevier, vol. 54(6), pages 1702-1725, September.
  7. Frank Smets & Rafael Wouters, 2007. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," American Economic Review, American Economic Association, vol. 97(3), pages 586-606, June.
  8. Aurélien Eyquem & Jean-Christophe Poutineau, 2010. "Markets Integration and Macroeconomic. Dispersion in a Monetary Union," Recherches économiques de Louvain, De Boeck Université, vol. 76(1), pages 5-30.
  9. Thomas Lubik & Frank Schorfheide, 2006. "A Bayesian Look at the New Open Economy Macroeconomics," NBER Chapters,in: NBER Macroeconomics Annual 2005, Volume 20, pages 313-382 National Bureau of Economic Research, Inc.
  10. Christopher Dawson & David de Meza & Andrew Henley & G. Reza Arabsheibani, 2014. "Entrepreneurship: Cause and Consequence of Financial Optimism," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 23(4), pages 717-742, December.
  11. Manju Puri & David T. Robinson, 2013. "The Economic Psychology of Entrepreneurship and Family Business," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 22(2), pages 423-444, 06.
  12. Matthieu Darracq Pariès & Christoffer Kok Sørensen & Diego Rodriguez-Palenzuela, 2011. "Macroeconomic Propagation under Different Regulatory Regimes: Evidence from an Estimated DSGE Model for the Euro Area," International Journal of Central Banking, International Journal of Central Banking, vol. 7(4), pages 49-113, December.
  13. Poutineau, Jean-Christophe & Vermandel, Gauthier, 2015. "Cross-border banking flows spillovers in the Eurozone: Evidence from an estimated DSGE model," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 378-403.
  14. Roberto Motto & Massimo Rostagno & Lawrence J. Christiano, 2010. "Financial Factors in Economic Fluctuations," 2010 Meeting Papers 141, Society for Economic Dynamics.
  15. Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 113-172.
  16. Jean-Christophe Poutineau & Gauthier Vermandel, 2014. "Intégration bancaire et conjoncture macroéconomique dans une union monétaire hétérogène," Post-Print hal-01345378, HAL.
  17. Andrea Gerali & Stefano Neri & Luca Sessa & Federico M. Signoretti, 2010. "Credit and Banking in a DSGE Model of the Euro Area," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(s1), pages 107-141, 09.
  18. Smets, Frank & Wouters, Raf, 2007. "Shocks and frictions in US business cycles: a Bayesian DSGE approach," Working Paper Series 722, European Central Bank.
  19. Dawson, Christopher & de Meza, David Emmanuel & Henley, Andrew & Arabsheibani, Reza, 2012. "Entrepreneurship: Cause or Consequence of Financial Optimism?," IZA Discussion Papers 6844, Institute for the Study of Labor (IZA).
  20. Frank Smets & Raf Wouters, 2003. "An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area," Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1123-1175, 09.
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