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Sources of economic fuctuations in France: A structural VAR model

European Journal of Government and Economics

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Field Value
 
Title Sources of economic fuctuations in France: A structural VAR model
 
Creator Ben Arfa, Nabil
 
Subject economic fluctuations; external shocks; internal shocks; oil price shock; SVAR model
E32; F41; C22
 
Description This paper studies the economic fluctuations of an open economy such as the French economy. A system of variables containing output, price level, trade balance, real exchange rate and oil prices is analyzed by applying the structural vector autoregressive (SVAR) methodology initiated by Sims (1980). This set of variables allows to evaluate the main sources of impulses of the French economy fluctuations. The results show that five structural shocks are identified using the long-run constraints implemented by Blanchard and Quah (1989). From the SVAR dynamic properties, impulse response functions and variance decomposition, the French economy is shown to be particularly vulnerable to supply and oil price shocks, where these two shocks respectively contribute to 40% and 35% of the economic disturbance. France is also hit by important external shocks which damage its trade balance position. Finally, it is found that shocks related to economic policy (demand shocks) have a quite limited impact on the economic activity.
 
Publisher Europa Grande
 
Contributor —
 
Date 2012-06-30
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.ejge.org/index.php/ejge/article/view/3
 
Source European Journal of Government and Economics; Vol 1, No 1 (2012); 66-85
2254-7088
 
Language eng
 
Relation http://www.ejge.org/index.php/ejge/article/view/3/12
 
Rights Copyright (c) 2012 Nabil Ben Arfa
http://creativecommons.org/licenses/by/4.0