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on Open MacroEconomics |
| By: | Michael B. Devereux; Alan Sutherland |
| Abstract: | This paper develops a simple approximation method for computing equilibrium portfolios in dynamic general equilibrium open economy macro models. The method is widely applicable, simple to implement, and gives analytical solutions for equilibrium portfolio positions in any combination or types of asset. It can be used in models with any number of assets, whether markets are complete or incomplete, and can be applied to stochastic dynamic general equilibrium models of any dimension, so long as the model is amenable to a solution using standard approximation methods. We first illustrate the approach using a simple two-asset endowment economy model, and then show how the results extend to the case of any number of assets and general economic structure. |
| Keywords: | Econometric models ; Equilibrium (Economics) - Mathematical models ; Macroeconomics - Econometric models ; Monetary policy |
| Date: | 2008 |
| URL: | http://d.repec.org/n?u=RePEc:fip:feddgw:09&r=opm |
| By: | Ellen R. McGrattan; Edward C. Prescott |
| Abstract: | The U.S. Bureau of Economic Analysis (BEA) estimates the return on investments of foreign subsidiaries of U.S. multinational companies over the period 1982–2006 averaged 9.4 percent annually after taxes; U.S. subsidiaries of foreign multinationals averaged only 3.2 percent. Two factors distort BEA returns: technology capital and plant-specific intangible capital. Technology capital is accumulated know-how from intangible investments in R&D, brands, and organizations that can be used in foreign and domestic locations. Used abroad, it generates profits for foreign subsidiaries with no foreign direct investment (FDI). Plant-specific intangible capital in foreign subsidiaries is expensed abroad, lowering current profits on FDI and increasing future profits. We develop a multicountry general equilibrium model with an essential role for FDI and apply the BEA’s methodology to construct economic statistics for the model economy. We estimate that mismeasurement of intangible investments accounts for over 60 percent of the difference in BEA returns. |
| Date: | 2008 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedmsr:406&r=opm |
| By: | Michael B. Devereux; Shouyong Shi |
| Abstract: | While in principle, international payments could be carried out using any currency or set of currencies, in practice, the US dollar is predominant in international trade and financial flows. The dollar acts as a "vehicle currency" in the sense that agents in nondollar economies will generally engage in currency trade indirectly using the US dollar rather than using direct bilateral trade among their own currencies. Indirect trade is desirable when there are transactions costs of exchange. This paper constructs a dynamic general equilibrium model of a vehicle currency. We explore the nature of the efficiency gains arising from a vehicle currency, and show how this depends on the total number of currencies in existence, the size of the vehicle currency economy, and the monetary policy followed by the vehicle currency's government. We find that there can be very large welfare gains to a vehicle currency in a system of many independent currencies. But these gains are asymmetry weighted towards the residentsof the vehicle currency country. The survival of a vehicle currency places natural limits on the monetary policy of the vehicle country. |
| Keywords: | International trade ; Dollar, American ; Equilibrium (Economics) - Mathematical models ; Monetary policy |
| Date: | 2008 |
| URL: | http://d.repec.org/n?u=RePEc:fip:feddgw:10&r=opm |
| By: | Carmen M. Reinhart; Kenneth S. Rogoff |
| Abstract: | There is a rich scholarly literature on sovereign default on external debt. Comparatively little is known about sovereign defaults on domestic debt. Even today, cross-country data on domestic public debt remains curiously exotic, particularly prior to the 1980s. We have filled this gap in the literature by compiling a database on central government public debt (external and domestic). The data span 1914 to 2007 for most countries, reaching back into the nineteenth century for many. Our findings on debt sustainability, sovereign defaults, the temptation to inflate, and the hierarchy of creditors only scratch the surface of what the domestic public debt data can reveal. First, domestic debt is big -- for the 64 countries for which we have long time series, domestic debt accounts for almost two-thirds of total public debt. For most of the sample, this debt carries a market interest rate (except for the financial repression era between WWII and financial liberalization). Second, the data go a long ways toward explaining the puzzle of why countries so often default on their external debts at seemingly low debt thresholds. Third, domestic debt has largely been ignored in the vast empirical work on inflation. In fact, domestic debt (a significant portion of which is long term and non-indexed) is often much larger than the monetary base in the run-up to high inflation episodes. Last, the widely-held view that domestic residents are strictly junior to external creditors does not find broad support. |
| JEL: | E6 F3 N0 |
| Date: | 2008–04 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:13946&r=opm |
