Cycle réel, représentation VAR et ouverture de l'économie française

Abstract

Real Business Cycle, VAR Representation and the Openness of the French Economy Catherine Bruno, Franck Portier Two fruitful extensions of the RBC paradigm were recently developed. The first one concerns the open economy and is motivated by some empirical regularities in key international indicators:for instance, the strong correlation between savings (S) and investment (I) even if the degree of capital mobility is high and the character of the trade balance is countercyclical (ТВ). The second one concerns the introduction of other inputs into the production function, energy in particular. This extension is motivated by the major role that oil price shocks (pe) played over the last twenty years. In this paper, we combine these two extensions in order to replicate the French business cycle. We focus on international stylized facts (S-l, Pe-Y,TB-Y correlations) and on the empirical relevance of RBC model with technological shocks. Thus, we develop a theoretical model whose main characteristics are the following :the world real interest rate is exogenous, imported energy enters the production function, physical capital mobility is imperfect and financial asset substitutability too. This last assumption means that national agents prefer national assets: it is a convenient way of solving and simulating the RBC open-economy model. We then use two different techniques in order to validate the model :firstly, the comparison of observed and simulated second order moments and secondly the comparison of simulated impulse response functions with estimated VAR ones. The latter technique is new. It shows that the RBC model does not fit well the data, even though it performs well by the standards of the first technique.