ANNEXES
156
Dependent Variable: LOG(VITESSE_M1)
Method: Least Squares
Date: 01/01/19 Time: 21:31
Sample: 2003M05 2018M12
Included observations: 152
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Variable
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Coefficient
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Std. Error
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t-Statistic
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Prob.
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C
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0.053837
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0.055363
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0.972438
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0.3324
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LOG (VITESSE_M1(-1))
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0.979971
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0.017501
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55.99639
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0.0000
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R-squared
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0.954346
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Meandependent var
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3.132015
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Adjusted R-squared
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0.954042
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S.D. dependent var
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0.378118
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S.E. of regression
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0.081060
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Akaike info criterion
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-2.174175
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Sumsquaredresid
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0.985617
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Schwarz criterion
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-2.134387
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Log likelihood
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167.2373
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Hannan-Quinn criter.
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-2.158012
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F-statistic
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3135.596
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Durbin-Watson stat
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2.561173
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Prob (F-statistic)
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0.000000
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.5 .4 .3 .2 .1 .0
-.1
-.2
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R
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E S I D
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_ V I T E
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S S E _ M 1 b y
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S e a s
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o n
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M e a n s b y S e a s o n
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Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
157
.5 .4 .3 .2 .1 .0
-.1
-.2
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R
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E S I D
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_ V I T E
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S S E _ M 1 b y
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S e a s
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o n
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M e a n s b y S e a s o n
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Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Dependent Variable: LOG(MULTIPLICATEUR_M2)
Method: Least Squares
Date: 04/01/19 Time: 21:29
Sample (adjusted): 2003M02 2018M12
Included observations: 131 afteradjustments
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Variable
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Coefficient
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Std. Error
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t-Statistic
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Prob.
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C
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0.019403
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0.004604
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4.214323
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0.0000
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LOG (MULTIPLICATEUR_M2(-1))
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0.665909
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0.065590
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10.15260
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0.0000
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R-squared
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0.444146
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Meandependent var
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0.058132
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Adjusted R-squared
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0.439837
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S.D. dependent var
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0.039424
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S.E. of regression
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0.029507
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Akaike info criterion
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-4.193248
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Sumsquaredresid
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0.112313
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Schwarz criterion
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-4.149352
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Log likelihood
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276.6577
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Hannan-Quinn criter.
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-4.175411
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F-statistic
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103.0754
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Durbin-Watson stat
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2.274408
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Prob (F-statistic)
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0.000000
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Augmented Dickey-Fuller Test Equation
158
Graphique n°22. Analyse des réponses
impulsionnelles
Reponse de l'inflation suite aux chocs sur le taux
directur
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.010 .008 .006 .004
.002 .000 -.002
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5 10 15 20 25 30 35
Source : Construit par l'auteur à partir du logiciel
Eviews
ANNEXES. RESULTATS DES TESTS DE RACINE UNITAIRE Tests de
ratine unitaire
1. Logarithme de l'indice de prix à la consommation
(LIPC)
a) A niveau
Null Hypothesis: LIPC has a unit root Exogenous: Constant, Linear
Trend LagLength: 0 (Fixed)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.529862
0.8151
Test critical values: 1% level -4.019975
5% level -3.439857
10% level -3.144346
*MacKinnon (1996) one-sided p-values.
159
Dependent Variable: D(LIPC)
Method: Least Squares
Date: 07/01/19 Time: 11:10
Sample (adjusted): 2003M06 2018M12
Included observations: 151 afteradjustments
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Variable
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Coefficient
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Std. Error t-Statistic
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Prob.
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LIPC (-1)
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-0.031068
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0.020307 -1.529862
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0.1282
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C
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0.104272
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0.060787 1.715362
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0.0884
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@TREND ("2001M05")
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0.000431
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0.000286 1.507932
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0.1337
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R-squared
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0.015568
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Meandependent var
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0.011520
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Adjusted R-squared
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0.002265
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S.D. dependent var
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0.026206
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S.E. of regression
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0.026177
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Akaike info criterion
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-4.428238
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Sumsquaredresid
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0.101411
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Schwarz criterion
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-4.368292
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Log likelihood
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337.3320
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Hannan-Quinn criter.
