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Change, inflation et intérêt : un modèle

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  • Henri Sterdyniak
  • Pierre Villa
  • Gilles Oudiz
  • Vivien Lévy-Garboua

Abstract

[eng] Exchange rate, inflation and interest rate : a model. . The aim of this paper is to clarify the mechanisms involved in a flexible exchange rates regime for a medium size country like France and to discuss the characteristics of present economic adjustments. The paper is based on a model of an open economy which extends the the traditionnal Keynesian models of Fleming and Mundell, by including some monetarist hypotheses : price flexibility, role of anticipations and portfolio behavior in the determination of capital flows. This model does not assume as is usual the hypothesis- that the money supply is controlled by the authorities, this hypothesis being inadequate in the case of France ; this implies that, in the model, there is no equilibrium exchange rate which would guide rational expectations and that some monetary policy is needed under flexible exchange rates. Finally the supply behavior of firms is formalized in a way that differs from both the Keynesian hypothesis of monetary illusion and the monetarist analysis of the natural unemployment rate.. After having estimated the coefficients of the model for France we used it to study the impact of varions disturbances and of economic policies according to the exchange rate regime and to the mobility of capital.. This study shows the central role played by the exchange rate under flexible exchange rates, mainly as a channel of transmission of monetary policy. Because of this, it is more and more difficult to modify the level of activity without ditering prices : these two variables are more closely related under flexible exchange rates than under fixed exchange rates. This interaction implies that inflation can hardly be reduced without diminishing growth.. The main conclusion which is drawn from our simulations is that under flexible exchange rates thé economy is unstable. This is due neither to the specification of the real part of the model, nor to the hypothesis made for critical elasticities, but to the interaction between the exchange rates regime and the financial system : under fixed exchange rates, the inflationist cycle is dampened by the loss in export competitivity and the diminution of official reserves ; under flexible exchange rates the depreciation of the domestic currency « overshoots » the growth of prices, if wages adapt rapidly to prices, and if the monetary authorities do not respond adequately a cumulative process follows. [fre] L'objet de cet article est de clarifier les mécanismes mis en jeu dans un régime de changes flexibles pour un pays de taille moyenne comme la France et de pro­poser une réflexion sur les particularités des ajustements économiques actuels. A cette fin, il présente sous forme de modèle une extension critique du schéma traditionnel keynésien développé par Fleming et Mundell. Ce modèle intègre des analyses de type monétariste : flexibilité des prix, rôle de la formation des anticipations, comportement patrimonial, pour expliquer les mouvements de capi­taux. Il présente de plus la particularité de refuser l'hypothèse de contrôle de l'offre de monnaie, qui est inadéquate, en tous cas pour la France et d'incorporer une description plus fine des phénomènes monétaires. Cela implique qu'il n'existe plus, dans le modèle, de taux de change d'équilibre qui guiderait des anticipations rationnelles et nécessite la gestion du flottement par les autorités monétaires. Enfin, la description du comportement d'offre des entreprises essaie d'échapper à la fois à l'hypothèse keynésienne d'illusion monétaire et à l'analyse monétariste de taux de chômage naturel.. Ce modèle est chiffré dans le cas français et utilisé pour étudier l'impact de diffé­rents aléas et de diverses politiques économiques selon le régime de change et la mobilité des capitaux.. L'étude montre le rôle central joué par le taux de change en régime de changes flexibles, notamment comme canal de transmission de la politique monétaire. De ce fait, il devient de plus en plus difficile de faire varier l'activité sans modifier les prix : ces deux variables sont plus asservies en régime de flottement qu'en changes fixes. L'interaction entre prix et activité implique qu'on ne peut guère réduire l'inflation sans réduire la croissance.. La principale conclusion est relative à l'instabilité de l'économie en changes flot­tants que révèlent les simulations. Ce résultat ne provient ni de la partie réelle du modèle, ni de l'hypothèse faite sur les élasticités critiques, mais de l'interaction entre régime de change et système financier : en changes fixes, le cycle inflation­niste est freiné par la perte de compétitivité et de réserves officielles qui entraî­nent la hausse du taux d'intérêt et la baisse de la demande adressée aux produc­teurs nationaux ; en changes flexibles, la chute du change surcompense la hausse des prix. Si les revenus des ménages sont indexés rapidement sur l'inflation, si les réactions des autorités monétaires ne sont pas suffisantes, un processus cumu­latif se développe.

Suggested Citation

  • Henri Sterdyniak & Pierre Villa & Gilles Oudiz & Vivien Lévy-Garboua, 1978. "Change, inflation et intérêt : un modèle," Revue Économique, Programme National Persée, vol. 29(5), pages 866-926.
  • Handle: RePEc:prs:reveco:reco_0035-2764_1978_num_29_5_408419
    DOI: 10.3406/reco.1978.408419
    Note: DOI:10.3406/reco.1978.408419
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    References listed on IDEAS

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    1. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-1176, December.
    2. repec:bla:scandj:v:78:y:1976:i:2:p:255-75 is not listed on IDEAS
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    1. Michel Aglietta & André Orléan & Gilles Oudiz, 1980. "L'industrie française face aux contraintes de change," Économie et Statistique, Programme National Persée, vol. 119(1), pages 35-63.
    2. Pierre-Alain Muet, 1979. "La modélisation macroéconomique : une étude de la structure et de la dynamique des modèles macroéconométriques," Économie et Prévision, Programme National Persée, vol. 40(1), pages 3-62.
    3. Jean-Pierre Laffargue, 1979. "Spéculation déstabilisante en régime de changes flexibles : une approche d'équilibre général," Revue Économique, Programme National Persée, vol. 30(4), pages 650-675.

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