Fiscal Policy in the Transition to Monetary Union: a Structural VAR Model

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NOTES D’ÉTUDES ET DE RECHERCHE DIRECTION GÉNÉRALE DES ÉTUDES FISCAL POLICY IN THE TRANSITION TO MONETARY UNION: A STRUCTURAL VAR MODEL Catherine Bruneau and Olivier De Bandt January 1999 NER # 60

Transcript of Fiscal Policy in the Transition to Monetary Union: a Structural VAR Model

NOTES D’ÉTUDES

ET DE RECHERCHE

DIRECTION GÉNÉRALE DES ÉTUDES

FISCAL POLICY IN THE TRANSITION

TO MONETARY UNION:

A STRUCTURAL VAR MODEL

Catherine Bruneau and Olivier De Bandt

January 1999

NER # 60

DIRECTION GÉNÉRALE DES ÉTUDESDIRECTION DES ÉTUDES ÉCONOMIQUES ET DE LA RECHERCHE

FISCAL POLICY IN THE TRANSITION

TO MONETARY UNION:

A STRUCTURAL VAR MODEL

Catherine Bruneau and Olivier De Bandt

January 1999

NER # 60

Les Notes d'Études et de Recherche reflètent les idées personnelles de leurs auteurs et n'expriment pasnécessairement la position de la Banque de France.

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2S

Notes d'Études et de Recherche

1. C. Huang and H. Pagès, “Optimal Consumption and Portfolio Policies with an InfiniteHorizon: Existence and Convergence,” May 1990.

2. C. Bordes, « Variabilité de la vitesse et volatilité de la croissance monétaire : le casfrançais », février 1989.

3. C. Bordes, M. Driscoll and A. Sauviat, “Interpreting the Money-Output Correlation: Money-Real or Real-Real?,” May 1989.

4. C. Bordes, D. Goyeau et A. Sauviat, « Taux d'intérêt, marge et rentabilité bancaires : le casdes pays de l'OCDE », mai 1989.

5. B. Bensaid, S. Federbusch et R. Gary-Bobo, « Sur quelques propriétés stratégiques del’intéressement des salariés dans l'industrie », juin 1989.

6. O. De Bandt, « L'identification des chocs monétaires et financiers en France : une étudeempirique », juin 1990.

7. M. Boutillier et S. Dérangère, « Le taux de crédit accordé aux entreprises françaises : coûtsopératoires des banques et prime de risque de défaut », juin 1990.

8. M. Boutillier and B. Cabrillac, “Foreign Exchange Markets: Efficiency and Hierarchy,”October 1990.

9. O. De Bandt et P. Jacquinot, « Les choix de financement des entreprises en France : unemodélisation économétrique », octobre 1990 (English version also available on request).

10. B. Bensaid and R. Gary-Bobo, “On Renegotiation of Profit-Sharing Contracts in Industry,”July 1989 (English version of NER n° 5).

11. P. G. Garella and Y. Richelle, “Cartel Formation and the Selection of Firms,” December1990.

12. H. Pagès and H. He, “Consumption and Portfolio Decisions with Labor Income andBorrowing Constraints,” August 1990.

13. P. Sicsic, « Le franc Poincaré a-t-il été délibérément sous-évalué ? », octobre 1991.

14. B. Bensaid and R. Gary-Bobo, “On the Commitment Value of Contracts under RenegotiationConstraints,” January 1990 revised November 1990.

15. B. Bensaid, J.-P. Lesne, H. Pagès and J. Scheinkman, “Derivative Asset Pricing withTransaction Costs,” May 1991 revised November 1991.

16. C. Monticelli and M.-O. Strauss-Kahn, “European Integration and the Demand for BroadMoney,” December 1991.

17. J. Henry and M. Phelipot, “The High and Low-Risk Asset Demand of French Households: AMultivariate Analysis,” November 1991 revised June 1992.

18. B. Bensaid and P. Garella, “Financing Takeovers under Asymetric Information,” September1992.

19. A. de Palma and M. Uctum, “Financial Intermediation under Financial Integration andDeregulation,” September 1992.

20. A. de Palma, L. Leruth and P. Régibeau, “Partial Compatibility with Network Externalitiesand Double Purchase,” August 1992.

21. A. Frachot, D. Janci and V. Lacoste, “Factor Analysis of the Term Structure: a ProbabilisticApproach,” November 1992.

22. P. Sicsic et B. Villeneuve, « L'Afflux d'or en France de 1928 à 1934 », janvier 1993.

23. M. Jeanblanc-Picqué and R. Avesani, “Impulse Control Method and Exchange Rate,”September 1993.

24. A. Frachot and J.-P. Lesne, “Expectations Hypothesis and Stochastic Volatilities,” July 1993revised September 1993.

25. B. Bensaid and A. de Palma, “Spatial Multiproduct Oligopoly,” February 1993 revisedOctober 1994.

26. A. de Palma and R. Gary-Bobo, “Credit Contraction in a Model of the Banking Industry,”October 1994.

27. P. Jacquinot et F. Mihoubi, « Dynamique et hétérogénéité de l'emploi en déséquilibre »,septembre 1995.

28. G. Salmat, « Le retournement conjoncturel de 1992 et 1993 en France : une modélisationV.A.R. », octobre 1994.

29. J. Henry and J. Weidmann, “Asymmetry in the EMS Revisited: Evidence from the CausalityAnalysis of Daily Eurorates,” February 1994 revised October 1994.