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-4.403885
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F-statistic
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1.170244
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Durbin-Watson stat
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2.086202
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Prob(F-statistic)
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0.313146
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Conclusion :
Non stationnaire du type DS, car p = 0.8151 ? 0.05 et t =
1.507932 < 2.78.
Conclusion : stationnaire
160
Après différence première
Null Hypothesis: D(LIPC) has a unit root Exogenous: Constant,
Linear Trend LagLength: 0 (Fixed)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -12.88025
0.0000
Test critical values: 1% level -4.020396
5% level -3.440059
10% level -3.144465
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation Dependent Variable:
D(LIPC,2)
Method: Least Squares
Date: 07/01/19 Time: 11:14
Sample (adjusted): 2003M07 2018M12 Included observations: 150
afteradjustments
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Variable
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Coefficient
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Std. Error t-Statistic
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Prob.
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D (LIPC (-1))
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-1.060397
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0.082327 -12.88025
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0.0000
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C
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0.011910
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0.004476 2.660525
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0.0087
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@TREND("2001M05")
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3.14E-06
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4.98E-05 0.063132
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0.9497
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R-squared
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0.530203
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Meandependent var
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-0.000138
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Adjusted R-squared
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0.523811
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S.D. dependent var
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0.038271
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S.E. of regression
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0.026410
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Akaike info criterion
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-4.410377
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Sumsquaredresid
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0.102528
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Schwarz criterion
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-4.350165
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Log likelihood
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333.7783
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Hannan-Quinn criter.
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-4.385915
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F-statistic
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82.95041
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Durbin-Watson stat
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1.619222
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Prob(F-statistic)
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0.000000
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161
TEST DE CAUSALITE
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Pairwise Granger Causality Tests
Date: 04/10/18 Time: 17:52
Sample: 1997S02 2017M2 Lags: 1
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NullHypothesis:
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Obs
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F-Statistic
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Prob.
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LTXDIR does not Granger Cause DLIPC
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42
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2.89672
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0.0909
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DLIPC does not Granger Cause LTXDIR
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9.51228
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0.0024
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DLTXCHIND does not Granger Cause DLIPC
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42
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18.0400
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4.E-05
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DLIPC does not Granger Cause DLTXCHIND
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15.0072
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0.0002
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LTXDBC does not Granger Cause DLIPC
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42
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0.42553
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0.5152
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DLIPC does not Granger Cause LTXDBC
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4.51767
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0.0352
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DLMMHP does not Granger Cause DLIPC
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42
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6.36719
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0.0127
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DLIPC does not Granger Cause DLMMHP
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2.74587
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0.0996
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DLTXCHIND does not Granger Cause LTXDIR
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42
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5.93415
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0.0160
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LTXDIR does not Granger Cause DLTXCHIND
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0.01444
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0.9045
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LTXDBC does not Granger Cause LTXDIR
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42
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11.3635
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0.0010
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LTXDIR does not Granger Cause LTXDBC
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4.41215
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0.0374
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DLMMHP does not Granger Cause LTXDIR
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42
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1.01032
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0.3165
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LTXDIR does not Granger Cause DLMMHP
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0.03139
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0.8596
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LTXDBC does not Granger Cause DLTXCHIND
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42
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0.10685
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0.7442
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DLTXCHIND does not Granger Cause LTXDBC
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5.83555
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0.0169
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DLMMHP does not Granger Cause DLTXCHIND
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42
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6.39631
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0.0125
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DLTXCHIND does not Granger Cause DLMMHP
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0.07875
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0.7794
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DLMMHP does not Granger Cause LTXDBC
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42
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2.67527
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0.1041
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LTXDBC does not Granger Cause DLMMHP
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0.46383
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0.4969
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162
Variables endogènes
Variation de logarithme du taux de change
indicatif
Logarithme du taux directeur
Variation de logarithme de l'indice de prix à la
consommation
Variation de logarithme de la masse
monétaire
Variables explicatives
Variation de logarithme de l'indice de prix à la
consommation
Logarithme du taux directeur
Variation de logarithme de l'indice de prix à la
consommation
Logarithme du taux directeur
Variation de logarithme du taux de change indicatif
Logarithme du taux débiteur des banques
Variation de logarithme de la masse monétaire hors
provisions et dépôts en devise
Variation de logarithme de l'indice de prix à la
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Coefficients
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Ecart-type
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T-statistiques
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-0.779663
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0.20113
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-3.87650
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0.011894
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0.00903
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1.31729
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2.418758
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1.12684
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2.14649
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0.014948
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0.00519
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2.88107
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0.288254
