IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

L’impact de la crise fiancière sur la performance de la politique monétaire conventionnelle de la zone euro

Listed author(s):
  • Ewen Gallic

    (Université de Rennes 1, CREM UMR CNRS 6211, France)

  • Jean-Christophe Poutineau

    (Université de Rennes 1, CREM UMR CNRS 6211, France)

  • Gauthier Vermandel

    (Université Paris-Dauphine et PSL Research University, France)

This paper analyses the consequences of the financial crisis on the implementation of ECB conventional policy decisions. We use the three equation new Keynesian model that was widely adopted before the 2007 financial crisis as the benchmark of the analysis. Our main results underline a decrease in conventional monetary policy efficiency, following two main factors. On the one side, we observe a worsening of the arbitrage between the variance of activity and that of inflation (namely the Taylor curve). On the other side, our analysis underlines a clear departure from the efficiency frontier (as measured by the Taylor curve) coming from a high increase in the output gap. We find that to overcome part of this inefficiency the ECB should have set lower interest rates than observed, even negative by the end of the period of our analysis. This result provides a simple rationale for the adoption of new unconventional policy practices to overcome the consequences of the financial crisis.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: https://crem-doc.univ-rennes1.fr/wp/2017/2017-06.pdf
Download Restriction: no

Paper provided by Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS in its series Economics Working Paper Archive (University of Rennes 1 & University of Caen) with number 2017-06.

as
in new window

Length:
Date of creation: Mar 2017
Handle: RePEc:tut:cremwp:2017-06
Contact details of provider: Postal:
CREM (UMR CNRS 6211) – Faculty of Economics, 7 place Hoche, 35065 RENNES Cedex

Phone: 02 23 23 35 47
Fax: (33) 2 23 23 35 99
Web page: https://crem-doc.univ-rennes1.fr/
Email:


More information through EDIRC

Order Information: Postal: CREM (UMR CNRS 6211) - Faculty of Economics, 7 place Hoche, 35065 Rennes Cedex - France
Email:


References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as
in new window


  1. Gali, Jordi & Gertler, Mark, 1999. "Inflation dynamics: A structural econometric analysis," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 195-222, October.
  2. repec:hal:journl:halshs-01109031 is not listed on IDEAS
  3. Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models—Rejoinder," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 211-219.
  4. Frank Smets & Rafael Wouters, 2007. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," American Economic Review, American Economic Association, vol. 97(3), pages 586-606, June.
  5. Jean Boivin & Marc P. Giannoni, 2006. "Has Monetary Policy Become More Effective?," The Review of Economics and Statistics, MIT Press, vol. 88(3), pages 445-462, August.
  6. De Vroey,Michel, 2016. "A History of Macroeconomics from Keynes to Lucas and Beyond," Cambridge Books, Cambridge University Press, number 9781107584945, November.
  7. Mark Gertler & Jordi Gali & Richard Clarida, 1999. "The Science of Monetary Policy: A New Keynesian Perspective," Journal of Economic Literature, American Economic Association, vol. 37(4), pages 1661-1707, December.
  8. Stephen G. Cecchetti & Alfonso Flores-Lagunes & Stefan Krause, 2006. "Has Monetary Policy become more Efficient? a Cross-Country Analysis," Economic Journal, Royal Economic Society, vol. 116(511), pages 408-433, 04.
  9. Luc Arrondel & Pierre Lamarche & Frédérique Savignac, 2014. "Consommation et patrimoine des ménages : au‑delà du débat macroéconomique…," Économie et Statistique, Programme National Persée, vol. 472(1), pages 21-48.
  10. Poutineau, Jean-Christophe & Vermandel, Gauthier, 2015. "Cross-border banking flows spillovers in the Eurozone: Evidence from an estimated DSGE model," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 378-403.
  11. Olivier Blanchard & Jordi Galí, 2007. "Real Wage Rigidities and the New Keynesian Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(s1), pages 35-65, 02.
  12. Galí, Jordi & Gertler, Mark, 1999. "Inflation Dynamics: A Structural Economic Analysis," CEPR Discussion Papers 2246, C.E.P.R. Discussion Papers.
  13. Taylor, John B, 1979. "Estimation and Control of a Macroeconomic Model with Rational Expectations," Econometrica, Econometric Society, vol. 47(5), pages 1267-1286, September.
  14. Frank Smets & Rafael Wouters, 2007. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," American Economic Review, American Economic Association, vol. 97(3), pages 586-606, June.
  15. Catherine Bac, 2001. "Arbitrage entre fluctuations de l'inflation et de l'activité au niveau de la zone “euro”," Economie & Prévision, La Documentation Française, vol. 0(4), pages 47-58.
  16. Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 113-172.
  17. Glenn D. Rudebusch, 2009. "The Fed's monetary policy response to the current crisis," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue may22.
  18. Smets, Frank & Wouters, Raf, 2007. "Shocks and frictions in US business cycles: a Bayesian DSGE approach," Working Paper Series 722, European Central Bank.
  19. Frank Smets & Raf Wouters, 2003. "An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area," Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1123-1175, 09.
  20. Catherine Bac, 2001. "Arbitrage entre fluctuations de l'inflation et de l'activité au niveau de la zone "euro"," Économie et Prévision, Programme National Persée, vol. 150(4), pages 47-58.
  21. Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 383-398, September.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:tut:cremwp:2017-06. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CODA-POIREY Hélène)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.