The FR-BDF Model and an Assessment of Monetary Policy Transmission in France, Working Paper Series no. 736, Banque de France
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Mots-clés
forward guidance monetary policy expectations semi-structural modeling C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C54 - Quantitative Policy Modeling E - Macroeconomics and Monetary Economics/E.E3 - Prices, Business Fluctuations, and Cycles/E.E3.E37 - Forecasting and Simulation: Models and ApplicationsCiter ce document
Matthieu Lemoine et al., « The FR-BDF Model and an Assessment of Monetary Policy Transmission in France, Working Paper Series no. 736, Banque de France », HAL SHS (Sciences de l’Homme et de la Société), ID : 10670/1.505753...
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Résumé
This paper presents the new model for France of the Banque de France (FR-BDF), as wellas its key implications for the analysis of monetary policy transmission in France. Relativeto our former model, this new semi-structural model has been improved along threedimensions: financial channels are richer, expectations now have an explicit role andsimulations now converge toward a balanced growth path. We follow the approach of theFRB/US model, where agents can form their expectations in two different ways, VARbasedor model-consistent, and where non-financial behavior react with polynomialadjustment costs. For standard monetary policy shocks, FR-BDF shows a strongersensitivity than our former model, due to the widespread influence of expectations. Then,we show that, under model-consistent expectations, FR-BDF does not suffer from theforward guidance puzzle. Finally, Eurosystem asset purchase programmes have notableeffects in FR-BDF, with a stronger transmission through exchange rates than term premia.
