We propose methods for testing hypothesis of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses...

Selon la maquette d’inflation pour la zone euro développée à la Banque de France, la reprise de l’inflation sous-jacente en 2007 est la conséquence de tensions cycliques et de la vive progression passée des prix d’importations.

La littérature sur l'instabilité macroéconomique couvre un champ extrêmement vaste qui se révèle par le spectre très large de mesures utilisées pour appréhender ce phénomène. Le choix de la mesure de l'instabilité macroéconomique apparait généralement peu discuté sous le...

Short-term analysts use many tools to forecast economic activity. Among these tools, estimating and, then, simulating univariate models is very common. Most of the time the series used for the variable of interest as well as for the regressors are last available releases. Except for the latter...

In order to provide medium run forecasts of headline and core HICP inflation for the euro area, we assess the usefulness of dynamic factor models. We use Stock and Watson's (1999) out-of-sample methodology for models estimated over the 1988:1-2002:3 period, with balanced and unbalanced panels....

Le modèle OPTIM permet de prévoir, chaque mois, les taux de croissance du PIB de la France et de ses principales composantes, pour le trimestre en cours et le trimestre suivant. Ce modèle mobilise un large éventail de données macro-économiques mensuelles et de données d’enquête,...

This paper presents a revised version of the model OPTIM, proposed by Irac and Sédillot (2002), used at the Banque de France in order to predict French GDP quarterly growth rate, for the current and next quarters. The model is designed to be used on a monthly basis by integrating monthly...

While much attention has focused on the factors that brought about the so-called new economy, much less attention has been paid to optimal policy responses following the establishment of the new economy. In the third article, Gilbert Cette and Christian Pfister from the Bank of France provide...

In this paper, we propose a simple econometric framework to disentangle the respective roles of monetary policy inertia and persistent shocks in interest rate rules. The procedure exploits the cross-equation restrictions provided by a DSGE model which is confronted to a monetary SVAR. We show...

This paper investigates how the identification assumptions of monetary policy shocks modify the inference in a standard DSGE model. Considering SVAR models in which either the interest rate is predetermined for money or these two monetary variables are simultaneously determined, two DSGE models...