IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
File Function: Main text
Download Restriction: no

File URL:
File Function: Main text
Download Restriction: no

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

in new window

Length: 26 pages
Date of creation: Apr 1997
Handle: RePEc:cre:crefwp:49
Contact details of provider: Postal:
P.O. Box 8888, Downtown Station, Montreal (Canada) Quebec, H3C 3P8

Phone: (514) 987-6181
Fax: (514) 987-8494
Web page:

More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

in new window

  1. Melino, Angelo, 1988. " The Term Structure of Interest Rates: Evidence and Theory," Journal of Economic Surveys, Wiley Blackwell, vol. 2(4), pages 335-366.
  2. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
  3. Lucas, Robert E, Jr, 1973. "Some International Evidence on Output-Inflation Tradeoffs," American Economic Review, American Economic Association, vol. 63(3), pages 326-334, June.
  4. 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.
  5. 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.
  6. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  7. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:cre:crefwp:49. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Stéphane Pallage)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.