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L'analyse des relations dynamiques entre variables : une application au taux du marché monétaire français

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  • William Marois
  • Gilbert Colletaz

Abstract

[fre] La détection des relations dynamiques existant entre des variables pose un problème important en économie. Des procédures statistiques, fondées sur l'étude des résidus issus de filtres ARIMA de Box et Jenkins, ont été récemment développées. Ce texte présente ces méthodes statistiques : détermination des filtres ARIMA, étude des corrélogrammes entre résidus, estimation de fonctions de transfert. Celles-ci sont ensuite appliquées à l'étude de certains déterminants externes du taux du marché monétaire français en 1978-1979, mettant en évidence l'impact des variables spéculatives et l'indépendance, sur la période retenue, des conditions monétaires internes par rapport aux influences américaines. [eng] The analysis of the dynamic relationships between variables : an application to the French money market rate. Gilbert Colletaz, William Marois. The detection of the dynamic relationship between variables sets an important problem in economics. Statistical procedures, based on the study of the residuals obtairied with Box and Jenkins' ARIMA models have been recently developed. This text presents these statistical methods : the ARIMA models determination, the cross correlation between residuals analysis, the transfert functions estimation. Then, they are applied to the study of some external déterminants of the french money market rate over 1978-1979, showing the impact of speculative variables and, during the period under study, the independence between the internal monetary conditions and the american influences.

Suggested Citation

  • William Marois & Gilbert Colletaz, 1981. "L'analyse des relations dynamiques entre variables : une application au taux du marché monétaire français," Revue Économique, Programme National Persée, vol. 32(1), pages 86-109.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1981_num_32_1_408584
    DOI: 10.3406/reco.1981.408584
    Note: DOI:10.3406/reco.1981.408584
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    References listed on IDEAS

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    1. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
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