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Les effets du taux d'intérêt réel sur l'activité en France

  • Alexandre Mathis
  • Lucrezia Reichlin

[eng] This paper presents the results of an empirical investigation of the effects of an exogeneous real interest rate shock on the French economy. We used two vectorial autoregressive models and analysed the dynamics of the impulse response functions. The first model is built with real variables and the second is in nominal terms with a cointegra- tion relation where the cointegrating term is the real interest rate. Our results suggest that a real interest rate shock is an inflationary shock and that inflation has a depressing impact on economic activity. These results support a theory of business cycle based on the « customer market » hypothesis against the ones based on competitive and oligopolistic pricing. [fre] Cet article présente les résultats d'une étude empirique des effets de choc exogènes de taux d'intérêt réel sur l'économie française. Pour ce faire, nous avons utilisé deux modèles autorégressifs vectoriels et étudié leur dynamique suite à des perturbations exogènes. Le premier modèle ne comporte que des variables réelles et le deuxième est en termes nominaux avec une relation de cointégration faisant apparaître le taux d'intérêt réel. Nos résultats suggèrent qu'un choc de taux d'intérêt réel est inflationniste et que l'inflation a un impact dépressif sur l'activité économique. Ces résultats sont davantage conformes aux conclusions théoriques des modèles fondés sur l'hypothèse de marchés de clientèle qu'à ceux basés sur une structure concurrentielle ou oligopolistique des marchés.

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File URL: http://dx.doi.org/10.3406/ofce.1992.1281
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File URL: http://www.persee.fr/articleAsPDF/ofce_0751-6614_1992_num_41_1_1281/ofce_0751-6614_1992_num_41_1_1281.pdf?mode=light
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Article provided by Programme National Persée in its journal Revue de l'OFCE.

Volume (Year): 41 (1992)
Issue (Month): 1 ()
Pages: 195-216

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Handle: RePEc:prs:rvofce:ofce_0751-6614_1992_num_41_1_1281
Note: DOI:10.3406/ofce.1992.1281
Contact details of provider: Web page: http://www.persee.fr/web/revues/home/prescript/revue/ofce

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