English version below
Des contributions de Woodford aux fonctionnalités de Dynare
Michael Woodford, l’un des deux lauréats du prix Nobel d’économie 2026 et professeur à l’université Columbia (New York), a développé des travaux qui entretiennent des liens scientifiques étroits avec Dynare, logiciel de référence pour la résolution, la simulation et l’estimation des modèles macroéconomiques dynamiques, développé au CEPREMAP (voir le texte du comité Nobel, page 42 et 43). Ces liens s’organisent autour de quatre de ses contributions majeures à la macroéconomie moderne.
Premièrement, Woodford a joué un rôle déterminant dans la construction de la nouvelle synthèse néokeynésienne, qui a transformé la modélisation macroéconomique des fluctuations conjoncturelles. Afin de mieux évaluer les politiques publiques, et en particulier les interventions des banques centrales, ces travaux ont permis d’intégrer les rigidités nominales et les anticipations rationnelles dans un cadre d’équilibre général intertemporel. Son ouvrage Interest and Prices (2003) a contribué à formaliser une classe de modèles macroéconomiques devenue centrale dans les applications de Dynare. Les outils de résolution et de simulation de ce logiciel permettent notamment d’étudier la dynamique des économies à la suite de changements de politique économique et d’analyser les conditions de stabilité de leurs équilibres.
Deuxièmement, les contributions de Woodford à l’analyse quantitative du bien-être des ménages ont permis de relier les objectifs de stabilisation macroéconomique aux préférences de ces agents et d’évaluer le coût, en termes de bien-être, des distorsions de marché. Ses travaux ont notamment établi les conditions permettant d’utiliser certaines approximations du bien-être pour évaluer et comparer différentes politiques économiques. Ces développements constituent des fondements théoriques importants des analyses de bien-être réalisées avec Dynare.
Troisièmement, Woodford a profondément renouvelé l’analyse de la politique monétaire optimale en identifiant les gains associés à l’engagement des autorités monétaires et en démontrant que ces gains dépendent des décisions à l’égard des politiques passées. Ses travaux ont caractérisé les règles de politique monétaire optimales et leurs propriétés. Dynare rend ces analyses opérationnelles grâce à ses fonctionnalités de calcul, qui permettent de comparer des économies régies par des politiques discrétionnaires à celles qui adoptent des règles pouvant satisfaire un critère d’optimalité.
Enfin, les recherches de Woodford ont montré comment les engagements sur les taux d’intérêt futurs peuvent influencer l’activité économique lorsque les taux nominaux courants atteignent leur borne inférieure (zéro). Les outils de simulation déterministe et de traitement des contraintes occasionnellement actives de Dynare permettent d’étudier quantitativement ces mécanismes, devenus essentiels dans l’analyse des politiques monétaires non conventionnelles.
Ainsi, les contributions de Woodford ont-elles fourni une partie essentielle des fondements théoriques des modèles et des problèmes de politique économique que Dynare permet de résoudre numériquement. La présence de Woodford au comité scientifique de Dynare concrétise cette proximité intellectuelle par un lien institutionnel direct, même si Michael Woodford n’a pas directement contribué au développement des méthodes numériques et des algorithmes de résolution de Dynare (dont les développeurs de Dynare sont les seuls responsables). C’est également à l’université Columbia que Michael Woodford a organisé, en 2005, la conférence originelle qui deviendra la conférence annuelle Dynare.
Liens formels entre les contributions théoriques de M. Woodford et le logiciel Dynare
Le tableau ci-dessous établit une correspondance entre les fonctions de Dynare et les contributions théoriques de Michael Woodford, lauréat du prix Nobel d’économie 2026, auxquelles elles permettent de donner une traduction quantitative.