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0.06806
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4.23513
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-0.019210
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0.00993
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-1.93381
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0.062973
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0.05411
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1.16377
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-0.525206
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0.18239
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-2.87956
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RESULTATS DE L'ESTIMATION DU MODELE VAR (1)
Tableau 1. Synthèse des résultats d?estimation
163
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hors provisions et dépôts en
devise
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consommation
Variation de logarithme du taux de change indicatif
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0.243784 0.10741 2.26955
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DLMMHP
DLMMHP(-1) -0.055493
(0.08540)
[-0.64983]
LTXDBC(-1) -0.021990
(0.01568)
[-1.40264]
DLTXCHIND(-1) 0.243784
(0.10741)
12.269551
LTXDIR(-1) 0.012294
(0.00819)
[1.50142]
DLIPC(-1) -0.525206
(0.18239)
1-2.879561
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LTXDBC
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DLTXCHIND
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LTXDIR
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DLIPC
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0.247114
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0.196186
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0.519967
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0.062973
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(0.32445)
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(0.09417)
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(0.52760)
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(0.05411)
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[0.76165]
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12.083351
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[0.98554]
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[1.16377]
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0.841434
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-0.016926
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0.370360
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-0.019210
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(0.05956)
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(0.01729)
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(0.09686)
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(0.00993)
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[14.1266]
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[-0.97904]
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13.823691
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1-1.933811
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0.427693
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0.258307
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0.095745
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0.288254
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(0.40810)
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(0.11845)
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(0.66363)
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(0.06806)
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[1.04801]
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[2.18077]
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[0.14428]
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14.235131
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0.056934
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0.011894
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0.789980
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0.014948
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(0.03111)
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(0.00903)
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(0.05059)
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(0.00519)
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11.830181
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[1.31729]
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[15.6164]
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12.881071
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0.217114
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-0.779663
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2.418758
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-0.492861
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(0.69295)
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(0.20113)
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(1.12684)
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(0.11557)
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[0.31332]
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1-3.876501
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12.146491
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[-4.26460]
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Logarithme du taux débiteur des banques
|
Logarithme du
taux directeur
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0.056934 0.03111 1.83018
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Source : l?auteur
RESULTATS DE L'ESTIMATION
VectorAutoregressionEstimates
Date: 09/10/19 Time: 17:42
Sample (adjusted): 2003M07 2019M12 Included observations: 150
afteradjustments Standard errors in ( ) & t-statistics in [ ]
164
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C 0.078092
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0.398113
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0.036103
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-0.817738
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0.039386
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(0.03828)
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(0.14544)
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(0.04221)
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(0.23650)
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(0.02426)
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[2.04004]
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[2.73739]
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[0.85528]
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[-3.45768]
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[1.62379]
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R-squared 0.065287
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0.912989
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0.136083
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0.941193
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0.188176
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Adj. R-squared 0.032832
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0.909967
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0.106086
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0.939151
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0.159987
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Sum sq. resids 0.208073
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3.003434
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0.253012
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7.942096
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0.083542
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S.E. equation 0.038012
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0.144420
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0.041917
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0.234848
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0.024086
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F-statistic 2.011592
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302.1910
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4.536546
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460.9375
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6.675652
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Log likelihood 280.6969
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80.47515
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266.0306
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7.543572
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349.1377
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Akaike AIC -3.662626
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-0.993002
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-3.467075
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-0.020581
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-4.575170
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Schwarz SC -3.542200
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-0.872577
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-3.346650
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0.099844
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-4.454744
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Meandependent 0.027172
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3.805078
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0.007331
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3.152819
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0.011450
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S.D. dependent 0.038652
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0.481313
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0.044334
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0.952050
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0.026280
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Determinant resid covariance (dof adj.)
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4.94E-13
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Determinantresid covariance
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4.03E-13
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Log likelihood
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1076.333
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Akaike information criterion
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-13.95111
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Schwarz criterion
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-13.34898
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165
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