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Règle du taux d'intérêt optimale, prix des actions et taux d'inflation anticipé : une étude de la stabilité macroéconomique
[Optimal interest rate rule, asset prices and expected inflation rate : a study of the macroeconomic stability]

  • Dai, Meixing
  • Sidiropoulos, Moïse

Cet article étudie la stabilité macroéconomique lorsque la Banque Centrale intègre dans sa règle du taux d'intérêt optimale les cours boursiers. Nous montrons que lorsque la Banque Centrale a une forte aversion pour l'inflation en attribuant un poids important à l'objectif de l'inflation par rapport à celui de l'output (le cas d'un banquier « conservateur » au sens de Rogoff), le système économique risque d'être instable. La présence du prix des actions dans la règle du taux d'intérêt optimale de la Banque Centrale n'est pas à l'origine de l'instabilité. (English)This paper examines the macroeconomic stability when monetary authorities include asset prices in their optimal interest rate rule. We show that when the Central Bank has a strong inflationary aversion by giving more important weight to inflation target relative to output target (the case of a "conservative" central banker according to Rogoff), the economy is likely to be unstable. The presence of the asset prices in Central Bank's optimal interest rate rule is not a reason of instability.

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File URL: https://mpra.ub.uni-muenchen.de/14401/1/MPRA_paper_14401.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 14401.

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Date of creation: Mar 2002
Date of revision: Jun 2003
Publication status: Published in Économie Appliquée 6.4(2003): pp. 115-140
Handle: RePEc:pra:mprapa:14401
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  1. Ben S. Bernanke & Frederic S. Mishkin, 1997. "Inflation Targeting: A New Framework for Monetary Policy?," Journal of Economic Perspectives, American Economic Association, vol. 11(2), pages 97-116, Spring.
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  3. Svensson, Lars E. O., 2000. "Open-economy inflation targeting," Journal of International Economics, Elsevier, vol. 50(1), pages 155-183, February.
  4. Stephanie Schmitt-Grohe & Jess Benhabib & Martin Uribe, 2001. "Monetary Policy and Multiple Equilibria," American Economic Review, American Economic Association, vol. 91(1), pages 167-186, March.
  5. DURRE, Alain, 2001. "Would it Be Optimal for Central Banks to Include Asset Prices in Their Loss Function ?," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2001013, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  6. Svensson, Lars, 1999. "How Should Monetary Policy Be Conducted in an Era of Price Stability," Seminar Papers 680, Stockholm University, Institute for International Economic Studies.
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  10. McCallum, Bennett T, 1980. "Rational Expectations and Macroeconomic Stabilization Policy: An Overview," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 12(4), pages 716-46, November.
  11. Michael Woodford, 1994. "Nonstandard Indicators for Monetary Policy: Can Their Usefulness Be Judged from Forecasting Regressions?," NBER Chapters, in: Monetary Policy, pages 95-115 National Bureau of Economic Research, Inc.
  12. Carl E. Walsh, 2002. "Teaching Inflation Targeting: An Analysis for Intermediate Macro," The Journal of Economic Education, Taylor & Francis Journals, vol. 33(4), pages 333-346, December.
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  14. Andrew J. Filardo, 2001. "Should monetary policy respond to asset price bubbles? : some experimental results," Research Working Paper RWP 01-04, Federal Reserve Bank of Kansas City.
  15. Kenneth Rogoff, 1985. "The Optimal Degree of Commitment to an Intermediate Monetary Target," The Quarterly Journal of Economics, Oxford University Press, vol. 100(4), pages 1169-1189.
  16. Ben S. Bernanke & Mark Gertler, 2001. "Should Central Banks Respond to Movements in Asset Prices?," American Economic Review, American Economic Association, vol. 91(2), pages 253-257, May.
  17. David Romer, 2000. "Keynesian Macroeconomics without the LM Curve," NBER Working Papers 7461, National Bureau of Economic Research, Inc.
  18. Andrew J. Filardo, 2000. "Monetary policy and asset prices," Economic Review, Federal Reserve Bank of Kansas City, issue Q III, pages 11-37.
  19. Timothy Cogley, 1999. "Should the Fed take deliberate steps to deflate asset price bubbles?," Economic Review, Federal Reserve Bank of San Francisco, pages 42-52.
  20. Nicoletta Batini & Andrew Haldane, 1999. "Forward-Looking Rules for Monetary Policy," NBER Chapters, in: Monetary Policy Rules, pages 157-202 National Bureau of Economic Research, Inc.
  21. 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 421-36, June.
  22. Benhabib, Jess & Schmitt-Grohe, Stephanie & Uribe, Martin, 1998. "The Perils of Taylor Rules," Working Papers 98-37, C.V. Starr Center for Applied Economics, New York University.
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