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Une analyse économétrique multivariée du comportement des ménages

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  • Françoise Charpin
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    Abstract

    [eng] A multivariate econometric analysis of household behavior Francoise Charpin The purpose of this study is to modelize the household behavior des-cribed with four variables : consumption, housing investment, net flows of consumption credits and net flows of home mortgages. The interdependences between these variables are complex and it would be difficult to set them a priori. The methodology of Johansen and Juselius (1994), developed for nonstationary variables, allows to identify these interactions and thus to estimate a system of four equations. To characterize the long term structure, we identify four cointegration relations, one for each endogeneous variable. The interdependences between them go essentially through the error correction terms, which furthermore provide the bulk of explanatory power. The short term dynamic does not arise identification problems as far as simultaneous effects are weak. In spite of the small number of exogeneous variables, the empirical results are satisfactory. [fre] Cette étude pour objet de modéliser le comportement des ménages décrit par quatre variables la consommation investissement logement les flux nets de crédits habitat et de crédits de trésorerie Les interdé pendances entre ces agrégats macroéconomiques sont complexes et ce est pas la théorie qui va nous renseigner car elle est essentiellement concentrée sur arbitrage consommation-épargne Pourtant des décisions concernant achat de logement et endettement qui accompagne jouent un rôle dans cet arbitrage Il semble donc logique envisager une modé lisation conjointe de tous ces comportements Cette analyse économé trique multivariée pourtant jamais été entreprise Il faut dire que econometrie standard des modèles équations simultanées prête mal car elle demande trop informations priori poser précisément les interactions ce que on est pas en mesure de faire Cette tâche est rendue plus difficile encore par absence de données comptables pourtant élémentaires concernant les crédits on aimerait disposer de séries de crédits nouveaux et de remboursements en capital des crédits antérieurs Ainsi toute une partie de épargne contractuelle susceptible expliquer le niveau élevé du taux épargne dans les années quatre- vingt-dix est inconnue sur la période 1970-97 Récemment de nouvelles méthodes économétriques sont apparues pour des variables non stationnaires Nous proposons de mettre en uvre la méthodologie de Johansen et Juselius 1994) qui demande moins in formations priori que econometrie standard et qui permet de mettre en évidence les interdépendances entre la consommation investissement logement les flux nets de crédits habitat et de crédits de trésorerie Ceci nous conduit estimer un système quatre équations qui apparaît empiriquement satisfaisant

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    File URL: http://dx.doi.org/10.3406/ofce.1998.1513
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    File URL: http://www.persee.fr/articleAsPDF/ofce_0751-6614_1998_num_66_1_1513/ofce_0751-6614_1998_num_66_1_1513.pdf?mode=light
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    Bibliographic Info

    Article provided by Programme National Persée in its journal Revue de l'OFCE.

    Volume (Year): 66 (1998)
    Issue (Month): 1 ()
    Pages: 199-227

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    Handle: RePEc:prs:rvofce:ofce_0751-6614_1998_num_66_1_1513

    Note: DOI:10.3406/ofce.1998.1513
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    Web page: http://www.persee.fr/web/revues/home/prescript/revue/ofce

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