ANNEXES
Annexe 1 : Evolution graphique des variables en
niveau
Annexe 2 : Statistique descriptive
|
TDO
|
TM
|
TTC
|
TIF
|
TCR
|
TDI
|
|
Mean
|
41.19097
|
661.5465
|
1173.200
|
767.5684
|
0.012171
|
51.58871
|
|
Median
|
40.05000
|
57.70000
|
27.10392
|
27.60000
|
0.028551
|
28.75000
|
|
Maximum
|
72.91000
|
7743.140
|
25900.00
|
9796.900
|
0.094702
|
238.0000
|
|
Minimum
|
6.300000
|
10.50000
|
-2.884550
|
0.850000
|
-0.135131
|
2.000000
|
|
Std. Dev.
|
22.89512
|
1634.161
|
4640.145
|
2021.520
|
0.062153
|
55.49762
|
|
Skewness
|
-0.130562
|
3.208752
|
5.117526
|
3.364695
|
-0.660558
|
1.611388
|
|
Kurtosis
|
1.607912
|
13.10999
|
27.77914
|
14.38472
|
2.390576
|
5.312012
|
|
|
|
|
|
|
|
|
Jarque-Bera
|
2.591204
|
185.2202
|
928.4009
|
225.9081
|
2.734130
|
20.32010
|
|
Probability
|
0.273733
|
0.000000
|
0.000000
|
0.000000
|
0.254854
|
0.000039
|
|
|
|
|
|
|
|
|
Sum
|
1276.920
|
20507.94
|
36369.21
|
23794.62
|
0.377316
|
1599.250
|
|
Sum Sq. Dev.
|
15725.59
|
80114488
|
6.46E+08
|
1.23E+08
|
0.115889
|
92399.57
|
|
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|
Observations
|
31
|
31
|
31
|
31
|
31
|
31
|
Annexe 3 : Tests de stationnarité des
variables en niveau et en différence première
3. 1. Test ADF en niveau de taux
d'inflation
|
Null Hypothesis: TIF has a unit root
|
|
|
Exogenous: Constant
|
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|
|
Lag Length: 7 (Automatic - based on SIC, maxlag=7)
|
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t-Statistic
|
Prob.*
|
|
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|
|
Augmented Dickey-Fuller test statistic
|
-4.402603
|
0.0023
|
|
Test critical values:
|
1% level
|
|
-3.752946
|
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|
5% level
|
|
-2.998064
|
|
|
10% level
|
|
-2.638752
|
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*MacKinnon (1996) one-sided p-values.
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Augmented Dickey-Fuller Test Equation
|
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|
Dependent Variable: D(TIF)
|
|
|
|
Method: Least Squares
|
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|
Date: 08/23/20 Time: 16:54
|
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Sample (adjusted): 1996 2018
|
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|
Included observations: 23 after adjustments
|
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|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
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|
TIF(-1)
|
-0.724423
|
0.164544
|
-4.402603
|
0.0006
|
|
D(TIF(-1))
|
-0.081126
|
0.020824
|
-3.895756
|
0.0016
|
|
D(TIF(-2))
|
-0.001206
|
0.019964
|
-0.060418
|
0.9527
|
|
D(TIF(-3))
|
-0.030939
|
0.005573
|
-5.551703
|
0.0001
|
|
D(TIF(-4))
|
-0.035211
|
0.007888
|
-4.463764
|
0.0005
|
|
D(TIF(-5))
|
-0.044077
|
0.008726
|
-5.050948
|
0.0002
|
|
D(TIF(-6))
|
0.004228
|
0.010600
|
0.398851
|
0.6960
|
|
D(TIF(-7))
|
0.009263
|
0.002763
|
3.352509
|
0.0047
|
|
C
|
10.58319
|
4.824658
|
2.193563
|
0.0456
|
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|
R-squared
|
0.994940
|
Mean dependent var
|
-15.78565
|
|
Adjusted R-squared
|
0.992048
|
S.D. dependent var
|
199.7655
|
|
S.E. of regression
|
17.81333
|
Akaike info criterion
|
8.883943
|
|
Sum squared resid
|
4442.406
|
Schwarz criterion
|
9.328267
|
|
Log likelihood
|
-93.16534
|
Hannan-Quinn criter.
|
8.995689
|
|
F-statistic
|
344.0964
|
Durbin-Watson stat
|
1.840879
|
|
Prob(F-statistic)
|
0.000000
|
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Le taux d'inflation est stationnaire en niveau au seuil de 5%.
