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Les effets de la réunification sur les taux d'intérêt allemands

  • Anne Bauer
  • Sanvi Avouyi-Dovi
  • Catherine Augory

[fre] Les effets de la réunification sur les taux d'intérêt allemands Les modèles traditionnels de prévision des taux d'intérêt sont devenus inadéquats après la réunification. Cet article tente de prendre en compte un effet d'offre de titres qui pourrait expliquer la hausse prononcée des taux allemands sur la période 1989-1991. Après la réunification, le rythme d'émissions d'obligations publiques a un effet positif significatif sur le taux court ; l'offre d'obligations influence positivement et significativement le taux long ; les autres canaux d'in­fluence ne sont pas remis en cause. L'inclusion de ces variables améliore donc les qualités d'ajustement des modèles. [eng] The effets of reunification on germaninterest rates Traditional interest rate forecast models have become inadequate since the German reunification. This article attempts to take into account the bond supply effect which could explain the sharp rise in German interest rates over the period 1989-1991. After the reunification the rate of bond issues bas a significantly positive influence on the short term rate where as, bond supply has a stronger positive influence on long term rate ; the importance of the other traditional variables is not however challenged. The inclusion of the above variables improve the models quality.

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Article provided by Programme National Persée in its journal Revue économique.

Volume (Year): 44 (1993)
Issue (Month): 5 ()
Pages: 1001-1026

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Handle: RePEc:prs:reveco:reco_0035-2764_1993_num_44_5_409493
Note: DOI:10.3406/reco.1993.409493
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