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Taux d'intérêt réels élevés dans le monde et crédibilité des autorités monétaires

  • Eric Dubois
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    [fre] L'élévation du niveau des taux d'intérêt réels au cours des années quatre- vingt est souvent attribuée, soit à une baisse des taux d'épargne désirés, privé et public, soit à une augmentation de la demande d'investissement ex-ante, imputable à une augmentation présumée de la profitabilité. Cependant, si les autorités monétaires ne sont pas parfaitement crédibles, une hausse des taux d'in- térêt à court terme, impulsée par les autorités monétaires, peut persister et avoir des effets eux aussi persistants sur le niveau des taux d'intérêt réels à long terme. Des résultats économétriques confirment que les taux d'intérêt réels à court terme constituent un déterminant important des taux d'intérêt réels de long terme. En outre des tests d'exogénéité montrent que ce résultat n'est pas imputable à un ajustement simultané des deux types de taux à des chocs communs, mais que les taux d'intérêt réels à court terme sont prédéterminés par rapport aux taux à long terme. Par ailleurs, les coefficients estimés de l'équation de taux d'intérêt réels sont invariants par rapport aux grandes modifications d'orientation de la politique monétaire qui sont intervenues au cours des années soixante-dix et quatre-vingt. Ces résultats sont bien cohérents avec l'interprétation selon laquelle des autorités monétaires incomplètement crédibles peuvent susciter des hausses de taux d'intérêt réel à long terme quand elles entreprennent des politiques monétaires restrictives. [eng] The rise in long term real interest rates that occured in the eighties is often ascribed to either a decline in the ex-ante saving rate, both private and public, or to a surge in ex-ante investment demand, due to a presumed rise in profitability. If however monetary authorities are not perfectly credible, then a rise in short term real interest rates, impulsed by monetary authorities, can be persistent and lead to a persistent rise in real long term interest rates. Indeed econometric results confirm that short term real interest rates play a significant role in the explanation of long term real interest rates. Moreover exogeneity tests show that this result is not due to the adjustment of both types of real interest rates to the same shocks, but that short term real interest rates are predetermined with regard to long term ones, while the coefficients of the estimated equation for long term real interest rates are invariant to the various modifications of the monetary reaction function that occured during the seventies and the eighties. These results are consistent with the interpretation that imperfectly credible authorities cause long term interest rates rise when they embark in a restrictive monetary policy.

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    File URL: http://dx.doi.org/doi:10.3406/rfeco.1998.1041
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    File URL: http://www.persee.fr/doc/rfeco_0769-0479_1998_num_13_1_1041
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    Article provided by Programme National Persée in its journal Revue française d'économie.

    Volume (Year): 13 (1998)
    Issue (Month): 1 ()
    Pages: 89-122

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    Handle: RePEc:prs:rfreco:rfeco_0769-0479_1998_num_13_1_1041
    Note: DOI:10.3406/rfeco.1998.1041
    Contact details of provider: Web page: http://www.persee.fr/collection/rfeco

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    1. Barro, Robert J. & Gordon, David B., 1983. "Rules, discretion and reputation in a model of monetary policy," Journal of Monetary Economics, Elsevier, vol. 12(1), pages 101-121.
    2. Robert J. Barro, 1991. "World Interest Rates and Investment," NBER Working Papers 3849, National Bureau of Economic Research, Inc.
    3. Kydland, Finn E & Prescott, Edward C, 1977. "Rules Rather Than Discretion: The Inconsistency of Optimal Plans," Journal of Political Economy, University of Chicago Press, vol. 85(3), pages 473-91, June.
    4. Laurence Ball, 1990. "Credible Disinflation with Staggered Price Setting," NBER Working Papers 3555, National Bureau of Economic Research, Inc.
    5. Correia-Nunes, Jose & Stemitsiotis, Loukas, 1995. "Budget Deficit and Interest Rates: Is There a Link? International Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(4), pages 425-49, November.
    6. Ford, Robert & Laxton, Douglas, 1999. "World Public Debt and Real Interest Rates," Oxford Review of Economic Policy, Oxford University Press, vol. 15(2), pages 77-94, Summer.
    7. Sharmini Coorey, 1991. "The Determinants of U.S. Real Interest Rates in the Long Run," IMF Working Papers 91/118, International Monetary Fund.
    8. Plosser, Charles I., 1982. "Government financing decisions and asset returns," Journal of Monetary Economics, Elsevier, vol. 9(3), pages 325-352.
    9. Laurence Ball, 1992. "Disinflation With Imperfect Credibility," NBER Working Papers 3983, National Bureau of Economic Research, Inc.
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