| By: | Kose, M. Ayhan (International Monetary Fund); Otrok, Christopher (University of Virginia); Prasad, Eswar (Cornell University) |
| Abstract: | This paper analyzes the evolution of the degree of global cyclical interdependence over the period 1960-2005. We categorize the 106 countries in our sample into three groups – industrial countries, emerging markets, and other developing economies. Using a dynamic factor model, we then decompose macroeconomic fluctuations in key macroeconomic aggregates – output, consumption, and investment – into different factors. These are: (i) a global factor, which picks up fluctuations that are common across all variables and countries; (ii) three group-specific factors, which capture fluctuations that are common to all variables and all countries within each group of countries; (iii) country factors, which are common across all aggregates in a given country; and (iv) idiosyncratic factors specific to each time series. Our main result is that, during the period of globalization (1985-2005), there has been some convergence of business cycle fluctuations among the group of industrial economies and among the group of emerging market economies. Surprisingly, there has been a concomitant decline in the relative importance of the global factor. In other words, there is evidence of business cycle convergence within each of these two groups of countries but divergence (or decoupling) between them. |
| Keywords: | globalization, business cycles, macroeconomic fluctuations, convergence, decoupling |
| JEL: | C11 C32 E32 F42 F41 |
| Date: | 2008–04 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp3442&r=opm |
| By: | Mercereau, Benôit; Miniane, Jacques Alain |
| Abstract: | The present value model of the current account has been very popular, as it provides an optimal benchmark to which actual current account series have often been compared. We show why persistence in observed current account data makes the estimated optimal series very sensitive to small-sample estimation error, making it close to impossible to determine whether the paths of the two series truly bear any relation to each other. Moreover, the standard Wald test of the model will falsely accept or reject the model with substantial probability. Monte Carlo simulations and estimations using annual and quarterly data from five OECD countries strongly support our predictions. In particular, we conclude that two important consensus results in the literature – that the optimal series is highly correlated with the actual series, but substantially less volatile – are not statistically robust. |
| Keywords: | Current account, present value model, model evaluation |
| JEL: | C11 C52 F32 F41 |
| Date: | 2008 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:ifwedp:7211&r=opm |
| By: | Mario J. Crucini; Mototsugu Shintani; Takayuki Tsuruga |
| Abstract: | Volatile and persistent real exchange rates are observed not only in aggregate series but also on the individual good level data. Kehoe and Midrigan (2007) recently showed that, under a standard assumption on nominal price stickiness, empirical frequencies of micro price adjustment cannot replicate the time-series properties of the law-of-one-price deviations. We extend their sticky price model by combining good specific price adjustment with information stickiness in the sense of Mankiw and Reis (2002). Under a reasonable assumption on the money growth process, we show that the model fully explains both persistence and volatility of the good-level real exchange rates. Furthermore, our framework allows for multiple cities within a country. Using a panel of U.S.-Canadian city pairs, we estimate a dynamic price adjustment process for each 165 individual goods. The empirical result suggests that the dispersion of average time of information update across goods is comparable to that of average time of priceadjustment. |
| Keywords: | Prices ; Price levels ; Foreign exchange rates |
| Date: | 2008 |
| URL: | http://d.repec.org/n?u=RePEc:fip:feddgw:07&r=opm |
| By: | Gilbert Koenig; Irem Zeyneloglu |
| Abstract: | The paper analyzes monetary and fiscal policy efficiency and coordination in a stochastic new open economy macroeconomics (NOEM) model with three production sectors. Some or all of these sectors can be affected by unanticipated productivity shocks which can trigger monetary and fiscal policy reactions. The uncertainty over the shocks can be symmetric or asymmetric across the two countries. The paper first aims to assess the capacity of fiscal and monetary policy to reduce or eliminate the negative effects of unanticipated productivity shocks. Second, it evaluates the possible gains from international monetary cooperation as well as the impact of active fiscal policy on monetary policy efficiency. The results show that monetary and fiscal policies are efficient tools of stabilization and under several conditions they can replicate the flexible-price equilibrium. However, their efficiency is not necessarily increased when both monetary and fiscal policies react to shocks at the national level. The existence of bilateral gains from monetary cooperation depends on the degree of asymmetry concerning the uncertainty over the shocks. In case of high asymmetry, monetary cooperation can be counter-productive either for the home or for the foreign country. |