3. 2. Test ADF en niveau de taux de croissance de
la masse monétaire
|
Null Hypothesis: TM has a unit root
|
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|
Exogenous: Constant
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Lag Length: 7 (Automatic - based on SIC, maxlag=7)
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|
t-Statistic
|
Prob.*
|
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|
Augmented Dickey-Fuller test statistic
|
-4.568404
|
0.0016
|
|
Test critical values:
|
1% level
|
|
-3.752946
|
|
|
5% level
|
|
-2.998064
|
|
|
10% level
|
|
-2.638752
|
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|
*MacKinnon (1996) one-sided p-values.
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Augmented Dickey-Fuller Test Equation
|
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|
Dependent Variable: D(TM)
|
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|
Method: Least Squares
|
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|
Date: 08/23/20 Time: 16:55
|
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Sample (adjusted): 1996 2018
|
|
|
|
Included observations: 23 after adjustments
|
|
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|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
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|
TM(-1)
|
-0.829867
|
0.181654
|
-4.568404
|
0.0004
|
|
D(TM(-1))
|
-0.116933
|
0.030944
|
-3.778834
|
0.0020
|
|
D(TM(-2))
|
-0.037019
|
0.027111
|
-1.365432
|
0.1937
|
|
D(TM(-3))
|
-0.051352
|
0.010783
|
-4.762229
|
0.0003
|
|
D(TM(-4))
|
-0.079269
|
0.012991
|
-6.101765
|
0.0000
|
|
D(TM(-5))
|
-0.066711
|
0.018242
|
-3.657106
|
0.0026
|
|
D(TM(-6))
|
-0.011520
|
0.015569
|
-0.739960
|
0.4716
|
|
D(TM(-7))
|
0.008817
|
0.004980
|
1.770320
|
0.0984
|
|
C
|
23.21702
|
6.765969
|
3.431441
|
0.0041
|
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R-squared
|
0.987877
|
Mean dependent var
|
-12.89565
|
|
Adjusted R-squared
|
0.980949
|
S.D. dependent var
|
146.3007
|
|
S.E. of regression
|
20.19316
|
Akaike info criterion
|
9.134736
|
|
Sum squared resid
|
5708.689
|
Schwarz criterion
|
9.579060
|
|
Log likelihood
|
-96.04947
|
Hannan-Quinn criter.
|
9.246482
|
|
F-statistic
|
142.6001
|
Durbin-Watson stat
|
2.098969
|
|
Prob(F-statistic)
|
0.000000
|
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|
Le taux de croissance de la masse monétaire est
stationnaire en niveau au seuil de 5%.
3. 3. Test ADF en niveau de taux de dollarisation
de l'économie
|
Null Hypothesis: TDO has a unit root
|
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|
Exogenous: None
|
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|
Lag Length: 0 (Automatic - based on SIC, maxlag=7)
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t-Statistic
|
Prob.*
|
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|
Augmented Dickey-Fuller test statistic
|
0.365853
|
0.7839
|
|
Test critical values:
|
1% level
|
|
-2.644302
|
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|
5% level
|
|
-1.952473
|
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|
10% level
|
|
-1.610211
|
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|
*MacKinnon (1996) one-sided p-values.
|
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|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(TDO)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 08/23/20 Time: 16:58
|
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|
Sample (adjusted): 1989 2018
|
|
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|
Included observations: 30 after adjustments
|
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|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
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|
TDO(-1)
|
0.014740
|
0.040290
|
0.365853
|
0.7171
|
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|
R-squared
|
-0.041534
|
Mean dependent var
|
2.104000
|
|
Adjusted R-squared
|
-0.041534
|
S.D. dependent var
|
9.940829
|
|
S.E. of regression
|
10.14517
|
Akaike info criterion
|
7.504638
|
|
Sum squared resid
|
2984.810
|
Schwarz criterion
|
7.551344
|
|
Log likelihood
|
-111.5696
|
Hannan-Quinn criter.
|
7.519580
|
|
Durbin-Watson stat
|
2.587544
|
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|
Le taux de dollarisation de l'économie n'est pas
stationnaire en niveau au seuil de 5%. Sa stationnarisation passe par la
différence première
3. 4. Test ADF en différence première
de taux de dollarisation de l'économie
|
Null Hypothesis: D(TDO) has a unit root
|
|
|
Exogenous: None
|
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|
Lag Length: 0 (Automatic - based on SIC, maxlag=7)
|
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|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-6.978051
|
0.0000
|
|
Test critical values:
|
1% level
|
|
-2.647120
|
|
|
5% level
|
|
-1.952910
|
|
|
10% level
|
|
-1.610011
|
|
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|
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|
*MacKinnon (1996) one-sided p-values.