| Domaine | Contribution théorique de Woodford | Fonctions Dynare associées | Références à Woodford (articles et Interest and Prices) |
|---|---|---|---|
| 1. Équilibre général néokeynésien (NK-DSGE), rigidités nominales et détermination | Microfondations des fluctuations avec concurrence imparfaite et rigidités nominales ; marges contracycliques ; modèle NK dynamique ; écart de production et production naturelle ; détermination du niveau des prix sous des règles de taux d’intérêt ; économie « sans monnaie ». | `model`; `steady`; `check`; `stoch_simul(order=1)` | Rotemberg & Woodford (1991), “Markups and the Business Cycle”; Rotemberg & Woodford (1992), “Oligopolistic Pricing and the Effects of Aggregate Demand on Economic Activity”; Rotemberg & Woodford (1996b), “Real-Business-Cycle Models and the Forecastable Movements in Output, Hours, and Consumption”; Woodford (1994), “Monetary Policy and Price Level Determinacy in a Cash-in-Advance Economy”; Woodford (1995a), “Price-Level Determinacy without Control of a Monetary Aggregate”; Woodford (1998), “Doing without Money: Controlling Inflation in a Post-Monetary World”; Woodford (1999b), “Optimal Monetary Policy Inertia”; Rotemberg & Woodford (1999), “The Cyclical Behavior of Prices and Costs”. Woodford (2003), Interest and Prices, chap. 2–5. |
| 2. Approximation, bien-être et évaluation normative | Passage des préférences et des distorsions microéconomiques à un critère de bien-être ; approximation quadratique ; comparaison normative des règles de politique économique ; traitement d’un état stationnaire distordu. | `stoch_simul(order=2)`; `planner_objective`; `evaluate_planner_objective` | Rotemberg & Woodford (1997), “An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy”; Woodford (2003), Interest and Prices, chap. 6 ; Benigno & Woodford (2005), “Inflation Stabilization and Welfare: The Case of a Distorted Steady State”; Benigno & Woodford (2012), “Linear-Quadratic Approximation of Optimal Policy Problems”. |
| 3. Politique monétaire optimale, engagement et règles de taux | Fondements de la politique fondée sur des règles de taux d’intérêt ; politique optimale sous engagement ; inertie optimale et dépendance à l’histoire ; « timeless perspective » ; règles de taux optimales. | `ramsey_model`; `discretionary_policy`; `osr` | Woodford (1996b), “Loan Commitments and Optimal Monetary Policy”; Woodford (1999a), “How Should Monetary Policy Be Conducted in an Era of Price Stability?” ; Woodford (1999b), “Optimal Monetary Policy Inertia”; Woodford (2003), Interest and Prices, chap. 7–8 ; Giannoni & Woodford (2003a), “Optimal Interest-Rate Rules: I. General Theory”; Giannoni & Woodford (2003b), “Optimal Interest-Rate Rules: II. Applications”. |
| 4. Politique budgétaire, dette publique et détermination des prix | Interactions entre politiques monétaire et budgétaire ; rôle de la dette nominale et de la contrainte budgétaire intertemporelle ; théorie budgétaire du niveau des prix et conditions de stabilité de celui-ci. | `model`; `check`; `stoch_simul`; exercices de policy mix et scénarios déterministes | Woodford (1995a/1995b), “Price-Level Determinacy without Control of a Monetary Aggregate”; Woodford (1996a), “Control of the Public Debt: A Requirement for Price Stability?”; Woodford (2003), Interest and Prices, chap. 2. |
| 5. Quantification et estimation des modèles NK | Passage du modèle théorique à un cadre économétrique structurel permettant d’identifier les paramètres, de confronter le modèle aux données et d’évaluer quantitativement les règles de politique économique. | `estimation`; `calib_smoother`; `shock_decomposition`; `stoch_simul` | Rotemberg & Woodford (1997), “An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy”; Rotemberg & Woodford (1999), “The Cyclical Behavior of Prices and Costs”; Woodford (2003), Interest and Prices, chap. 3–5. |
| 6. Borne inférieure, anticipations et politique non conventionnelle | Rôle des anticipations concernant la politique future ; forward guidance ; engagement crédible lorsque le taux courant est contraint par une borne inférieure ; dynamique en dehors du régime normal. | `perfect_foresight_setup`; `perfect_foresight_solver`; `occbin_setup`; `occbin_solver` | Woodford (2003), Interest and Prices, chap. 2, 4, 7–8; Eggertsson & Woodford (2003), “The Zero Bound on Interest Rates and Optimal Monetary Policy”; Eggertsson & Woodford (2004), “Policy Options in a Liquidity Trap”; Woodford (2005), “Central Bank Communication and Policy Effectiveness”. |
Note : ces correspondances identifient les fondements théoriques des modèles et des problèmes de politique économique étudiés par M. Woodford qui peuvent être traités avec Dynare. Elles n’attribuent pas à Woodford la paternité des algorithmes numériques de Dynare.
From Woodford’s contributions to Dynare’s functionality
Michael Woodford, one of the two recipients of the 2026 Nobel Prize in Economic Sciences and a professor at Columbia University (New York), has produced research that is closely connected to Dynare (see scientific background, p. 42-43), the leading software package for solving, simulating and estimating dynamic macroeconomic models, developed at CEPREMAP. These connections centre on four of his major contributions to modern macroeconomics.
First, Woodford played a decisive role in developing the New Keynesian synthesis, which transformed the macroeconomic modelling of business-cycle fluctuations. To improve the evaluation of public policies, particularly central bank interventions, this research incorporated nominal rigidities and rational expectations into an intertemporal general-equilibrium framework. His book Interest and Prices (2003) helped formalise a class of macroeconomic models that has become central to applications of Dynare. The software’s solution and simulation tools make it possible, in particular, to study how economies respond dynamically to changes in economic policy and to analyse the conditions for the stability of their equilibria.
