Effet peso: présentation théorique et application à la politique monétaire

Nicolas Million ()
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Nicolas Million: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, Centre de recherche de la Banque de France - Banque de France

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Abstract: This article deals with the theoretical implications implied by the presence of Peso effects in expectations. After presenting the Peso effect as the probability of occurence of an unusual event though important enough to be taken into account in the forecasts, we present a model able to isolate the systematic expectation error. The appearance of this error comes especially from imperfect information concerning the future states as well as the current regime. This uncertainty about the current regime leads the agents to implement a learning process for the model. In the last part of this article, we show how a credible central bank can limit the occurrence of Peso effects.

Keywords: Peso effect; efficient markets; rational expectations; Effet Peso; marchés efficients; anticipation rationnelles (search for similar items in EconPapers)
Date: 2007-03
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00144659
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Citations: View citations in EconPapers (1)

Published in 2007

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00144659

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