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Modèles à seuil et relation de Fisher : une application à l'économie allemande

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  • Jens Weidmann

Abstract

[eng] Threshold Models and the Fisher Effect : an Application to the German Economy . by Jens Weidmann . This paper reassesses the long-run relation between nominal interest rates and inflation using German data. It shows that the empirical rejection of the strict Fisher effect in previous studies can be attributed to the time-series behaviour of inflation and interest rates not accounted for by standard non-stationary models. It is argued that the stochastic process governing the bivariate system of inflation and interest rates depends on the level of the variables and should be modelled as a threshold cointégration model. This model can be given an economic interpretation in terms of the behaviour of a central bank adopting the opportunistic approach of disinflation. The full Fisher effect, even in its tax-adjusted form, cannot be rejected when a threshold model is estimated. The threshold cointégration model not only explains the downward bias of the coefficient estimates, but also the time-period and country sensitivity observed in previous studies. [fre] Modèles à seuil et relation de Fisher : une application à l'économie allemande . par Jens Weidmann . Cet article reprend l'analyse de la relation de Fisher dans le cadre de l'économie allemande. L'étude permet d'attribuer le rejet de cette hypothèse aux propriétés des séries de taux d'intérêt nominaux et de taux d'inflation, non prises en compte dans les modèles traditionnels. Ces deux variables sont expliquées par un modèle de cointégration à seuil dans lequel apparaissent les niveaux du taux d'inflation et du taux d'intérêt. Ce modèle a une interprétation économique que l'on peut retrouver dans le comportement d'une banque centrale adoptant une approche dite " opportuniste " de la désinflation. Il permet d'accepter l'hypothèse de Fisher (au sens strict ou corrigée des effets de fiscalité). Il permet également d'expliquer la sous-estimation des coefficients ainsi que la sensibilité des résultats aux pays et aux périodes constatée dans les études antérieures.

Suggested Citation

  • Jens Weidmann, 1999. "Modèles à seuil et relation de Fisher : une application à l'économie allemande," Économie et Prévision, Programme National Persée, vol. 140(4), pages 35-44.
  • Handle: RePEc:prs:ecoprv:ecop_0249-4744_1999_num_140_4_5973
    Note: DOI:10.3406/ecop.1999.5973
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