| Keywords: | Stabilization, international policy cooperation, monetary policy, fiscal policy. |
| JEL: | E63 F41 F42 |
| Date: | 2008 |
| URL: | http://d.repec.org/n?u=RePEc:ulp:sbbeta:2008-05&r=opm |
| By: | Emi Nakamura |
| Abstract: | This paper studies how prices comove across products, firms and locations to gauge the relative importance of retailer versus manufacturer-level shocks in determining prices. I make use of a large panel data set on prices for a cross-section of retailers in the U.S. I analyze prices at the barcode or "Universal Product Code'' (UPC) level for individual stores. I find that only 16% of the variation in prices is common across stores selling an identical product. 65% of the price variation is common to stores within a particular retail chain (but not across retail chains), while 17% is completely idiosyncratic to the store and product. Product categories with frequent temporary "sales'' exhibit a disproportionate amount of completely idiosyncratic price variation. My results suggest that most of the observed price variation arises from retail-level rather than manufacturer-level demand and supply shocks. However, the behavior of prices is difficult to relate to observed variation in costs and demand at the retail level. This suggests that retail prices may vary largely as a consequence of dynamic pricing strategies on the part of retailers or manufacturers, rather than static demand and supply shocks. |
| JEL: | E30 F40 L16 L81 |
| Date: | 2008–04 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:13965&r=opm |
| By: | Joseph W. Gruber; Steven B. Kamin |
| Abstract: | This paper addresses the popular view that differences in financial development explain the pattern of global current account imbalances. One strain of thinking explains the net flow of capital from developing to industrial economies on the basis of the industrial economies' more advanced financial systems and correspondingly more attractive assets. A related view addresses why the United States has attracted the lion's share of capital flows from developing to industrial economies; it stresses the exceptional depth, breadth, and safety of U.S. financial markets. ; In this paper we empirically test these hypotheses. Building on Chinn and Prasad (2003) and Gruber and Kamin (2007), we assess econometrically whether different measures of financial development explain the net flow of capital from developing to industrial economies, as well as the concentration of those flows toward the United States. We also assess whether differences in asset returns, an alternative measure of the attractiveness of financial assets, can explain the international pattern of capital flows. ; We find little evidence that differences in financial development help to explain the global pattern of current account imbalances. The measures of financial development generally do not explain either the net flow of capital from developing to industrial economies or, more specifically, the large U.S. current account deficits. Lower bond yields have been generally associated with lower current account balances (e.g., larger deficits) in industrial countries. However, U.S. bond yields have not been significantly lower than in other industrial economies, nor have expected equity earnings yields. This suggests, contrary to conventional wisdom, that U.S. financial assets have not been demonstrably more attractive than those of other industrial economies, and hence cannot explain the large U.S. deficit. ; Finally, we consider the alternative but related hypothesis that spending in the United States was uniquely responsive to the lower cost of credit stemming from capital inflows from developing countries, thus accounting for the outsized U.S. deficit. However, we found this hypothesis also to be weak, as household saving rates have declined throughout the industrial economies, not just in the United States. |
| Date: | 2008 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgif:923&r=opm |
| By: | Enrique Martinez-Garcia |
| Abstract: | Greater openness has become an almost universal feature of modern, developed economies. This paper develops a workhorse international model, and explores the role of standard monetary policy rules applied to an open economy. For this purpose, I build a two-country DSGE model with monopolistic competition, sticky prices, and pricing-to-market. I also derive the steady state and a log-linear approximation of the equilibrium conditions. The paper provides a lengthy explanation of the steps required to derive this benchmark model, and a discussion of: (a) how to account for certain well-known anomalies in the international literature, and (b) how to start "thinking" about monetary policy in this environment. |
| Keywords: | Monetary policy ; Equilibrium (Economics) ; Globalization ; Macroeconomics ; International finance ; Mathematical models |
| Date: | 2008 |
| URL: | http://d.repec.org/n?u=RePEc:fip:feddgw:11&r=opm |
| By: | Jose Berrospide |