Second, Woodford’s contributions to the approximation of household welfare made it possible to link macroeconomic stabilisation objectives to households’ preferences and to assess the welfare costs of market distortions. In particular, his research established the conditions under which certain welfare approximations can be used to evaluate and compare alternative economic policies. These developments provide important theoretical foundations for welfare analysis undertaken using Dynare.
Third, Woodford fundamentally reshaped the analysis of optimal monetary policy by demonstrating the gains from commitment by monetary authorities and from making their decisions dependent on past policies. His research characterised optimal monetary-policy rules and their properties. Dynare makes these analyses operational through computational tools that allow economies governed by discretionary policies to be compared with those adopting rules that may satisfy an optimality criterion.
Finally, Woodford’s research showed how commitments concerning future interest rates can influence economic activity when current nominal interest rates reach their lower bound (zero). Dynare’s deterministic simulation tools and its treatment of occasionally binding constraints make it possible to study these mechanisms quantitatively; they have become essential to the analysis of unconventional monetary policies.
Thus, Woodford’s contributions have provided an essential part of the theoretical foundations of the models and economic-policy problems that Dynare can solve numerically. Woodford’s membership of Dynare’s Scientific Committee gives this intellectual connection a direct institutional dimension, although he did not contribute directly to the development of Dynare’s numerical methods and solution algorithms (for which Dynare’s developers alone are responsible). It was also at Columbia University that Woodford organised, in 2005, the conference that gave rise to the annual Dynare conference.
Formal links between M. Woodford’s theoretical contributions and the Dynare software
The table below maps Dynare functions to the theoretical contributions of Michael Woodford, a recipient of the 2026 Nobel Prize in Economic Sciences, which these functions help to implement quantitatively.
| Domain | Woodford’s theoretical contribution | Associated Dynare functions | References to Woodford (articles and Interest and Prices) |
|---|---|---|---|
| 1. New Keynesian general equilibrium (NK-DSGE), nominal rigidities and determinacy | Microfoundations of fluctuations under imperfect competition and nominal rigidities; countercyclical mark-ups; dynamic NK model; output gap and natural output; price-level determinacy under interest-rate rules; a “cashless” economy. | `model`; `steady`; `check`; `stoch_simul(order=1)` | Rotemberg & Woodford (1991), “Markups and the Business Cycle”; Rotemberg & Woodford (1992), “Oligopolistic Pricing and the Effects of Aggregate Demand on Economic Activity”; Rotemberg & Woodford (1996b), “Real-Business-Cycle Models and the Forecastable Movements in Output, Hours, and Consumption”; Woodford (1994), “Monetary Policy and Price Level Determinacy in a Cash-in-Advance Economy”; Woodford (1995a), “Price-Level Determinacy without Control of a Monetary Aggregate”; Woodford (1998), “Doing without Money: Controlling Inflation in a Post-Monetary World”; Woodford (1999b), “Optimal Monetary Policy Inertia”; Rotemberg & Woodford (1999), “The Cyclical Behavior of Prices and Costs”. Woodford (2003), Interest and Prices, chs. 2–5. |
| 2. Approximation, welfare and normative evaluation | From preferences and microeconomic distortions to a welfare criterion; quadratic approximation; normative comparison of economic-policy rules; treatment of a distorted steady state. | `stoch_simul(order=2)`; `planner_objective`; `evaluate_planner_objective` | Rotemberg & Woodford (1997), “An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy”; Woodford (2003), Interest and Prices, chap. 6 ; Benigno & Woodford (2005), “Inflation Stabilization and Welfare: The Case of a Distorted Steady State”; Benigno & Woodford (2012), “Linear-Quadratic Approximation of Optimal Policy Problems”. |
| 3. Optimal monetary policy, commitment and interest-rate rules | Foundations of interest-rate-rule-based policy; optimal policy under commitment; optimal inertia and history dependence; the “timeless perspective”; optimal interest-rate rules. | `ramsey_model`; `discretionary_policy`; `osr` | Woodford (1996b), “Loan Commitments and Optimal Monetary Policy”; Woodford (1999a), “How Should Monetary Policy Be Conducted in an Era of Price Stability?” ; Woodford (1999b), “Optimal Monetary Policy Inertia”; Woodford (2003), Interest and Prices, chap. 7–8 ; Giannoni & Woodford (2003a), “Optimal Interest-Rate Rules: I. General Theory”; Giannoni & Woodford (2003b), “Optimal Interest-Rate Rules: II. Applications”. |
