Ce papier presente une modelisation de l'indice des prix francais. L'objectif est de permettre une analyse rapide et detaillee des tendances de court terme de l'inflation ainsi que de realiser des previsions a intervalles rapproches. Les caracteristiques de cet outil sont les suivantes: un petit...

Dans ce papier, nous comparons quatre indicateurs de l'inflation sous-jacente: l'approche par exclusion de postes, les estimateurs "a influence limitee" comme l'inflation mediane, les mesures issues d'un VAR structurel et une mesure tiree d'un modele a composantes inobservables. Ces indicateurs...

Nous développons dans ce papier un modèle de prévision des taux longs fondé sur les hypothèses d'absence d'opportunité d'arbitrage et de rtionalité des agents. Le taux long est représenté comme une moyenne des taux courts anticipés. Ceux-ci sont modélisés à partir de trois...

Many macroeconomic models involve hybrid equations, in which some variables are a function of both their lags and their expected future value. The hybrid "New Keynesian" Phillips Curve is a prominent example. Estimates of such hybrid models have produced conflicting empirical results: Studies...

Estimating a forward-looking monetary policy rule by the Generalized Method of Moments (GMM) has become a popular approach since the influential paper by Clarida, Gali, and Gertler (1998). However, an abundant econometric literature underlines the unappealing small-samples properties of GMM...

In this paper, we estimate two small, forward-looking, macroeconomic models for the US and Germany and we compare the implied optimal monetary policy rules. Both models have a standard structure: an I-S curve, a Phillips curve, a short term interest-rate rule and a long term interest rate...

The "New Keynesian" Phillips Curve (NKPC) states that inflation has a purely forward-looking dynamics. In this paper, we test whether European and US inflation dynamics can be described by this model. For this purpose, we estimate hybrid Phillips curves, which include both backward and...

Les auteurs etudient dans ce papier le lien entre pente des taux et croissance en Allemagne, aux Etats-Unis et en France. Cette relation est analysee selon deux approches. La premiere, communement mise en oeuvre, consiste a regresser le taux de croissance du PIB pour differents horizons sur le...

Using micro price data covering the Great Recession period, we document new facts on price rigidity in France: (i) each month, 17% of prices are changed versus 23% in the United States. When sales are excluded, only 14% of prices are modified in France versus 15% in the United States; (ii) the...

This paper presents original evidence on price setting in the euro area at the individual level. We use micro data on consumer (CPI) and producer (PPI) prices, as well as survey information. Our main findings are: (i) prices in the euro area are sticky and more so than in the US; (ii) there is...