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Effet peso : présentation théorique et application à la politique monétaire



This article deals with the theoretical implications implied by the presence of Peso effects in expectations. After presenting the Peso effect as the probability of occurence of an unusual event though important enough to be taken into account in the forecasts, we present a model able to isolate the systematic expectation error. The appearance of this error comes especially from imperfect information concerning the future states as well as the current regime. This uncertainty about the current regime leads the agents to implement a learning process for the model. In the last part of this article, we show how a credible central bank can limit the occurrence of Peso effects.

Suggested Citation

  • Nicolas Million, 2007. "Effet peso : présentation théorique et application à la politique monétaire," Documents de travail du Centre d'Economie de la Sorbonne v07012, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Handle: RePEc:mse:cesdoc:v07012

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    References listed on IDEAS

    1. Fourgeaud, Claude & Gourieroux, Christian & Pradel, Jacqueline, 1986. "Learning Procedures and Convergence to Rationality," Econometrica, Econometric Society, vol. 54(4), pages 845-868, July.
    2. 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.
    3. Salah Ghabri & Jean-Loup Madre & François Gardes & Marie-Claude Pichery, 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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    Cited by:

    1. Nicolas Million, 2010. "Test simultané de la non-stationnarité et de la non-linéarité : une application au taux d’intérêt réel américain," Économie et Prévision, Programme National Persée, vol. 192(1), pages 83-95.

    More about this item


    Peso effect; efficient markets; rational expectations.;

    JEL classification:

    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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