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Incertitude sur l'effet global ou sur les délais d'action de la politique monétaire: politique robuste et activisme

Published online by Cambridge University Press:  17 August 2016

Daniel Laskar
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Résumé

On compare deux cas d'incertitude qui ont abouti à des arguments de référence en faveur de moins d'activisme de la politique monétaire : celui où l'incertitude porte sur l'effet global de la politique, comme dans Brainard (1967) ; et celui où elle porte sur ses délais d'action, comme dans Friedman (1960). On montre que l'approche bayésienne donne des résultats similaires dans les deux cas, mais que ce n'est qu'avec une incertitude sur les délais d'action qu'une approche en termes de robustesse (critère du minimax) conduit nécessairement à moins d'activisme. De plus, dans ce cas, l'activisme de la politique robuste est encore plus faible que ce que donne l'approche bayésienne.

Summary

Summary

We compare two cases of uncertainty which have led to traditional arguments for less activist monetary policies: One, where the uncertainty concerns the global effect of policy, as in Brainard (1967); and the other where the uncertainty is about the the lags, as in Friedman (1960). We show that a bayesian approach leads to similar results in both cases, but that it is only in the case of uncertainty about lags that an approach in terms of robustness (through a minimax criterion) necessarily leads to less activism. Moreover, in that case, the robust policy is even less activist than what a bayesian approach would give.

Keywords

robust policyuncertaintyactivismE50E60D81politique robusteincertitudeactivismeE50E60D81
Type
Research Article
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 73 , Issue 4 , 2007 , pp. 387 - 421
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 2007 

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Footnotes

*

PSE (unité de recherche jointe CNRS-EHESS-ENPC-ENS) el CEPREMAP. Adresse : CEPREMAP, 142 rue du Chevaleret, 75013 Paris. Tél: 01 40 77 84 08. Fax : 01 44 24 38 57. E-mail: [email protected]. La présente version a bénéficié des remarques d'un rapporteur anonyme.

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