|
|
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|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(TDO,2)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 08/23/20 Time: 17:00
|
|
|
|
Sample (adjusted): 1990 2018
|
|
|
|
Included observations: 29 after adjustments
|
|
|
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|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
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|
D(TDO(-1))
|
-1.271076
|
0.182153
|
-6.978051
|
0.0000
|
|
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|
|
R-squared
|
0.634900
|
Mean dependent var
|
-0.078966
|
|
Adjusted R-squared
|
0.634900
|
S.D. dependent var
|
16.48639
|
|
S.E. of regression
|
9.961651
|
Akaike info criterion
|
7.469237
|
|
Sum squared resid
|
2778.566
|
Schwarz criterion
|
7.516385
|
|
Log likelihood
|
-107.3039
|
Hannan-Quinn criter.
|
7.484003
|
|
Durbin-Watson stat
|
2.063088
|
|
|
|
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|
Le taux de dollarisation de l'économie est stationnaire
en différence première au seuil de 5%
3. 5. Test ADF en niveau de taux
directeur
|
Null Hypothesis: TDI has a unit root
|
|
|
Exogenous: Constant, Linear Trend
|
|
|
Lag Length: 0 (Automatic - based on SIC, maxlag=7)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-3.974435
|
0.0209
|
|
Test critical values:
|
1% level
|
|
-4.296729
|
|
|
5% level
|
|
-3.568379
|
|
|
10% level
|
|
-3.218382
|
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|
*MacKinnon (1996) one-sided p-values.
|
|
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|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(TDI)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 08/23/20 Time: 17:00
|
|
|
|
Sample (adjusted): 1989 2018
|
|
|
|
Included observations: 30 after adjustments
|
|
|
|
|
|
|
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|
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|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
TDI(-1)
|
-0.711737
|
0.179079
|
-3.974435
|
0.0005
|
|
C
|
75.58315
|
25.22223
|
2.996688
|
0.0058
|
|
@TREND("1988")
|
-2.505835
|
1.139123
|
-2.199793
|
0.0366
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.370792
|
Mean dependent var
|
-0.866667
|
|
Adjusted R-squared
|
0.324184
|
S.D. dependent var
|
57.67988
|
|
S.E. of regression
|
47.41748
|
Akaike info criterion
|
10.65050
|
|
Sum squared resid
|
60707.27
|
Schwarz criterion
|
10.79062
|
|
Log likelihood
|
-156.7575
|
Hannan-Quinn criter.
|
10.69532
|
|
F-statistic
|
7.955556
|
Durbin-Watson stat
|
2.001615
|
|
Prob(F-statistic)
|
0.001922
|
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|
Le taux directeur est stationnaire en niveau au seuil de
5%.
3. 6. Test ADF en niveau de taux de
dépréciation du taux de change
|
Null Hypothesis: TTC has a unit root
|
|
|
Exogenous: None
|
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|
|
Lag Length: 2 (Fixed)
|
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|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-2.572337
|
0.0121
|
|
Test critical values:
|
1% level
|
|
-2.650145
|
|
|
5% level
|
|
-1.953381
|
|
|
10% level
|
|
-1.609798
|
|
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|
|
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|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
|
|
|
|
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|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(TTC)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 08/31/20 Time: 01:04
|
|
|
|
Sample (adjusted): 1991 2018
|
|
|
|
Included observations: 28 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
TTC(-1)
|
-0.795606
|
0.309293
|
-2.572337
|
0.0164
|
|
D(TTC(-1))
|
-0.115991
|
0.269551
|
-0.430311
|
0.6707
|
|
D(TTC(-2))
|
0.009856
|
0.199938
|
0.049295
|
0.9611
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.458956
|
Mean dependent var
|
-21.08115
|
|
Adjusted R-squared
|
0.415672
|
S.D. dependent var
|
6775.753
|
|
S.E. of regression
|
5179.477
|
Akaike info criterion
|
20.04375
|
|
Sum squared resid
|
6.71E+08
|
Schwarz criterion
|
20.18649
|
|
Log likelihood
|
-277.6125
|
Hannan-Quinn criter.
