Désinflation et chômage dans la zone euro: une analyse à l'aide d'un modèle var structurel

Patrick Fève, Julien Matheron and Jean-Guillaume Sahuc

Annals of Economics and Statistics, 2010, issue 99-100, 365-394

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.

Date: 2010
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Related works:
Working Paper: Désinflation et Chômage dans la Zone Euro: Une Analyse à l’Aide d’un Modèle VAR Structurel (2011)
Working Paper: Désinflation et chômage dans la zone euro: une analyse à l'aide d'un modèle VAR structurel (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:2010:i:99-100:p:365-394

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