| Abstract: | This paper develops a model of the firm's choice between debt denominated in local currency and that denominated in foreign currency in a small open economy characterized by exchange rate risk and hedging possibilities. The model shows that the currency composition of debt and the level of hedging are endogenously determined as optimal firms' responses to a tradeoff between the lower cost of borrowing in foreign debt and the higher risk of such borrowing due to exchange rate uncertainty. Both the composition of debt and the level of hedging depend on common factors such as foreign exchange rate risk and the probability of financial default, interest rates, the size of firms' net worth, and the costs of managing exchange rate risk. Results of the model are broadly consistent with the lending and hedging behavior of the corporate sector in small open economies that recently experienced currency crises. In particular, unlike the predictions of previous work in the literature on currency crises, the model can explain why the collapse of the fixed exchange rate regime in Brazil, in early 1999, caused no major change in the currency composition of debt of the corporate sector. |
| Date: | 2008 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgfe:2008-18&r=opm |
| By: | Argia M. Sbordone |
| Abstract: | This paper analyzes the potential effect of global market competition on inflation dynamics. It does so through the lens of the Calvo model of staggered price setting, which implies that inflation depends on expected future inflation and a measure of marginal costs. I modify the assumption of a constant elasticity of demand, standard in this model, to provide a channel through which an increase in the number of traded goods may affect the degree of strategic complementarity in price setting and hence alter the dynamic response of inflation to marginal costs. I first discuss the behavior of the variables that drive the impact of trade openness on this response, and then I evaluate whether an increase in the variety of traded goods of the magnitude observed in the United States in the 1990s might have a significant quantitative impact. I find that it is difficult to argue that such an increase in trade would have generated a sufficiently large increase in U.S. market competition to reduce the slope of theinflation-marginal cost relation. |
| Keywords: | Price levels ; Inflation (Finance) ; Deflation (Finance) ; Competition |
| Date: | 2008 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednsr:324&r=opm |
| By: | Raimundo Soto (Instituto de Economía. Pontificia Universidad Católica de Chile.) |
| Abstract: | Edwards and Savastano (2000) survey on the equilibrium real exchange rate (RER) literature identify two important limitations: the lack of explicit derivation of flow and stock equilibrium variables as determinants of the equilibrium RER and the failure to allow for unemployment. This paper develops a general equilibrium model that includes both elements, as well as other traditional determinants of the RER such as productivity, terms of trade and government policies. The model is tested against the experience of ten Latin American economies in the 1970-2004 period. From an econometric point of view the model is consistent with the evidence, providing an estimate of the RER misalignment. When evaluating the contribution of labor market distortions to changes in the equilibrium RER, they appear to be less significant than changes in productivity or government policies. |
| Keywords: | Real exchange rate, unemployment, general equilibrium, misalignmen |
| JEL: | F31 F37 J01 |
| Date: | 2008 |
| URL: | http://d.repec.org/n?u=RePEc:ioe:doctra:337&r=opm |
| By: | Kodama, Masahiro |
| Abstract: | Using a Dynamic General Equilibrium (DGE) model, this study examines the effects of monetary policy in economies where minimum wages are bound. The findings show that the monetary-policy effect on a binding-minimum-wage economy is relatively small and quite persistent. This result suggests that these two characteristics of monetary policy in the minimum-wage model are rather different from those in the union-negotiation model which is often assumed to account for industrial economies. |
| Keywords: | Monetary policy, Sticky wage, Business cycles, Developing countries, Minimum wages |
| JEL: | E32 E52 J3 O11 |
| Date: | 2008–03 |
| URL: | http://d.repec.org/n?u=RePEc:jet:dpaper:dpaper142&r=opm |
| By: | Emine Boz; Christian Daude; Ceyhun Bora Durdu |
| Abstract: | The data reveal that emerging markets do not differ from developed countries with regards to the variance of permanent TFP shocks relative to transitory. They do differ, however, in the degree of uncertainty agents face when formulating expectations. Based on these observations, we build an equilibrium business cycle model in which the agents cannot perfectly distinguish between the permanent and transitory components of TFP shocks. When formulating expectations, they assign some probability to TFP shocks being permanent even when they are purely transitory. This is sufficient for the model to produce "permanent-like" effects in response to transitory shocks. The imperfect information model calibrated to Mexico predicts a higher variability of consumption relative to output and a strongly negative correlation between the trade balance and output, without the predominance of trend shocks. The same model assuming perfect information and calibrated to Canada accounts for developed country business cycle regularities. The estimated relative variance of trend shocks in these two models is similar. |
| Date: | 2008 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgif:927&r=opm |