|
20.08739
|
|
Durbin-Watson stat
|
1.999437
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Le taux de dépréciation du taux de change
est stationnaire en différence première au seuil de 5%
3. 6. Test ADF en niveau de taux de croissance
économique
|
Null Hypothesis: TCR has a unit root
|
|
|
Exogenous: Constant, Linear Trend
|
|
|
Lag Length: 1 (Fixed)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-3.594294
|
0.0480
|
|
Test critical values:
|
1% level
|
|
-4.309824
|
|
|
5% level
|
|
-3.574244
|
|
|
10% level
|
|
-3.221728
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(TCR)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 08/31/20 Time: 01:08
|
|
|
|
Sample (adjusted): 1990 2018
|
|
|
|
Included observations: 29 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
TCR(-1)
|
-0.571885
|
0.159109
|
-3.594294
|
0.0014
|
|
D(TCR(-1))
|
0.382707
|
0.176349
|
2.170172
|
0.0397
|
|
C
|
-0.047549
|
0.017859
|
-2.662534
|
0.0134
|
|
@TREND(1988)
|
0.003488
|
0.001144
|
3.047918
|
0.0054
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.351578
|
Mean dependent var
|
0.002490
|
|
Adjusted R-squared
|
0.273768
|
S.D. dependent var
|
0.034779
|
|
S.E. of regression
|
0.029639
|
Akaike info criterion
|
-4.072043
|
|
Sum squared resid
|
0.021961
|
Schwarz criterion
|
-3.883450
|
|
Log likelihood
|
63.04462
|
Hannan-Quinn criter.
|
-4.012978
|
|
F-statistic
|
4.518382
|
Durbin-Watson stat
|
1.981718
|
|
Prob(F-statistic)
|
0.011535
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Le taux de croissance économique est stationnaire en
différence première au seuil de 5%
Annexe 4 : Estimation du premier modèle
VAR(3)
|
Vector Autoregression Estimates
|
|
|
|
|
|
Date: 08/31/20 Time: 01:15
|
|
|
|
|
|
Sample (adjusted): 1992 2018
|
|
|
|
|
|
Included observations: 27 after adjustments
|
|
|
|
|
Standard errors in ( ) & t-statistics in [ ]
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
DTDO
|
TTC
|
TM
|
TIF
|
TCR
|
TDI
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
DTDO(-1)
|
0.044474
|
-26.79808
|
-14.49181
|
-10.64539
|
0.003677
|
-1.082102
|
|
(0.31325)
|
(17.7328)
|
(10.7716)
|
(10.2116)
|
(0.00205)
|
(1.39531)
|
|
[ 0.14198]
|
[-1.51122]
|
[-1.34537]
|
[-1.04248]
|
[ 1.79163]
|
[-0.77553]
|
|
|
|
|
|
|
|
|
DTDO(-2)
|
-0.231858
|
-45.84233
|
13.45201
|
8.690427
|
-0.001082
|
1.850647
|
|
(0.31777)
|
(17.9887)
|
(10.9270)
|
(10.3590)
|
(0.00208)
|
(1.41544)
|
|
[-0.72965]
|
[-2.54840]
|
[ 1.23108]
|
[ 0.83893]
|
[-0.51993]
|
[ 1.30747]
|
|
|
|
|
|
|
|
|
DTDO(-3)
|
0.254851
|
-26.86222
|
11.51558
