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Nairu en zone heureuse

Author

Listed:
  • Frédéric Reynés
  • Matthieu Lemoine

    (Observatoire français des conjonctures économiques)

  • Paola Veroni

    (Observatoire français des conjonctures économiques)

Abstract

Cette étude spéciale propose des estimations du niveau non inflationniste du taux de chômage (Nairu) pour la zone euro agrégée, pour la France, l’Italie et l’Allemagne. Une équation d’inflation, qui dépend de l’écart du taux de chômage au Nairu, est estimée par le filtre de Kalman. Le modèle le plus simple, qui considère le Nairu comme une marche aléatoire, a des capacités prédictives limitées. Il diagnostique un taux de chômage inférieur au Nairu à l’horizon de notre prévision. Il est confronté à une deuxième version qui fait dépendre l’évolution du Nairu de celle du taux de chômage lui-même. Ce lien, vérifié empiriquement pour tous les pays, est parfois interprété comme un phénomène d’hystérèse. En identifiant un des déterminants du Nairu, ce modèle est mieux adapté en projection. De plus, cette spécification amène à des prévisions sensiblement plus basses du Nairu de long terme, écartant à moyen terme le risque inflationniste.

Suggested Citation

  • Frédéric Reynés & Matthieu Lemoine & Paola Veroni, 2007. "Nairu en zone heureuse," Sciences Po publications info:hdl:2441/2497, Sciences Po.
  • Handle: RePEc:spo:wpmain:info:hdl:2441/2497
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    File URL: http://spire.sciencespo.fr/hdl:/2441/2497/resources/2007-04-reynes-nairu-en-zone-heureuse.pdf
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    Cited by:

    1. Gian Luigi Mazzi & Frédéric Reynés & Matthieu Lemoine & Paola Veroni, 2008. "Real Time Estimation of Potential Output and Output Gap for the Euro-Area : Comparing Production Function with Unobserved Components and SVAR Approaches," Sciences Po publications 2008-34, Sciences Po.

    More about this item

    Keywords

    taux de chômage; Nairu; zone euro;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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