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Détermination de la structure des taux d'intérêt : Une analyse empirique

Quel effet a la variation des taux d'intérêt dans une économie ? Comment peut se déterminer la structure des taux d'intérêt ? Le but de ce travail : nous cherchons à établir les différentes formes de relations optimales de la structure des taux d'intérêt. Nous utilisons une méthodologie simple pour analyser la performance empirique de ces relations optimales. Auparavant, nous indiquerons que sous certaines conditions, ces relations sont des processus autorégressifs. Ainsi, par exemple, nous proposons que les équations des taux d'intérêt et des autres variables (internes ou externes) macro-économiques peuvent être obtenu à partir de l'optimisation dynamique. Ce résultat est passionnant, il nous permet en effet de comprendre les mécanismes dynamiques de chaque processus. Pour examiner les effets de changement des variables retenues, nous avons utilisé le modèle VAR. L'étude empirique proposée porte sur les données françaises. On montre aisément que l'inflation "cause" bien une hausse du taux d'intérêt à court terme (2 ans). Il apparaît clairement établi que le taux d'intérêt long en France réagit avec un certain retard (6 mois) aux variations provenant du taux d'intérêt court. On démontre que la structure du taux d'intérêt se détermine indépendamment des variables choisies. Suivant l'ensemble des variables retenues et des causalités détectées, on peut déduire une approche macro-économique : r->y->p. We examine the structure of interest rates. The goal of our empirical work is to determine the optimal relationships of interest rates and macroeconomic variables (inside and outside). We use a simple methodology to analyze the performance of these relationships. Before, we prove particularly in this case that the equations assume to be autoregressive process issue of the optimization. After, we use the VAR model to investigate the implications of the variables. The empirical analysis has on French quarterly data (1959:1 to 1994:4). Our main finding is that the change in the inflation rates has an effect on the long-term interest rate after six months. We show that the inside variables are not significant in the interest rate structure. The result demonstrates that the relation of causality follows : r->y->p.

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Paper provided by CREFE, Université du Québec à Montréal in its series Cahiers de recherche CREFE / CREFE Working Papers with number 49.

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Length: 26 pages
Date of creation: Apr 1997
Date of revision:
Handle: RePEc:cre:crefwp:49
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  1. Melino, Angelo, 1988. " The Term Structure of Interest Rates: Evidence and Theory," Journal of Economic Surveys, Wiley Blackwell, vol. 2(4), pages 335-66.
  2. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  3. Lucas, Robert E, Jr, 1973. "Some International Evidence on Output-Inflation Tradeoffs," American Economic Review, American Economic Association, vol. 63(3), pages 326-34, June.
  4. Georges Prat, 1992. "Anticipations, prime de terme et maturité du titre long : que nous enseignent les données séculaires sur la structure des taux d'intérêt ? États-Unis de 1873 à 1975," Revue Économique, Programme National Persée, vol. 43(6), pages 1037-1070.
  5. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
  6. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  7. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
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