Effet peso: présentation théorique et application à la politique monétaire

Nicolas Million

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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 (search for similar items in EconPapers)
JEL-codes: C12 C22 E4 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2007-03
New Economics Papers: this item is included in nep-cba and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Effet peso: présentation théorique et application à la politique monétaire (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:v07012

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