Minimum Distance Estimation and Testing of DSGE Models from Structural VARs

The aim of this paper is to complement the MDE--SVAR approach when the weighting matrix is not optimal. In empirical studies, this choice is motivated by stochastic singularity or collinearity problems associated with the covariance matrix of Impulse Response Functions. Consequently, the asymptotic distribution cannot be used to test the economic model's fit. To circumvent this difficulty, we propose a simple simulation method to construct critical values for the test statistics. An empirical application with US data illustrates the proposed method.MDE, SVAR, DSGE models.

The Dynamic Effects of Disinflation Policies.

This paper investigates the effects of disinflation policies on key macroeconomic variables. Using postwar US data and episode techniques, we identify disinflation shocks as shocks that drive the inflation rate to a lower level in the long-run. We find that in the immediate aftermath of a disinflation policy, the economy enters in a persistent recession. The inflation rate increases above its long-run level and exhibits a positive hump-shaped response. A similar pattern is found for the nominal interest rate, which responds even more strongly in the short-run. We then show that the standard new Keynesian model fails to account for macroeconomic dynamics in disinflationary times. On the contrary a deep habit version of the model successfully accounts for the effects of disinflation policies.Disinflation policies ; Deep Habits ; New Keynesian Models.

La TVA sociale : bonne ou mauvaise idée ?

The quantitative and dynamic consequence of a social VAT reform, i.e. a fiscal reform consisting in substituting VAT for social contributions, is assessed using two general equilibrium models. The first one is a Walrasian model with no other frictions than distortionary taxation of labor and capital incomes and consumption. The second one introduces in addition matching frictions in the labor market. Two alternative financing schemes are considered for the practical details of implementing the social VAT. In all cases, the fiscal reform turns out to generate a small, positive long--run effect on aggregate variables and yields a modest welfare gain. In the no--friction model, this welfare gain is substantially reduced when the reform is pre--announced six quarters prior to implementation. The effect of such a pre-announced reform are smaller when labor market frictions are taken into account.social VAT, DGE, pre-announced fiscal reform.

Une estimation de la cible implicite d’inflation dans la zone euro

Euro area countries as a whole have experienced a marked downward trend over the 1980s. Over this period, the unemployment rate has increased and economic activity has been sluggish. Changes in the implicit inflation target, viewed as low frequency movements of inflation, might possibly explain these developments. To highlight this issue, the present study estimates the dynamics of the implicit inflation target in the euro zone over the period 1970Q1-2004Q4. Based on a small macroeconometric model, the implicit target, not known by the econometrician, is identified through a minimal set of theoretical restrictions: (i) the inflation target is a non stationary process, (ii) inflation is a monetary phenomenon in the long-run, and (iii) changes in the implicit target have no long-run effects whatsoever on real variables. The model is estimated so as to match output growth, changes in inflation and the ex post real interest rate. Our main results are: (i) inflation target shocks account for the bulk of nominal fluctuations; (ii) due to monetary policy inertia and nominal stickiness, changes in the target generate large swings in the real interest rate translating into substantial short-run effects on real variables; (ii) in spite of this inflation target shocks moderately impact on output dynamics.Implicit inflation target, Macroeconometric modelling, Euro area.

Les modèles DSGE – leur intérêt pour les banques centrales.

Depuis une cinquantaine d’années, les modèles macro-économétriques ont franchi plusieurs étapes. Les modèles DSGE représentent aujourd’hui l’étape la plus aboutie de ce processus et sont en voie de devenir l’un des principaux outils d’aide à la décision en économie.Modèles d’équilibre général, politique monétaire.

Separation of neutral and charge modes in one dimensional chiral edge channels

Coulomb interactions have a major role in one-dimensional electronic transport. They modify the nature of the elementary excitations from Landau quasiparticles in higher dimensions to collective excitations in one dimension. Here we report the direct observation of the collective neutral and charge modes of the two chiral co-propagating edge channels of opposite spins of the quantum Hall effect at filling factor 2. Generating a charge density wave at frequency f in the outer channel, we measure the current induced by inter-channel Coulomb interaction in the inner channel after a 3-mm propagation length. Varying the driving frequency from 0.7 to 11 GHz, we observe damped oscillations in the induced current that result from the phase shift between the fast charge and slow neutral eigenmodes. We measure the dispersion relation and dissipation of the neutral mode from which we deduce quantitative information on the interaction range and parameters.Comment: 23 pages, 6 figure

Conserved spin and orbital phase along carbon nanotubes connected with multiple ferromagnetic contacts

We report on spin dependent transport measurements in carbon nanotubes based multi-terminal circuits. We observe a gate-controlled spin signal in non-local voltages and an anomalous conductance spin signal, which reveal that both the spin and the orbital phase can be conserved along carbon nanotubes with multiple ferromagnetic contacts. This paves the way for spintronics devices exploiting both these quantum mechanical degrees of freedom on the same footing.Comment: 8 pages - minor differences with published versio

Electron quantum optics : partitioning electrons one by one

We have realized a quantum optics like Hanbury Brown and Twiss (HBT) experiment by partitioning, on an electronic beam-splitter, single elementary electronic excitations produced one by one by an on-demand emitter. We show that the measurement of the output currents correlations in the HBT geometry provides a direct counting, at the single charge level, of the elementary excitations (electron/hole pairs) generated by the emitter at each cycle. We observe the antibunching of low energy excitations emitted by the source with thermal excitations of the Fermi sea already present in the input leads of the splitter, which suppresses their contribution to the partition noise. This effect is used to probe the energy distribution of the emitted wave-packets.Comment: 5 pages, 4 figure