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Les effets de la réunification sur les taux d'intérêt allemands

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  • Anne Bauer
  • Sanvi Avouyi-Dovi
  • Catherine Augory

Abstract

[fre] Les effets de la réunification sur les taux d'intérêt allemands. . Les modèles traditionnels de prévision des taux d'intérêt sont devenus inadéquats après la réunification. Cet article tente de prendre en compte un effet d'offre de titres qui pourrait expliquer la hausse prononcée des taux allemands sur la période 1989-1991. Après la réunification, le rythme d'émissions d'obligations publiques a un effet positif significatif sur le taux court ; l'offre d'obligations influence positivement et significativement le taux long ; les autres canaux d'in­fluence ne sont pas remis en cause. L'inclusion de ces variables améliore donc les qualités d'ajustement des modèles. [eng] The effets of reunification on germaninterest rates. . Traditional interest rate forecast models have become inadequate since the German reunification. This article attempts to take into account the bond supply effect which could explain the sharp rise in German interest rates over the period 1989-1991. After the reunification the rate of bond issues bas a significantly positive influence on the short term rate where as, bond supply has a stronger positive influence on long term rate ; the importance of the other traditional variables is not however challenged. The inclusion of the above variables improve the models quality.

Suggested Citation

  • Anne Bauer & Sanvi Avouyi-Dovi & Catherine Augory, 1993. "Les effets de la réunification sur les taux d'intérêt allemands," Revue Économique, Programme National Persée, vol. 44(5), pages 1001-1026.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1993_num_44_5_409493
    DOI: 10.3406/reco.1993.409493
    Note: DOI:10.3406/reco.1993.409493
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    1. Thierry Cailleau, 1999. "Taux de conversion et déstabilisation allemande : retour sur une intégration contrariée," Revue d'Économie Financière, Programme National Persée, vol. 55(5), pages 69-97.

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