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D sinflation et ch mage dans la zone euro : une analyse l'aide d'un mod le VAR structurel

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  • F ve, P.
  • Matheron, J.
  • Sahuc, J-G.

Abstract

The present paper investigates the dynamic effects of disinflation shocks for a number of real macroeconomic variables in the euro area. Using structural VARs, we identify disinflation shocks as the only shocks that can exert a long--run effect on inflation as well as other nominal variables cointegrating with inflation. These shocks are found to generate large recessionary effects, notably when it comes to investment, and triggers a persistent rise in unemployment and in the real interest rate. The analysis is complemented by computing inefficiency measures on goods and labor markets. We show that, after a disinflation shock, inefficiencies in the labor market seem to prevail. These conclusions are robust to modifications of our baseline identification scheme.

Suggested Citation

  • F ve, P. & Matheron, J. & Sahuc, J-G., 2009. "D sinflation et ch mage dans la zone euro : une analyse l'aide d'un mod le VAR structurel," Working papers 247, Banque de France.
    • Handle: RePEc:bfr:banfra:247
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    More about this item

    Keywords

    SVAR; long-run restrictions; disinflation.;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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