| By: | Andersen, Torben M; Seneca, Martin |
| Abstract: | This paper takes a first step in analysing how a monetary union performs in the presence of labour market asymmetries. Differences in wage flexibility, market power and country sizes are allowed for in a setting with both country-specific and aggregate shocks. The implications of asymmetries for both the overall performance of the monetary union and the country-specific situation are analysed. It is shown that asymmetries are not only critical for country-specific performance but also for the overall performance of the monetary union. A striking finding is that aggregate output volatility is not strictly increasing in nominal rigidities but hump-shaped. Moreover, a disproportionate share of the consequences of wage inflexibility may fall on small countries. In the case of country-specific shocks, a country unambiguously benefits in terms of macroeconomic stability by becoming more flexible, while this is not necessarily the case for aggregate shocks. There may thus be a tension between the degree of flexibility considered optimal at the country level and at the aggregate level within the monetary union. |
| Keywords: | business cycles; monetary policy; monetary union; nominal wage rigidity; shocks; staggered contracts; wage formation |
| JEL: | E30 E52 F41 |
| Date: | 2008–04 |
| URL: | http://d.repec.org/n?u=RePEc:cpr:ceprdp:6800&r=opm |
| By: | Hoffmann, Mathias; Tillmann, Peter |
| Abstract: | How does international financial integration affect national price levels? To analyze this question, this paper formulates a two-country open economy sticky-price model under either segmented or complete asset markets. It is shown that the effect of financial integration, i.e. moving from segmented to complete asset markets, is regime-dependent. Under managed exchange rates, financial integration raises the national price level. Under floating exchange rates, however, financial integration lowers national price levels. Thus, the paper proposes a novel argument to rationalize systematic deviations from PPP. Panel evidence for 54 countries supports the main findings. A 10% larger ratio of foreign assets and liabilities to GDP, our measure of international financial integration, increases the national price level by 0.27 percentage points under fixed and intermediate exchange rate regimes and lowers the price level by 0.3 percentage points under floating exchange rates. |
| Keywords: | International financial integration, exchange rate regime, national price level, PPP, foreign asset position |
| JEL: | F21 F36 F41 |
| Date: | 2008 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bubdp1:7216&r=opm |
| By: | Joerg Bibow |
| Abstract: | This paper sets out to investigate the forces behind the so-called "global capital flows paradox" and related "dollar glut" observed in the era of advancing financial globalization. The supposed paradox is that the developing world has increasingly come to pursue policies that resulted in current account surpluses and thus net capital exports—destined primarily for the capital-rich United States. The hypothesis put forward here is that systemic deficiencies in the international monetary and financial order have been the root cause behind today’s situation. Furthermore, it is argued that the United States’ position as issuer of the world's premiere reserve currency and supremacy in global finance explain the related conundrum of a positive investment income balance despite a negative international investment position. The assessment is carried out in light of John Maynard Keynes’s views on a sound international monetary and financial order. |
| Date: | 2008–04 |
| URL: | http://d.repec.org/n?u=RePEc:lev:wrkpap:wp_531&r=opm |
| By: | Munshi, Farzana (Department of Economics, School of Business, Economics and Law, Göteborg University) |
| Abstract: | How does globalization affect inter-occupational wage inequality within countries? This paper empirically examines this issue by focusing on two dimensions of globalization, openness to trade and openness to capital, using a relatively new dataset on occupational wages. Estimates from dynamic models for 52 countries for the 1983-2002 period suggest that openness to trade contributes to an increase in occupational wage inequality within developed countries, but that the effect diminishes with an increased level of development. In the context of developing countries, the results suggest that the effect of openness to trade on wage inequality is insignificant and does not vary with the level of development. Our results also suggest that openness to capital does not affect occupational wage inequality in either developed or developing countries.<p> |
| Keywords: | openness to trade; openness to capital; foreign direct investment; occupational wage inequality; panel data; dynamic model |
| JEL: | C33 F15 F16 F23 J31 |
| Date: | 2008–04–23 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:gunwpe:0302&r=opm |
| By: | Michael Graff (KOF Swiss Economic Institute, ETH Zurich); Kam Ki Tang (School of Economics, University of Queensland, Australia); Jie Zhang (School of Economics, University of Queensland, Australia) |
