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

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  • Anne Bauer
  • Sanvi Avouyi-Dovi
  • Catherine Augory

Abstract

[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.

Suggested Citation

  • Anne Bauer & Sanvi Avouyi-Dovi & Catherine Augory, 1993. "Les effets de la réunification sur les taux d'intérêt allemands," Revue Économique, Programme National Persée, vol. 44(5), pages 1001-1026.
  • Handle: RePEc:prs:reveco:reco_0035-2764_1993_num_44_5_409493
    Note: DOI:10.3406/reco.1993.409493
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    References listed on IDEAS

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    1. Patrick Artus & Eric Bleuze & Philippe Ducos, 1989. "La formation des taux d'intérêt en Europe," Économie et Prévision, Programme National Persée, vol. 90(4), pages 97-110.
    2. Avouyi-Dovi, S. & Belhomme, C., 1991. "Comparaisons des performances des modeles de prevision de taux d'interet," Papers 1991-23, Caisse des Depots et Consignations - Cahiers de recherche.
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    7. Roley, V Vance, 1981. "The Determinants of the Treasury Security Yield Curve," Journal of Finance, American Finance Association, vol. 36(5), pages 1103-1126, December.
    8. Cohen, Daniel & Wyplosz, Charles, 1989. "The European Monetary Union: An Agnostic Evaluation," CEPR Discussion Papers 306, C.E.P.R. Discussion Papers.
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    Cited by:

    1. Thierry Cailleau, 1999. "Taux de conversion et déstabilisation allemande : retour sur une intégration contrariée," Revue d'Économie Financière, Programme National Persée, vol. 55(5), pages 69-97.

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