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Relation de Phillips, boucle prix-salaire : une estimation par la méthode de Johansen

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  • Eric Heyer
  • Hervé Le Bihan
  • Frédéric Lerais

Abstract

[eng] Revisiting the Classic Augmented Phillips Curve for France: a VECM Approach by Eric Heyer, Hervé Le Bihan et Frédéric Lerais . This paper presents an empirical model of a price- wage loop based on French quarterly data. We apply the Johansen maximum likelihood technique to deal with the series' non-stationarity and capture nominal rigidities. Given that prices and wages can be treated as I(2) variables, we estimate a VECM in terms of price and wage differences. The classic augmented Phillips curve is hence interpreted as a cointegration relation. Our specification is used to test different wage and price indexation assumptions and to model short-run nominal rigidities. Two other long-run relations are identified: the mark-up of value-added prices over labour costs and a consumer price inflation equation involving import prices. We also use the Johansen and Juselius (1995) approach to identify and estimate a set of structural short-run price and wage equations. [fre] Relation de Phillips, boucle prix-salaire : une estimation par la méthode de Johansen par Eric Heyer, Hervé Le Bihan et Frédéric Lerais . Nous estimons, sur données trimestrielles françaises, une boucle prix-salaire en utilisant la méthode de Johansen, qui permet de prendre en compte la non-stationnarité des séries et le caractère simultané des interactions. Les prix et salaires étant caractérisés comme des variables I(2), nous spécifions le système en taux de croissance. La courbe de Phillips traditionnelle est alors interprétée comme une relation de cointegration. La spécification retenue permet de tester différentes hypothèses d'indexation et de modéliser les rigidités nominales de court terme. Suivant la démarche de Johansen et Juselius (1995), nous identifions et estimons des équations de prix et salaires de court terme susceptibles de recevoir une interprétation structurelle.

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  • Eric Heyer & Hervé Le Bihan & Frédéric Lerais, 2000. "Relation de Phillips, boucle prix-salaire : une estimation par la méthode de Johansen," Économie et Prévision, Programme National Persée, vol. 146(5), pages 43-60.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_2000_num_146_5_6127
    DOI: 10.3406/ecop.2000.6127
    Note: DOI:10.3406/ecop.2000.6127
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    3. Cette, G. & Chouard, V. & Verdugo, G., 2012. "The Effect of the Minimum Wage on the Average Wage in France (in French)," Working papers 366, Banque de France.
    4. Claire Sensoli & Francisco Serranito & Thierry Latreille & Olivier Passet & Odile Chagny & Hélène Baudchon & Catherine Mathieu & Christine Rifflart & Hervé Péléraux & Henri Sterdyniak & Paola Veroni, 2000. "Tous ensemble ? Perspectives 2000-2001 pour l'économie mondiale," Post-Print hal-01218109, HAL.
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    6. Valérie Chauvin & Gaël Dupont & Éric Heyer & Xavier Timbeau, 2001. "Le retour au plein emploi ?," Revue de l'OFCE, Presses de Sciences-Po, vol. 79(4), pages 195-233.
    7. Yannick L'horty & Christophe Rault, 2003. "Why Is French Equilibrium Unemployment So High? an Estimation of the Ws-Ps Model," Journal of Applied Economics, Taylor & Francis Journals, vol. 6(1), pages 127-156, May.
    8. repec:hal:spmain:info:hdl:2441/1904 is not listed on IDEAS
    9. repec:hal:wpspec:info:hdl:2441/1949 is not listed on IDEAS
    10. Heyer, Eric & Reynes, Frederic & Sterdyniak, Henri, 2007. "Structural and reduced approaches of the equilibrium rate of unemployment, a comparison between France and the United States," Economic Modelling, Elsevier, vol. 24(1), pages 42-65, January.
    11. repec:hal:spmain:info:hdl:2441/1625 is not listed on IDEAS
    12. Département analyse et prévision de l'OFCE & Henri Sterdyniak & Hélène Baudchon & Odile Chagny & Thierry Latreille & Catherine Mathieu & Olivier Passet & Christine Rifflart & Claire Sensoli & Paola Ve, 2000. "Tous ensemble ?," Revue de l'OFCE, Programme National Persée, vol. 73(1), pages 7-113.
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    15. Valérie Chauvin & Gaël Dupont & Éric Heyer & Mathieu Plane & Xavier Timbeau, 2002. "Le modèle France de l'OFCE. La nouvelle version : e-mod.fr," Revue de l'OFCE, Presses de Sciences-Po, vol. 81(2), pages 245-300.
    16. Irac, D., 2000. "Estimation of a Time Varying NAIRU for France," Working papers 75, Banque de France.
    17. Frédéric Ghersi & Emmanuel Combet & Jean Charles Hourcade & Camille Thubin, 2010. "Économie d'une fiscalité carbone en France - Rapport d'étude réalisée avec le soutien de l'ADEME et de la CFDT‐IRES," Post-Print halshs-00458205, HAL.
    18. repec:spo:wpecon:info:hdl:2441/2781 is not listed on IDEAS
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