| Abstract: | This paper examines the impact of demographic factors on saving, investment, and external balances. We derive a number of semi-structural equations from national accounting principle and the principle that external balances for the world as a whole must sum to zero. The resulting equations embody both closed, partially open and completely open economies as special cases, and are arguably more properly specified than those previously used in the literature. We apply these semi-structural equations to a large panel data set. While our findings by and large are in agreement with most previous studies, our semi-structural equations give much more plausible estimation results for saving and investment than conventional specification |
| Keywords: | Demography, openness, saving, investment, current account, panel data |
| JEL: | E21 F32 J10 |
| Date: | 2008–04 |
| URL: | http://d.repec.org/n?u=RePEc:kof:wpskof:08-194&r=opm |
| By: | Garciìa Solanes, José; Torrejón Flores, Fernando |
| Abstract: | This paper studies the Balassa-Samuelson hypothesis in two areas with strong differences in economic development, sixteen OECD countries and sixteen Latin American economies. Applying panel cointegration and bootstrapping techniques that solve for cross-sectional dependence problems in the data, we find that the second stage of the hypothesis, which relates relative sector prices with the real exchange rate, only holds in the Latin American area. The failure of the latter in the OECD countries as a whole is reflected in departures from PPP in the tradable sectors, and is probably due to segmentation between national tradable markets. |
| Keywords: | Balassa-Samuelson effect, bootstrapping techniques, cross-sectional dependence, economic development, exchange rate systems |
| JEL: | C15 E31 F31 |
| Date: | 2008 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:ifwedp:7215&r=opm |
| By: | Romain Duval; Lukas Vogel |
| Abstract: | The strong and sustained rise in oil prices observed in recent years poses a challenge to monetary policy and its ability to simultaneously achieve low inflation and stable output. Against this background, the paper studies monetary policy in a small open economy New Keynesian DSGE model including oil as a production input and a component of final demand. It investigates the performance of alternative price level definitions, notably headline and core CPI, in standard interest rate rules with respect to output and inflation stabilisation. The analysis puts special emphasis on the impact of price and real wage rigidity and their interaction on the policy trade-off induced by the oil price shock. While the degree of price rigidity alone is found to have little impact on the shock transmission and generates only small differences between alternative monetary strategies, the simulations suggest a more important role for real wage stickiness. Real wage stickiness triggers second round effects and complicates stabilisation whatever the policy rule. A focus on core inflation tends to limit the contraction of output in this context. The results also point to some interaction between nominal price and real wage rigidities. In the presence of real wage rigidity, greater price flexibility is found to be destabilising, as it amplifies the initial inflation effect of shocks, thereby triggering a stronger monetary policy response and a larger output effect. <P>Chocs pétroliers, rigidités et conduite de la politique monétaire : quelques leçons tirées d’une perspective néo-keynésienne <BR>La hausse forte et persistante des prix pétroliers au cours des années passées constitue un défi pour la politique monétaire et sa capacité à stabiliser simultanément l’inflation et la production. Dans ce contexte, ce document étudie le comportement de la politique monétaire dans un modèle DSGE néo-keynésien d’une petite économie ouverte, incluant le pétrole à la fois comme bien de consommation final et comme facteur de production. L’analyse met l’accent sur la performance de définitions alternatives de l’indice des prix, notamment des indices de prix courant et sous-jacent, dans des règles de politique monétaire courantes, en matière de stabilisation du niveau de production et de l’inflation. En particulier, l’analyse met en évidence l’impact des rigidités de prix et de salaire réel, ainsi que de leur interaction, sur l’arbitrage engendré par le choc pétrolier. Tandis que le degré de rigidité des prix seul a peu d’effet sur la transmission des chocs et n’engendre que des écarts mineurs entre différentes stratégies de politique monétaire, les simulations suggèrent un impact plus important de la rigidité des salaires réels. La rigidité des salaires réels entraîne des effets de second tour et complique la stabilisation quelle que soit la règle de politique monétaire. Cibler l’inflation sous-jacente tend à limiter la contraction du niveau de production dans ce contexte. En outre, les résultats suggèrent une interaction entre rigidité des prix nominaux et rigidité des salaires réels. Pour un degré de rigidité donné des salaires réels, une forte flexibilité des prix apparait déstabilisatrice car elle amplifie l’effet initial du choc sur l’inflation, ce qui amplifie la réaction de politique monétaire et, ce faisant, entraîne une variation plus forte du niveau de production. |
| Keywords: | monetary policy, politique monétaire |
| JEL: | E30 F41 Q43 |
| Date: | 2008–04–08 |
| URL: | http://d.repec.org/n?u=RePEc:oec:ecoaaa:603-en&r=opm |