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Effet peso : présentation théorique et application la politique monétaire

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  • Nicolas Million

    (Banque de France et Centre d'Economie de la Sorbonne)

Abstract

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 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

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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. Lucas, Robert Jr., 1972. "Expectations and the neutrality of money," Journal of Economic Theory, Elsevier, vol. 4(2), pages 103-124, April.
    3. Robert M. Solow, 1956. "A Contribution to the Theory of Economic Growth," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 70(1), pages 65-94.
    4. Fourgeaud, Claude & Gourieroux, Christian & Pradel, Jacqueline, 1986. "Learning Procedures and Convergence to Rationality," Econometrica, Econometric Society, vol. 54(4), pages 845-868, July.
    5. Shiller, Robert J, 1981. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," American Economic Review, American Economic Association, vol. 71(3), pages 421-436, June.
    6. Thomas J. Sargent, 1969. "Commodity Price Expectations and the Interest Rate," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 83(1), pages 127-140.
    7. 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," Economie & Prévision, La Documentation Française, vol. 0(1), pages 83-95.

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    Keywords

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    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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