IDEAS home Printed from https://ideas.repec.org/a/prs/reveco/reco_0035-2764_1981_num_32_1_408584.html
   My bibliography  Save this article

L'analyse des relations dynamiques entre variables : une application au taux du marché monétaire français

Author

Listed:
  • William Marois
  • Gilbert Colletaz

Abstract

[fre] La détection des relations dynamiques existant entre des variables pose un problème important en économie. Des procédures statistiques, fondées sur l'étude des résidus issus de filtres ARIMA de Box et Jenkins, ont été récemment développées. Ce texte présente ces méthodes statistiques : détermination des filtres ARIMA, étude des corrélogrammes entre résidus, estimation de fonctions de transfert. Celles-ci sont ensuite appliquées à l'étude de certains déterminants externes du taux du marché monétaire français en 1978-1979, mettant en évidence l'impact des variables spéculatives et l'indépendance, sur la période retenue, des conditions monétaires internes par rapport aux influences américaines. [eng] The analysis of the dynamic relationships between variables : an application to the French money market rate. Gilbert Colletaz, William Marois. The detection of the dynamic relationship between variables sets an important problem in economics. Statistical procedures, based on the study of the residuals obtairied with Box and Jenkins' ARIMA models have been recently developed. This text presents these statistical methods : the ARIMA models determination, the cross correlation between residuals analysis, the transfert functions estimation. Then, they are applied to the study of some external déterminants of the french money market rate over 1978-1979, showing the impact of speculative variables and, during the period under study, the independence between the internal monetary conditions and the american influences.

Suggested Citation

  • William Marois & Gilbert Colletaz, 1981. "L'analyse des relations dynamiques entre variables : une application au taux du marché monétaire français," Revue Économique, Programme National Persée, vol. 32(1), pages 86-109.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1981_num_32_1_408584
    DOI: 10.3406/reco.1981.408584
    Note: DOI:10.3406/reco.1981.408584
    as

    Download full text from publisher

    File URL: https://doi.org/10.3406/reco.1981.408584
    Download Restriction: Data and metadata provided by Persée are licensed under a Creative Commons "Attribution-Noncommercial-Share Alike 3.0" License http://creativecommons.org/licenses/by-nc-sa/3.0/
    File URL: https://www.persee.fr/doc/reco_0035-2764_1981_num_32_1_408584
    Download Restriction: Data and metadata provided by Persée are licensed under a Creative Commons "Attribution-Noncommercial-Share Alike 3.0" License http://creativecommons.org/licenses/by-nc-sa/3.0/
    File URL: https://libkey.io/10.3406/reco.1981.408584?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Debasish Roy, 2024. "An Exploration in Sustainability and Lifespan of Enterprise: A Cross–Country Empirical Study (2011–2020)," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(2), pages 5307-5328, June.
    2. Levent, Korap, 2007. "Modeling purchasing power parity using co-integration: evidence from Turkey," MPRA Paper 19584, University Library of Munich, Germany.
    3. Goodall, Amanda H., 2009. "Highly cited leaders and the performance of research universities," Research Policy, Elsevier, vol. 38(7), pages 1079-1092, September.
    4. Wang, Shanchao & Alston, Julian M. & Pardey, Philip G., 2023. "R&D Lags in Economic Models," Staff Papers 330085, University of Minnesota, Department of Applied Economics.
    5. Yap, Wei Yim & Lam, Jasmine S.L., 2006. "Competition dynamics between container ports in East Asia," Transportation Research Part A: Policy and Practice, Elsevier, vol. 40(1), pages 35-51, January.
    6. Óscar Bajo Rubio & Carmen Díaz Roldán & Vicente Esteve, 2004. "Is the Fisher Effect Nonlinear? Some Evidence for Spain, 1963-2002," Economic Working Papers at Centro de Estudios Andaluces E2004/05, Centro de Estudios Andaluces.
    7. Nicholas Taylor, 1998. "Precious metals and inflation," Applied Financial Economics, Taylor & Francis Journals, vol. 8(2), pages 201-210.
    8. Md. Sharif Hossain & Md. Thasinul Abedin, 2016. "Multivariate Dynamic Co-integration and Causality Analysis between Inflation and its Determinants," Journal of Economics and Behavioral Studies, AMH International, vol. 8(5), pages 240-250.
    9. Lego, Brian & Gebremedhin, Tesfa & Cushing, Brian, 2000. "A Multi-Sector Export Base Model of Long-Run Regional Employment Growth," Agricultural and Resource Economics Review, Cambridge University Press, vol. 29(2), pages 192-197, October.
    10. R. Santos Alimi, 2014. "ARDL Bounds Testing Approach to Cointegration: A Re-Examination of Augmented Fisher Hypothesis in an Open Economy," Asian Journal of Economic Modelling, Asian Economic and Social Society, vol. 2(2), pages 103-114, June.
    11. Sollis, Robert, 2011. "Spurious regression: A higher-order problem," Economics Letters, Elsevier, vol. 111(2), pages 141-143, May.
    12. repec:zbw:rwirep:0557 is not listed on IDEAS
    13. Löschel Andreas & Oberndorfer Ulrich, 2009. "Oil and Unemployment in Germany," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 229(2-3), pages 146-162, April.
    14. Andreas Stephan, 1997. "The Impact of Road Infrastructure on Productivity and Growth: Some Preliminary Results for the German Manufacturing Sector," CIG Working Papers FS IV 97-47, Wissenschaftszentrum Berlin (WZB), Research Unit: Competition and Innovation (CIG).
    15. Guntram B. Wolff & Alexander Schulz, 2008. "Sovereign bond market integration: the euro, trading platforms and globalisation," European Economy - Economic Papers 2008 - 2015 332, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    16. Ivan Kitov & Oleg Kitov, 2013. "Does Banque de France control inflation and unemployment?," Papers 1311.1097, arXiv.org.
    17. Erida Curraj, 2019. "Vintage Design Furniture in Albania, a New Retro Design Paradigm in the Post-Communist Era," European Journal of Engineering and Formal Sciences Articles, Revistia Research and Publishing, vol. 2, ejef_19.
    18. Milena М. Kovachevich, 2021. "Economic Growth In The Eurozone And On The Balkans: A Cointegration Analysis," Economic Archive, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 3 Year 20, pages 59-70.
    19. Valérie Mignon & Christophe Hurlin, 2007. "Une synthèse des tests de cointégration sur données de panel," Économie et Prévision, Programme National Persée, vol. 180(4), pages 241-265.
    20. Jozef Baruník & Tobias Kley, 2019. "Quantile coherency: A general measure for dependence between cyclical economic variables," The Econometrics Journal, Royal Economic Society, vol. 22(2), pages 131-152.
    21. Maurice Obstfeld & Jay C. Shambaugh & Alan M. Taylor, 2005. "The Trilemma in History: Tradeoffs Among Exchange Rates, Monetary Policies, and Capital Mobility," The Review of Economics and Statistics, MIT Press, vol. 87(3), pages 423-438, August.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:prs:reveco:reco_0035-2764_1981_num_32_1_408584. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Equipe PERSEE (email available below). General contact details of provider: https://www.persee.fr/collection/reco .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.