L'Effet Amplificateur et Frictions Financières : Une Analyse Critique des Modèles DSGE Pré-Crise Financière

Lakhchen Faïçal

doi:10.19044/esj.2023.v19n22p34

Lakhchen Faïçal Faculté des sciences jurdidiques, économiques et sociales-Agadir, Maroc

DOI: https://doi.org/10.19044/esj.2023.v19n22p34

Keywords: Frictions financières, DSGE, accélérateur financier

Abstract

Cet article examine les limites des modèles d'équilibre général dynamiques et stochastiques de la période pré-crise financière dans l'analyse des implications des frictions financières sur l'activité réelle. Les modèles existants présentent plusieurs limites, notamment leur incapacité à reproduire un effet amplificateur des chocs causé par les frictions financières. De plus, leur structure linéaire et l'utilisation de techniques linéaires dans leur résolution limitent leur capacité à capturer les comportements non linéaires des variables. En outre, ces modèles négligent le rôle des intermédiaires financiers, les considérant principalement comme de simples intermédiaires.

Par conséquent, cet article souligne la nécessité d'une modélisation plus approfondie des frictions financières au côté des intermédiaires financiers afin de mieux comprendre les interactions entre le secteur financier et l'activité réelle et de développer des modèles plus appropriés pour étudier et formuler des politiques économiques pour des questions liées, par exemple, à la stabilité financière et aux fluctuations des cycles économiques.

This article examines the limitations of dynamic stochastic general equilibrium models used prior to the financial crisis in analyzing the impact of financial frictions on real economic activity. The existing models suffer from several shortcomings, such as their failure to replicate the amplifying effect of shocks caused by financial frictions. Additionally, their linear structure and reliance on linear rational expectation techniques restrict their ability to capture the non-linear dynamics of the variables. Moreover, these models overlook the crucial role of financial intermediaries and tend to treat them merely as intermediaries without considering their broader implications. Therefore, this article emphasizes the necessity of developing more comprehensive models that incorporate financial frictions and incorporate the role of financial intermediaries. Such models would enable a better understanding of the interactions between the financial sector and real economy, and facilitate the formulation of more suitable policies for questions related to financial stability and economic fluctuations.

Downloads

Download data is not yet available.

Metrics

Metrics Loading ...

PlumX Statistics

References

1. Bernanke, B. S., Gertler, M., & Gilchrist, S. (1999). The financial accelerator in a quantitative business cycle framework. Handbook of Macroeconomics, 1, 1341–1393.
2. Brunnermeier, M., Eisenbach, T., & Sannikov, Y. (2013). Macroeconomics with Financial Frictions: A Survey. In D. Acemoglu, M. Arellano, & E. Dekel (Eds.), Advances in Economics and Econometrics: Tenth World Congress (Econometric Society Monographs, pp. 3-94). Cambridge: Cambridge University Press.
3. Carlstrom, C. T., & Fuerst, T. S. (1997). Agency costs, net worth, and business fluctuations: A computable general equilibrium analysis. The American Economic Review, 893–910.
4. Christiano, L. J., Eichenbaum, M., & Evans, C. L. (1999). Monetary policy shocks: What have we learned and to what end? Handbook of Macroeconomics, 1, 65–148.
5. Christiano, L. J., Eichenbaum, M., & Evans, C. L. (2005). Nominal rigidities and the dynamic effects of a shock to monetary policy. Journal of Political Economy, 113(1), 1–45.
6. Christiano, L. J., Eichenbaum, M. S., & Trabandt, M. (2018). On DSGE models. Journal of Economic Perspectives, 32(3), 113–140.
7. De Vroey, M. R. (2012). Lucas on the Lucasian Transformation of Macroeconomics: An Assessment. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.1694579
8. Diamond, P. A. (1965). National debt in a neoclassical growth model. The American Economic Review, 55(5), 1126–1150.
9. Gertler, M., & Bernanke, B. (1989). Agency costs, net worth and business fluctuations. In Business cycle theory. Edward Elgar Publishing Ltd.
10. Gertler, M., & Gilchrist, S. (2018). What happened: Financial factors in the great recession. Journal of Economic Perspectives, 32(3), 3–30.
11. Kiyotaki, N., & Moore, J. (1997). Credit cycles. Journal of Political Economy, 105(2), 211–248.
12. Kydland, F. E., & Prescott, E. C. (1982). Time to build and aggregate fluctuations. Econometrica: Journal of the Econometric Society, 1345–1370.
13. Lucas Jr, R. E. (1976). Econometric policy evaluation: A critique. Carnegie-Rochester Conference Series on Public Policy, 1, 19–46.
14. Sims, C. A. (1980). Macroeconomics and reality. Econometrica: Journal of the Econometric Society, 1–48.
15. Smets, F., & Wouters, R. (2003). An estimated dynamic stochastic general equilibrium model of the euro area. Journal of the European Economic Association, 1(5), 1123–1175.
16. Townsend, R. M. (1979). Optimal contracts and competitive markets with costly state verification. Journal of Economic Theory, 21(2), 265–293.