Variantes en Univers Incertain
Friday, 19 June 2009 | 
Risk - Research
Cette étude s’inscrit dans le cadre d’un programme de travail développé à la Banque de France.
Résumé
Nous proposons d’illustrer l’intérêt de l’approche bayésienne dans le cadre de l’évaluation des politiquesé conomiques, réalisée le plus souvent à l’aide de variantes. Nous présentons un modèle d’équilibre général stochastique dynamique (DSGE) pour la zone euro. L’estimation bayésienne de ce modèle mesure l’incertitude sur les paramètres, qui se traduit en une incertitude sur les variantes.
Nous donnons une application pratique en simulant les effets d’une politique fiscale (choc de TVA annoncé).
Abstract
In this paper, we try to illustrate the interest of the Bayesian approach for the evaluation of economicp olicies, often realised by analysing the response of the economy to a standard shock. We present a Stochastic Dynamic General Equilibrium model for the euro area. The Bayesian estimation gives a measure of the uncertainty on the parameters, from which we can derive the uncertainty of the responses to standard shocks.
As an illustration, we simulate the effects of a fiscal shock (announced VAT increase).
http://www.banque-france.fr/fr/publications/telechar/documents_de_travail/2009/DT236.pdf
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