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La modélisation Var "structurel" : application à la politique monétaire en France

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  • Catherine Bruneau
  • Olivier De Bandt

Abstract

[eng] Structural VAR modeling: application to France's monetary policy by Catherine Bruneau and Olivier De Bandt . This paper discusses the purposes and limits of "structural" VAR modeling. It explains the choices that modelers have to make at different stages of the procedure. An illustration is provided by an analysis of monetary policy shocks in France over the 1972:1-1995:2 period. Compared with previous studies of this country, the main finding is the statistically significant effect of monetary policy on economic activity and inflation. This is found by introducing an additional variable that measures budget policy. The article shows that "structural" VARs can be used to analyse the 1993 recession. [fre] La modélisation Var structurel : application à la politique monétaire en France par Catherine Bruneau et Olivier De Bandt . L'article discute de l'intérêt et des limites de la modélisation Var "structurel". Il explicite les choix que le modélisateur doit opérer aux différentes étapes de la procédure. Une illustration est fournie par une analyse des chocs de politique monétaire en France sur la période 1972:11995:2. Par rapport aux travaux antérieurs portant sur ce pays, le résultat essentiel est la mise en évidence d'un effet statistiquement significatif de la politique monétaire sur l'activité et l'inflation. On introduit pour cela une variable supplémentaire mesurant la politique budgétaire. L'article rend compte de la capacité des Var " structurels " à analyser la récession de 1993.

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  • Catherine Bruneau & Olivier De Bandt, 1999. "La modélisation Var "structurel" : application à la politique monétaire en France," Économie et Prévision, Programme National Persée, vol. 137(1), pages 67-94.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_1999_num_137_1_5948
    DOI: 10.3406/ecop.1999.5948
    Note: DOI:10.3406/ecop.1999.5948
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    2. Gossé, Jean-Baptiste & Guillaumin, Cyriac, 2013. "L’apport de la représentation VAR de Christopher A. Sims à la science économique," L'Actualité Economique, Société Canadienne de Science Economique, vol. 89(4), pages 309-319, Décembre.
    3. ODIA NDONGO, Yves Francis, 2007. "Les sources des fluctuations marcoéconomiques au Cameroun," MPRA Paper 1308, University Library of Munich, Germany.
    4. Benoît Mojon, 1998. "Monetary Policy Under a Fixed Exchange Rate Regime, the Case of France 1987-1996," Working Papers 1998-14, CEPII research center.
    5. Eric Monnet, 2014. "Monetary Policy without Interest Rates: Evidence from France's Golden Age (1948 to 1973) Using a Narrative Approach," American Economic Journal: Macroeconomics, American Economic Association, vol. 6(4), pages 137-169, October.
    6. Monticello, Carlo & Tristani, Oreste, 1999. "What does the single monetary policy do? A SVAR benchmark for the European Central Bank," Working Paper Series 0002, European Central Bank.
    7. Jonas Kibala Kuma, 2018. "Structural VAR Model : Theory review and practices on software [Le Modèle VAR Structurel : Eléments de théorie et pratiques sur logiciels]," Post-Print cel-01771221, HAL.
    8. Sophie Garcia & Adrien Verdelhan, 2001. "Le policy-mix de la zone euro. Une évaluation de l'impact des chocs monétaires et budgétaires," Économie et Prévision, Programme National Persée, vol. 148(2), pages 23-40.
    9. Ghassan, Hassan B., 2003. "Test de l’effet de stabilisation automatique par la modélisation SVAR sans contrainte de long terme [Testing the Automatic Stabilization Effect: Evidence from SVAR Model without Long-Term Constrain," MPRA Paper 56387, University Library of Munich, Germany, revised 02 Apr 2003.

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