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

P. F ve, Julien Matheron and Jean-Guillaume Sahuc
Authors registered in the RePEc Author Service: Patrick Fève

Working papers from Banque de France

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.

Keywords: SVAR; long-run restrictions; disinflation. (search for similar items in EconPapers)
JEL-codes: C32 E31 E52 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2009
New Economics Papers: this item is included in nep-cba, nep-eec and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:247

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