Structural VAR Modeling: Application to France's Monetary Policy (In French)

48 Pages Posted: 5 Jan 2011

See all articles by Catherine Bruneau

Catherine Bruneau

Université Paris X Nanterre; Université Paris I Panthéon-Sorbonne

Olivier de Bandt

Banque de France - Economic Study and Research Division

Date Written: January 1, 1998

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.

Note: Downloadable document is in French.

Keywords: VAR, Structural models, Time Series, Estimation, Monetary shocks, France

Suggested Citation

Bruneau, Catherine and de Bandt, Olivier, Structural VAR Modeling: Application to France's Monetary Policy (In French) (January 1, 1998). Available at SSRN: https://ssrn.com/abstract=1734672 or http://dx.doi.org/10.2139/ssrn.1734672

Catherine Bruneau (Contact Author)

Université Paris X Nanterre ( email )

Room G301, Building G
92001 Nanterre Cedex, 92001
France

Université Paris I Panthéon-Sorbonne ( email )

17, rue de la Sorbonne
Paris, IL 75005
France

Olivier De Bandt

Banque de France - Economic Study and Research Division ( email )

31, rue Croix des Petits Champs
75049 Paris Cedex 01
FRANCE
(33 1) 42 92 28 80 (Phone)
(33 1) 42 92 27 66 (Fax)

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