|
15.11876
|
0.001190
|
-0.679394
|
|
(0.19908)
|
(11.2697)
|
(6.84569)
|
(6.48980)
|
(0.00130)
|
(0.88676)
|
|
[ 1.28016]
|
[-2.38357]
|
[ 1.68217]
|
[ 2.32962]
|
[ 0.91199]
|
[-0.76615]
|
|
|
|
|
|
|
|
|
TTC(-1)
|
0.005670
|
-0.394870
|
-0.168413
|
-0.339813
|
-1.42E-05
|
0.050938
|
|
(0.00317)
|
(0.17966)
|
(0.10913)
|
(0.10346)
|
(2.1E-05)
|
(0.01414)
|
|
[ 1.78661]
|
[-2.19791]
|
[-1.54322]
|
[-3.28458]
|
[-0.68128]
|
[ 3.60338]
|
|
|
|
|
|
|
|
|
TTC(-2)
|
-0.000282
|
-1.000122
|
0.406512
|
0.359013
|
-2.90E-05
|
-0.021661
|
|
(0.00383)
|
(0.21670)
|
(0.13163)
|
(0.12479)
|
(2.5E-05)
|
(0.01705)
|
|
[-0.07368]
|
[-4.61532]
|
[ 3.08829]
|
[ 2.87701]
|
[-1.15718]
|
[-1.27036]
|
|
|
|
|
|
|
|
|
TTC(-3)
|
-0.000593
|
-0.009376
|
0.013309
|
0.004751
|
-2.55E-06
|
0.006454
|
|
(0.00073)
|
(0.04144)
|
(0.02518)
|
(0.02387)
|
(4.8E-06)
|
(0.00326)
|
|
[-0.80940]
|
[-0.22622]
|
[ 0.52868]
|
[ 0.19905]
|
[-0.53148]
|
[ 1.97923]
|
|
|
|
|
|
|
|
|
TM(-1)
|
0.048976
|
-0.173418
|
-1.300466
|
-0.633700
|
3.46E-05
|
0.232908
|
|
(0.01597)
|
(0.90419)
|
(0.54924)
|
(0.52069)
|
(0.00010)
|
(0.07115)
|
|
[ 3.06629]
|
[-0.19179]
|
[-2.36774]
|
[-1.21704]
|
[ 0.33032]
|
[ 3.27363]
|
|
|
|
|
|
|
|
|
TM(-2)
|
0.031434
|
-2.761995
|
1.577564
|
2.497004
|
-5.60E-05
|
0.069640
|
|
(0.02248)
|
(1.27252)
|
(0.77298)
|
(0.73280)
|
(0.00015)
|
(0.10013)
|
|
[ 1.39839]
|
[-2.17049]
|
[ 2.04088]
|
[ 3.40750]
|
[-0.38007]
|
[ 0.69550]
|
|
|
|
|
|
|
|
|
TM(-3)
|
0.028947
|
7.654743
|
-4.350943
|
-4.233940
|
0.000104
|
-0.015525
|
|
(0.01338)
|
(0.75716)
|
(0.45993)
|
(0.43602)
|
(8.8E-05)
|
(0.05958)
|
|
[ 2.16421]
|
[ 10.1097]
|
[-9.45995]
|
[-9.71038]
|
[ 1.18631]
|
[-0.26058]
|
|
|
|
|
|
|
|
|
TIF(-1)
|
-0.036928
|
0.625311
|
1.820337
|
1.141465
|
-6.53E-05
|
-0.129394
|
|
(0.01071)
|
(0.60642)
|
(0.36836)
|
(0.34921)
|
(7.0E-05)
|
(0.04772)
|
|
[-3.44728]
|
[ 1.03115]
|
[ 4.94169]
|
[ 3.26868]
|
[-0.93008]
|
[-2.71174]
|
|
|
|
|
|
|
|
|
TIF(-2)
|
-0.038207
|
2.461046
|
-0.553473
|
-0.829814
|
6.00E-05
|
-0.190683
|
|
(0.02129)
|
(1.20544)
|
(0.73223)
|
(0.69416)
|
(0.00014)
|
(0.09485)
|
|
[-1.79426]
|
[ 2.04162]
|
[-0.75587]
|
[-1.19542]
|
[ 0.43038]
|
[-2.01036]
|
|
|
|
|
|
|
|
|
TIF(-3)
|
-0.021765
|
-3.477306
|
2.223473
|
2.281563
|
-6.36E-06
|
0.058187
|
|
(0.01736)
|
(0.98256)
|
(0.59685)
|
(0.56582)
|
(0.00011)
|
(0.07731)
|
|
[-1.25399]
|
[-3.53901]
|
[ 3.72535]
|
[ 4.03230]
|
[-0.05591]
|
[ 0.75261]
|
|
|
|
|
|
|
|
|
TCR(-1)
|
-22.58480
|
5362.812
|
-2262.388
|
-2803.262
|
0.494113
|
307.7878
|
|
(60.6160)
|
(3431.44)
|
(2084.40)
|
