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La persistance de l'inflation dans les modèles néo-keynésiens

Published online by Cambridge University Press:  17 August 2016

Safouane Mohamed Ben Aïssa  and
Olivier Musy
Safouane Mohamed Ben Aïssa
Affiliation:
GREQAM & CEDERS, Université de la Méditerranée & Université Paris X - Nanterre
Olivier Musy
Affiliation:
CEDERS, Université de la Méditerranée & Université de Rennes 1
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Résumé

Nous dérivons les dynamiques de l'inflation issues des différentes hypothèses d'ajustement des prix rencontrées dans la littérature néo-keynésienne. Pour chaque modèle nous calculons la réponse de l'inflation et du produit suite à un choc sur le taux de croissance de la masse monétaire. Nous constatons que seules deux modélisations reproduisent correctement certains faits stylisés importants concernant l'impact de ce type de choc monétaire : la première est la spécification avec prix prédéterminés de Mankiw et Reis (2002) et la seconde celle à prix fixes de Galí et Gertler (1999). Aucune des autres alternatives examinées, y compris le modèle à prix fixes de Fuhrer et Moore (1995), ne génère de réponse satisfaisante. Elles sont notamment toutes incapables de reproduire une persistance suffisante de l'inflation. Ceci montre que dans les modèles à prix fixes, la structure de rigidité choisie im-porte autant pour le degré de persistance de l'inflation que la présence ou non de valeurs retardées de l'inflation dans la dynamique.

Summary

Summary

We derive the inflation dynamics implied by the different hypothesis on price adjustment existing in the New Keynesian litterature. We study the response of output and inflation in each model consecutively to a shock on the growth rate of money. We show that only two specifications can reproduce correctly the stylized facts associated with this kind of shock: the model with predetermined prices of Mankiw and Reis (2002), and the model with fixed prices of Gali and Gertler (1999). None of the other alternatives, including the fixed prices model of Fuhrer and Moore (1995), is able to reproduce correctly the delayed response of inflation. Then, when analyzing the inflation persistence implied by fixed prices models, the hypothesis on the structure of price rigidity is as important as the presence of inflation lags in the dynamics.

Keywords

persistance de l'inflationcourbes de Phillips néo-keynésiennesprix fixesprix prédéterminésE31E52inflation persistenceNew Keynesian Phillips Curvesfixed pricespre-determined pricesE31E52
Type
Research Article
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 71 , Issue 2 , January 2005 , pp. 175 - 191
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 2005 

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Footnotes

*

Adresse de correspondance: GREQAM, 2, Rue de la Charité, 13236 Marseille Cedex 02, FRANCE Tél.: +33 (0)4 91 14 07 23; fax: +33 (0)4 91 90 02 27; E-mail: benaissa@ehess.univ-mrs.fr, o.musy@univ-aix.fr.

Nous remercions G. Abraham-Frois, C. Deissenberg, C. Lespagnol, J.G. Sahuc, A. Venditti, un rapporteur anonyme ainsi que les participants au colloque T2M pour leurs commentaires. Nous restons, bien entendu, seuls responsables des erreurs pouvant subsister.

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