| 4. Fiscal policy, public debt and price determination | Interactions between monetary and fiscal policies; the role of nominal debt and the intertemporal government budget constraint; the fiscal theory of the price level and the conditions for its stability. | `model`; `check`; `stoch_simul`; policy-mix exercises and deterministic scenarios | Woodford (1995a/1995b), “Price-Level Determinacy without Control of a Monetary Aggregate”; Woodford (1996a), “Control of the Public Debt: A Requirement for Price Stability?”; Woodford (2003), Interest and Prices, ch. 2. |
| 5. Quantification and estimation of NK models | From the theoretical model to a structural econometric framework for identifying parameters, confronting the model with data and quantitatively evaluating economic-policy rules. | `estimation`; `calib_smoother`; `shock_decomposition`; `stoch_simul` | Rotemberg & Woodford (1997), “An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy”; Rotemberg & Woodford (1999), “The Cyclical Behavior of Prices and Costs”; Woodford (2003), Interest and Prices, chs. 3–5. |
| 6. Lower bound, expectations and unconventional monetary policy | The role of expectations concerning future policy; forward guidance; credible commitment when the current interest rate is constrained by a lower bound; dynamics outside the normal regime. | `perfect_foresight_setup`; `perfect_foresight_solver`; `occbin_setup`; `occbin_solver` | Woodford (2003), Interest and Prices, chs. 2, 4, 7–8; Eggertsson & Woodford (2003), “The Zero Bound on Interest Rates and Optimal Monetary Policy”; Eggertsson & Woodford (2004), “Policy Options in a Liquidity Trap”; Woodford (2005), “Central Bank Communication and Policy Effectiveness”. |
Note: these correspondences identify the theoretical foundations of the models and economic-policy problems studied by M. Woodford that can be addressed using Dynare. They do not attribute the development of Dynare’s numerical algorithms to Woodford.
Bibliographie / References
Benigno, P. & Woodford, M. (2005). “Inflation Stabilization and Welfare: The Case of a Distorted Steady State.” Journal of the European Economic Association 3(6), 1185–1236.
Benigno, P. & Woodford, M. (2012). “Linear-Quadratic Approximation of Optimal Policy Problems.” Journal of Economic Theory 147(1), 1–42.
Eggertsson, G. B. & Woodford, M. (2003). “The Zero Bound on Interest Rates and Optimal Monetary Policy.” Brookings Papers on Economic Activity 2003(1), 139–211.
Eggertsson, G. B. & Woodford, M. (2004). “Policy Options in a Liquidity Trap.” American Economic Review 94(2), 76–79.
Rotemberg, J. J. & Woodford, M. (1991). “Markups and the Business Cycle.” NBER Macroeconomics Annual 6, 63–129.
Rotemberg, J. J. & Woodford, M. (1992). “Oligopolistic Pricing and the Effects of Aggregate Demand on Economic Activity.” Journal of Political Economy 100(6), 1153–1207.
Rotemberg, J. J. & Woodford, M. (1995). « Modèles d’équilibre général dynamiques en concurrence imparfaite ». Annales d’Économie et de Statistique, 357–410.
Rotemberg, J. J. & Woodford, M. (1996a). “Imperfect Competition and the Effects of Energy Price Increases on Economic Activity.”
Rotemberg, J. J. & Woodford, M. (1996b). “Real-Business-Cycle Models and the Forecastable Movements in Output, Hours, and Consumption.” American Economic Review, 71–89.
Rotemberg, J. J. & Woodford, M. (1997). “An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy.” NBER Macroeconomics Annual 12, 297–346.
Rotemberg, J. J. & Woodford, M. (1999). “The Cyclical Behavior of Prices and Costs.” Handbook of Macroeconomics 1, 1051–1135.
Woodford, M. (1994). “Monetary Policy and Price Level Determinacy in a Cash-in-Advance Economy.” Economic Theory 4(3), 345–380.
Woodford, M. (1995a). “Price-Level Determinacy without Control of a Monetary Aggregate.” Carnegie-Rochester Conference Series on Public Policy 43, 1–46.
Woodford, M. (1996a). “Control of the Public Debt: A Requirement for Price Stability?” NBER Working Paper 5684.
Woodford, M. (1996b). “Loan Commitments and Optimal Monetary Policy.” Journal of Monetary Economics 37(3), 573–605.
Woodford, M. (1998). “Doing without Money: Controlling Inflation in a Post-Monetary World.” Review of Economic Dynamics 1(1), 173–219.
Woodford, M. (1999a). “Commentary: How Should Monetary Policy Be Conducted in an Era of Price Stability?” New Challenges for Monetary Policy.
Woodford, M. (1999b). “Optimal Monetary Policy Inertia.” NBER Working Paper 7261.
Woodford, M. (2003). Interest and Prices: Foundations of a Theory of Monetary Policy. Princeton University Press.
Woodford, M. (2005). “Central Bank Communication and Policy Effectiveness.” Federal Reserve Bank of Kansas City Economic Policy Symposium.