(1976.03)
|
(0.39715)
|
(270.004)
|
|
[-0.37259]
|
[ 1.56285]
|
[-1.08539]
|
[-1.41863]
|
[ 1.24415]
|
[ 1.13994]
|
|
|
|
|
|
|
|
|
TCR(-2)
|
36.17000
|
-2281.603
|
445.9296
|
997.1025
|
-0.130151
|
-400.6093
|
|
(63.8909)
|
(3616.83)
|
(2197.01)
|
(2082.79)
|
(0.41861)
|
(284.591)
|
|
[ 0.56612]
|
[-0.63083]
|
[ 0.20297]
|
[ 0.47873]
|
[-0.31092]
|
[-1.40767]
|
|
|
|
|
|
|
|
|
TCR(-3)
|
11.67393
|
-3802.523
|
-2633.569
|
-2288.569
|
0.135693
|
386.6363
|
|
(43.5277)
|
(2464.08)
|
(1496.78)
|
(1418.97)
|
(0.28519)
|
(193.887)
|
|
[ 0.26820]
|
[-1.54318]
|
[-1.75949]
|
[-1.61284]
|
[ 0.47580]
|
[ 1.99413]
|
|
|
|
|
|
|
|
|
TDI(-1)
|
-0.076609
|
7.297285
|
1.695110
|
0.460951
|
-0.000351
|
0.882044
|
|
(0.06121)
|
(3.46524)
|
(2.10493)
|
(1.99550)
|
(0.00040)
|
(0.27266)
|
|
[-1.25152]
|
[ 2.10585]
|
[ 0.80531]
|
[ 0.23100]
|
[-0.87602]
|
[ 3.23492]
|
|
|
|
|
|
|
|
|
TDI(-2)
|
0.098236
|
0.253582
|
-3.173133
|
-2.237308
|
0.000484
|
-0.650531
|
|
(0.07135)
|
(4.03897)
|
(2.45344)
|
(2.32589)
|
(0.00047)
|
(0.31781)
|
|
[ 1.37685]
|
[ 0.06278]
|
[-1.29334]
|
[-0.96192]
|
[ 1.03456]
|
[-2.04693]
|
|
|
|
|
|
|
|
|
TDI(-3)
|
-0.043522
|
-6.506974
|
1.250596
|
0.071413
|
-0.000326
|
0.347814
|
|
(0.03838)
|
(2.17285)
|
(1.31988)
|
(1.25126)
|
(0.00025)
|
(0.17097)
|
|
[-1.13389]
|
[-2.99467]
|
[ 0.94751]
|
[ 0.05707]
|
[-1.29629]
|
[ 2.03434]
|
|
|
|
|
|
|
|
|
C
|
-1.858756
|
120.6925
|
385.2973
|
330.1155
|
0.023448
|
-16.53566
|
|
(5.59040)
|
(316.469)
|
(192.236)
|
(182.242)
|
(0.03663)
|
(24.9015)
|
|
[-0.33249]
|
[ 0.38137]
|
[ 2.00429]
|
[ 1.81141]
|
[ 0.64017]
|
[-0.66404]
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.947397
|
0.999457
|
0.998322
|
0.998976
|
0.952358
|
0.976538
|
|
Adj. R-squared
|
0.829040
|
0.998235
|
0.994546
|
0.996673
|
0.845164
|
0.923750
|
|
Sum sq. resids
|
108.9653
|
349193.4
|
128846.9
|
115798.3
|
0.004678
|
2161.985
|
|
S.E. equation
|
3.690618
|
208.9239
|
126.9089
|
120.3112
|
0.024180
|
16.43923
|
|
F-statistic
|
8.004552
|
817.7910
|
264.3803
|
433.7364
|
8.884443
|
18.49903
|
|
Log likelihood
|
-57.14644
|
-166.1232
|
-152.6637
|
-151.2222
|
78.60965
|
-97.48110
|
|
Akaike AIC
|
5.640477
|
13.71283
|
12.71583
|
12.60905
|
-4.415530
|
8.628230
|
|
Schwarz SC
|
6.552362
|
14.62471
|
13.62771
|
13.52094
|
-3.503645
|
9.540115
|
|
Mean dependent
|
1.141481
|
1277.848
|
662.7607
|
729.6007
|
0.019834
|
52.37963
|
|
S.D. dependent
|
8.925883
|
4972.523
|
1718.386
|
2085.888
|
0.061451
|
59.53342
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Determinant resid covariance (dof adj.)
