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Interaction entre taux d'interet allemands et francais: Un reexamen de l'hypothese de dominance allemande

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  • Podevin, M.

Abstract

Cet article etudie l'interaction entre les taux d'interet a court terme allemands et francais en utilisant une strategie d'inference causale reliee a la notion de controlabilite d'une variable sur une autre proposee par Hoover [1991]. Cette approche consiste a analyser l'invariance relative des distributions marginales et conditionnelles des variables d'interet, que sont ici les taux d'interet allemands et francais. Nos resultats suggerent une causalite au sens de Hoover unidirectionnelle des taux allemands vers les taux francais avant 1988 et bidirectionnelle ensuite.

Suggested Citation

  • Podevin, M., 1998. "Interaction entre taux d'interet allemands et francais: Un reexamen de l'hypothese de dominance allemande," Papiers d'Economie Mathématique et Applications 98.27, Université Panthéon-Sorbonne (Paris 1).
    • Handle: RePEc:fth:pariem:98.27
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    Keywords

    TAUX D'INTERET;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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