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

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Abstract

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.

Suggested Citation

  • Abel Mayeyenda, 1997. "Détermination de la structure des taux d'intérêt : Une analyse empirique," Cahiers de recherche CREFE / CREFE Working Papers 49, CREFE, Université du Québec à Montréal.
    • Handle: RePEc:cre:crefwp:49
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    term structure of interest rates; France; VAR;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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