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State-Dependent Probability Distributions in Non Linear Rational Expectations Models

Listed author(s):
  • Jean Barthélemy

    (Banque de France)

  • Magali Marx

    (Banque de France)

Dans ce papier, nous proposons une méthode de résolution de modèles non linéaires à anticipations rationnelles dans lesquels les changements de régimes ou les chocs eux-même peuvent être "endogènes", c'est-à-dire suivre des distributions de probabilités dépendant de l'état de l'économie. Par une méthode de perturbation, nous trouvons des conditions de détermination, i.e. des conditions d'existence d'un unique équilibre stable. Nous montrons que ces conditions découlent directement des conditions correspondantes dans le modèle à changements de régimes exogènes. Bien que ces conditions soient difficiles à vérifier dans le cas général, nous donnons, dans le cas des modèles à changements de régimes purement tournés vers le futur, des conditions de détermination faciles à calculer et une approximation au premier ordre de la solution. Enfin, nous illustrons nos résultats avec un modèle de Fisher de détermination d'inflation dans lequel la règle de politique monétaire change entre les régimes selon une matrice de transition dépendant de l'état de l'économie.

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File URL: http://spire.sciencespo.fr/hdl:/2441/7l23tbn4rd9539sljmp8of2hcb/resources/state-dependent-probability.pdf
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Paper provided by Sciences Po in its series Sciences Po publications with number 347.

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Date of creation: Oct 2011
Handle: RePEc:spo:wpmain:info:hdl:2441/7l23tbn4rd9539sljmp8of2hcb
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