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Poilly

Publications

Does money matter for the identification of monetary policy shocks: A DSGE perspectiveJournal articleCeline Poilly, Journal of Economic Dynamics and Control, Volume 34, Issue 10, pp. 2159-2178, 2010

This paper investigates how the identification assumptions of monetary policy shocks modify the inference in a standard DSGE model. Considering SVAR models in which either the interest rate is predetermined for money or money and the interest rate are simultaneously determined, two DSGE models are estimated by minimum distance estimation. The estimation results reveal that real balance effects are necessary to replicate the high persistence implied by the simultaneity assumption. In addition, the estimated monetary policy rule is sensitive to the identification scheme. This suggests that the way money is introduced in the identification scheme is not neutral for the estimation of DSGE models.
How well does a small structural model with sticky prices and wages fit postwar U.S. data?Journal articleJulien Matheron and Celine Poilly, Economic Modelling, Volume 26, Issue 1, pp. 266-284, 2009

In this paper, we ask whether a small structural model with sticky prices and wages, embedding various modelling devices designed to increase the degree of strategic complementarity between price-setters, can fit postwar US data. To answer this question, we resort to a two-step empirical evaluation of our model. In a first step, we estimate the model by minimizing the distance between theoretical autocovariances of key macroeconomic variables and their VAR-based empirical counterparts. In a second step, we resort to Watson's (1993) procedure [Measures of fit for calibrated models. Journal of Political Economy 101 (6), 1011.1041] to quantify the model's goodness-of-fit. Our main result is that the combination of sticky prices and sticky wages is central in order to obtain a good empirical fit. Our analysis also reveals that a model with only sticky wages does not perform well according to Watson's criterion (1993). (This abstract was borrowed from another version of this item.)
Une évaluation structurelle du ratio de sacrifice dans la zone euroJournal articleJérôme Coffinet and Celine Poilly, Revue d'économie politique, Volume 119, Issue 2, pp. 273-299, 2009

In this paper, we seek to evaluate the sacrifice ratio of the euro area using a small DSGE model where prices and wages are sticky. We estimate model’s parameters so as to minimize the distance between VAR-based and model-based covariances of a set of variables. The estimated value of the sacrifice ratio reaches 1.30%. In a second step, we proceed to a set of conterfactual exercises in order to highlight the link between the sacrifice ratio and the degree of prices and wages stickiness. We obtain that a decrease of prices stickiness does not necessary result in a decrease of the sacrifice ratio. In addition, the sacrifice ratio rises with the degree of wage stickiness.
Estimating the sacrifice ratio for the euro areaJournal articleJérôme Coffinet, Julien Matheron and Celine Poilly, Quarterly selection of articles - Bulletin de la Banque de France, Issue 08, pp. 5-34, 2007

The sacrifice ratio for the euro area is estimated by means of a structural macroeconomic model. This model is used to gauge the impact of wage stickiness on the sacrifice ratio.
Monetary policy dynamics in the Euro areaJournal articlePatrick Feve, Julien Matheron and Celine Poilly, Economics Letters, Volume 96, Issue 1, pp. 97-102, 2007

No abstract is available for this item.
Estimations du ratio de sacrifice dans la zone euroJournal articleJérôme Coffinet, Julien Matheron and Celine Poilly, Bulletin de la Banque de France, Issue 157, pp. 25-33, 2007

Le ratio de sacrifice de la zone euro est simulé dans le cadre d’une maquette structurelle macroéconomique. Le modèle est utilisé pour analyser l’impact d’une modification du degré de rigidité des salaires sur le ratio.