|
6.38E+10
|
|
|
|
|
|
Determinant resid covariance
|
43183700
|
|
|
|
|
|
Log likelihood
|
-467.2112
|
|
|
|
|
|
Akaike information criterion
|
43.05268
|
|
|
|
|
|
Schwarz criterion
|
48.52399
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Annexe 5 : Causalité au sens de Granger du
modèle VAR(3)
|
Pairwise Granger Causality Tests
|
|
Date: 08/30/20 Time: 23:37
|
|
Sample: 1988 2018
|
|
|
Lags: 3
|
|
|
|
|
|
|
|
|
|
|
|
Null Hypothesis:
|
Obs
|
F-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
TM does not Granger Cause DTDO
|
27
|
1.26130
|
0.3234
|
|
DTDO does not Granger Cause TM
|
8.05781
|
0.0008
|
|
|
|
|
|
|
|
|
|
TTC does not Granger Cause DTDO
|
27
|
3.39864
|
0.0324
|
|
DTDO does not Granger Cause TTC
|
7.42714
|
0.0012
|
|
|
|
|
|
|
|
|
|
TIF does not Granger Cause DTDO
|
27
|
1.03780
|
0.4166
|
|
DTDO does not Granger Cause TIF
|
5.31699
|
0.0058
|
|
|
|
|
|
|
|
|
|
TCR does not Granger Cause DTDO
|
27
|
0.88196
|
0.4954
|
|
DTDO does not Granger Cause TCR
|
3.57278
|
0.0273
|
|
|
|
|
|
|
|
|
|
TDI does not Granger Cause DTDO
|
27
|
2.18791
|
0.1140
|
|
DTDO does not Granger Cause TDI
|
1.97884
|
0.1436
|
|
|
|
|
|
|
|
|
|
TTC does not Granger Cause TM
|
28
|
9.51213
|
0.0003
|
|
TM does not Granger Cause TTC
|
156.782
|
1.E-13
|
|
|
|
|
|
|
|
|
|
TIF does not Granger Cause TM
|
28
|
146.425
|
2.E-13
|
|
TM does not Granger Cause TIF
|
211.123
|
7.E-15
|
|
|
|
|
|
|
|
|
|
TCR does not Granger Cause TM
|
28
|
5.40378
|
0.0049
|
|
TM does not Granger Cause TCR
|
0.68558
|
0.6112
|
|
|
|
|
|
|
|
|
|
TDI does not Granger Cause TM
|
28
|
0.07708
|
0.9883
|
|
TM does not Granger Cause TDI
|
12.5228
|
5.E-05
|
|
|
|
|
|
|
|
|
|
TIF does not Granger Cause TTC
|
28
|
130.656
|
5.E-13
|
|
TTC does not Granger Cause TIF
|
26.0704
|
3.E-07
|
|
|
|
|
|
|
|
|
|
TCR does not Granger Cause TTC
|
28
|
3.91671
|
0.0185
|
|
TTC does not Granger Cause TCR
|
2.07598
|
0.1264
|
|
|
|
|
|
|
|
|
|
TDI does not Granger Cause TTC
|
28
|
1.21805
|
0.3378
|
|
TTC does not Granger Cause TDI
|
18.6134
|
3.E-06
|
|
|
|
|
|
|
|
|
|
TCR does not Granger Cause TIF
|
28
|
4.83145
|
0.0080
|
|
TIF does not Granger Cause TCR
|
0.40047
|
0.8057
|
|
|
|
|
|
|
|
|
|
TDI does not Granger Cause TIF
|
28
|
0.46686
|
0.7593
|
|
TIF does not Granger Cause TDI
|
8.08063
|
0.0006
|
|
|
|
|
|
|
|
|
|
TDI does not Granger Cause TCR
|
28
|
0.67839
|
0.6158
|
|
TCR does not Granger Cause TDI
|
3.82851
|
0.0202
|
|
|
|
|
|
|
|
|
Annexe 6 : Décomposition de la variance
de l'erreur
|
Variance Decomposition of DTDO:
|
|
|
|
|
|
|
|
|
Period
|
S.E.
|
DTDO
|
TTC
|
TM
|
TIF
|
TCR
|
TDI
|
|
|
|
|
|
|
|
|
|
|
1
|
3.690618
|
100.0000
|
0.000000
|
0.000000
|
0.000000
|
0.000000
|
0.000000
|
|
2
|
4.188839
|
77.91028
|
0.002801
|
14.37141
|
7.002979
|
0.086379
|
0.626152
|
|
3
|
4.438847
|
74.77022
|
0.009694
|
13.94182
|
6.744243
|
2.045395
|
2.488620
|
|
4
|
4.898858
|
69.72379
|
1.272572
|
12.11275
|
6.215015
|
8.407636
|
2.268236
|
|
5
|
5.307713
|
60.72975
|
2.638487
|
10.31929
|
5.805656
|
18.21550
|
2.291314
|
|
6
|
5.626370
|
61.33701
|
2.446194
|
10.09572
|
6.093556
|
17.98724
|
2.040273
|
|
7
|
5.727213
|
59.42229
|
3.036081
|
9.779453
|
5.983561
|
19.78480
|
1.993819
|
|
8
|
5.732930
|
59.33449
|
3.030396
|
9.805904
|
6.002411
|
19.83645
|
1.990351
|
|
9
|
5.771066
|
59.59135
|
3.129009
|
9.746365
|
5.925144
|
19.63825
|
1.969883
|
|
10
|
5.805820
|
59.01914
|
3.225528
|
10.33553
|
5.988900
|
19.48240
|
1.948497
|
|
|
|
|
|
|
|
|
|
|
Variance Decomposition of TTC:
|
|
|
|
|
|
|
|
|
Period
|
S.E.
