La mod lisation VAR structurel: application la politique mon taire en France

C. Bruneau and Olivier de Bandt

Working papers from Banque de France

Abstract: This paper discusses the purposes and limits of " structural " VAR modeling. It explains the choices that modelers have to make at different stages of the procedure. An illustration is provided by an analysis of monetary policy shocks in France over the 1972 : 1-1995 : 2. Compared with previous studies of this country, the main finding is the statistically significant effect of monetary policy on economic activity and inflation. This is found by introducing an additional variable that measures budget policy. The article shows that " structural " VARs can be used to analyse the 1993 recession.

Keywords: VAR; Structural models; Time Series; Estimation; Monetary shocks; France. (search for similar items in EconPapers)
Pages: 44 pages
Date: 1998
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Citations: View citations in EconPapers (3)

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Journal Article: La modélisation Var "structurel": application à la politique monétaire en France (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:52

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