30 O. De Bandt, “Competition Among Financial Intermediaries and the Risk of ContagiousFailures,” September 1994 revised January 1995.

31. B. Bensaid et A. de Palma, « Politique monétaire et concurrence bancaire », janvier 1994révisé en septembre 1995.

32. F. Rosenwald, « Coût du crédit et montant des prêts : une interprétation en terme de canallarge du crédit », septembre 1995.

33. G. Cette et S. Mahfouz, « Le partage primaire du revenu : constat descriptif sur longuepériode », décembre 1995.

34. H. Pagès, “Is there a Premium for Currencies Correlated with Volatility ? Some Evidencefrom Risk Reversals,” January 1996.

35. E. Jondeau and R. Ricart, “The Expectations Theory : Tests on French, German andAmerican Euro-rates,” June 1996.

36. B. Bensaid et O. De Bandt, « Les stratégies “stop-loss” : théorie et application au ContratNotionnel du Matif », juin 1996.

37. C. Martin et F. Rosenwald, « Le marché des certificats de dépôts. Écarts de taux àl'émission : l'influence de la relation émetteurs-souscripteurs initiaux », avril 1996.

38. Banque de France - CEPREMAP - Direction de la Prévision - Erasme - INSEE - OFCE,« Structures et propriétés de cinq modèles macroéconomiques français », juin 1996.

39. F. Rosenwald, « L'influence des montants émis sur le taux des certificats de dépôts », octobre1996.

40. L. Baumel, « Les crédits mis en place par les banques AFB de 1978 à 1992 : une évaluationdes montants et des durées initiales », novembre 1996.

41. G. Cette et E. Kremp, « Le passage à une assiette valeur ajoutée pour les cotisationssociales : Une caractérisation des entreprises non financières “gagnantes” et “perdantes” »,novembre 1996.

42. S. Avouyi-Dovi, E. Jondeau et C. Lai Tong, « Effets “volume”, volatilité et transmissionsinternationales sur les marchés boursiers dans le G5 », avril 1997.

43. E. Jondeau et R. Ricart, « Le contenu en information de la pente des taux : Application aucas des titres publics français », juin 1997.

44. B. Bensaid et M. Boutillier, « Le contrat notionnel : Efficience et efficacité », juillet 1997.

45. E. Jondeau et R. Ricart, « La théorie des anticipations de la structure par terme : test à partirdes titres publics français », septembre 1997.

46. E. Jondeau, « Représentation VAR et test de la théorie des anticipations de la structure parterme », septembre 1997.

47. E. Jondeau et M. Rockinger, « Estimation et interprétation des densités neutres au risque :Une comparaison de méthodes », octobre 1997.

48. L. Baumel et P. Sevestre, « La relation entre le taux de crédits et le coût des ressourcesbancaires. Modélisation et estimation sur données individuelles de banques », octobre 1997.

49. P. Sevestre, “On the Use of Banks Balance Sheet Data in Loan Market Studies : A Note,”October 1997.

50. P.-C. Hautcoeur et P. Sicsic, “Threat of a Capital Levy, Expected Devaluation and InterestRates in France during the Interwar Period,” January 1998.

51. P. Jacquinot, « L’inflation sous-jacente à partir d’une approche structurelle des VAR : uneapplication à la France, à l’Allemagne et au Royaume-Uni », janvier 1998.

52. C. Bruneau et O. De Bandt, « La modélisation VAR structurel : application à la politiquemonétaire en France », janvier 1998.

53. C. Bruneau et E. Jondeau, “Long-Run Causality, with an Application to International Linksbetween Long-Term Interest Rates,” June 1998.

54. S. Coutant, E. Jondeau et M. Rockinger, “Reading Interest Rate and Bond Futures Options’Smiles: How PIBOR and Notional Operators Appreciated the 1997 French Snap Election,”June 1998.

55. E. Jondeau et F. Sédillot, « La prévision des taux longs français et allemands à partir d’unmodèle à anticipations rationnelles », juin 1998.

56. E. Jondeau et M. Rockinger, “Estimating Gram-Charlier Expansions with PositivityConstraints,” January 1999.

57. S. Avouyi-Dovi et E. Jondeau, “Interest Rate Transmission and Volatility Transmissionalong the Yield Curve,” January 1999.

58. S. Avouyi-Dovi et E. Jondeau, « La modélisation de la volitilité des bourses asiatiques »,janvier 1999.

59. E. Jondeau, « La mesure du ratio rendement-risque à partir du marché des euro-devises »,janvier 1999.

60. C. Bruneau and O. De Bandt, « Fiscal policy in the transition to monetary union: a structuralVAR model », January 1999.

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