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Interaction entre taux d'intérêt allemands et français : un réexamen de l'hypothèse de dominance allemande

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  • Marie Podevin

Abstract

[eng] The Interaction Between German and French Interest Rates : a New Look at the German Dominance Assumption . by Marie Podevin . This paper uses Hoover’s causal inference strategy (1990) to study the interaction between French and German short-term interest rates. The approach consists of analysing the relative invariance of the marginal and conditional distributions of the variables in question, here the French and German interest rates, in the presence of economic policy interventions. Our findings suggest Hoover uni-directional causality running from the German rates to the French rates before 1983 and after 1992, and bi-directional causality from 1987 to 1992. Wededuce from this that the newEMSis less asymmetrical than the old system before the 1992 break, but that it becomes asymmetrical again after this date. . . [fre] Cet article étudie l’interaction entre les taux d’intérêt à court terme allemands et français en utilisant une stratégie d’inférence causale proposée par Hoover (1990). Cette approche consiste à analyser l’invariance relative des distributions marginales et conditionnelles des variables d’intérêt, que sont ici les taux d’intérêt allemands et français, en présence d’interventions de politique économique. Nos résultats suggèrent une causalité au sens de Hoover unidirectionnelle des taux allemands vers les taux français, avant 1983 et après 1992, et bidirectionnelle entre 1987 et 1992. Nous en déduisons que le nouveau SME est moins asymétrique que l’ancien avant la rupture de 1992 mais qu’il redevient asymétrique après cette date.

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  • Marie Podevin, 2001. "Interaction entre taux d'intérêt allemands et français : un réexamen de l'hypothèse de dominance allemande," Économie et Prévision, Programme National Persée, vol. 148(2), pages 49-70.
  • Handle: RePEc:prs:ecoprv:ecop_0249-4744_2001_num_148_2_6277
    Note: DOI:10.3406/ecop.2001.6277
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    References listed on IDEAS

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