|
DTDO
|
TTC
|
TM
|
TIF
|
TCR
|
TDI
|
|
|
|
|
|
|
|
|
|
|
1
|
208.9239
|
13.97205
|
86.02795
|
0.000000
|
0.000000
|
0.000000
|
0.000000
|
|
2
|
248.9854
|
18.86182
|
72.76629
|
1.488781
|
0.090195
|
5.184942
|
1.607972
|
|
3
|
332.6901
|
23.27375
|
66.17509
|
0.966540
|
4.286895
|
4.130301
|
1.167429
|
|
4
|
742.3154
|
4.844521
|
33.14160
|
49.47641
|
8.226420
|
3.237767
|
1.073284
|
|
5
|
931.2475
|
3.101499
|
21.46773
|
31.55135
|
32.08341
|
11.06443
|
0.731582
|
|
6
|
944.8563
|
3.564134
|
20.88225
|
32.11421
|
31.20539
|
11.49000
|
0.744017
|
|
7
|
1002.042
|
3.491198
|
19.03290
|
28.83992
|
27.77883
|
20.07495
|
0.782202
|
|
8
|
1018.929
|
5.126832
|
18.45813
|
27.96303
|
26.91284
|
20.67341
|
0.865764
|
|
9
|
1030.505
|
6.184570
|
18.04635
|
27.34336
|
26.37415
|
21.19658
|
0.854991
|
|
10
|
1035.651
|
6.337397
|
17.92774
|
27.07513
|
26.27356
|
21.52564
|
0.860524
|
|
|
|
|
|
|
|
|
|
|
Variance Decomposition of TM:
|
|
|
|
|
|
|
|
|
Period
|
S.E.
|
DTDO
|
TTC
|
TM
|
TIF
|
TCR
|
TDI
|
|
|
|
|
|
|
|
|
|
|
1
|
126.9089
|
0.061314
|
31.57888
|
68.35981
|
0.000000
|
0.000000
|
0.000000
|
|
2
|
178.4098
|
1.706119
|
34.14563
|
42.66866
|
9.400535
|
11.91007
|
0.168991
|
|
3
|
252.4088
|
2.082242
|
28.55293
|
55.21684
|
5.069070
|
8.829841
|
0.249081
|
|
4
|
317.4565
|
3.150816
|
18.05326
|
34.92068
|
21.39214
|
22.32273
|
0.160365
|
|
5
|
322.8018
|
3.064478
|
17.60984
|
34.88369
|
20.88928
|
23.14201
|
0.410693
|
|
6
|
336.9477
|
3.205035
|
16.30522
|
32.42124
|
19.57180
|
27.93324
|
0.563455
|
|
7
|
341.3616
|
5.367672
|
15.88643
|
31.58826
|
19.18368
|
27.29469
|
0.679264
|
|
8
|
345.3325
|
6.748271
|
15.52639
|
31.05423
|
18.94146
|
27.04821
|
0.681444
|
|
9
|
346.1257
|
7.001276
|
15.45578
|
30.91529
|
18.91592
|
27.01212
|
0.699617
|
|
10
|
347.3522
|
6.952056
|
15.39428
|
30.74341
|
18.86297
|
27.34563
|
0.701651
|
|
|
|
|
|
|
|
|
|
|
Variance Decomposition of TIF:
|
|
|
|
|
|
|
|
|
Period
|
S.E.
|
DTDO
|
TTC
|
TM
|
TIF
|
TCR
|
TDI
|
|
|
|
|
|
|
|
|
|
|
1
|
120.3112
|
0.154732
|
28.69126
|
61.93924
|
9.214771
|
0.000000
|
0.000000
|
|
2
|
192.1660
|
3.393159
|
46.20995
|
32.88903
|
6.626085
|
10.87101
|
0.010771
|
|
3
|
302.3245
|
1.955791
|
30.33621
|
57.31277
|
2.796903
|
7.402433
|
0.195886
|
|
4
|
377.1666
|
3.448535
|
19.52897
|
36.85732
|
22.49221
|
17.54705
|
0.125916
|
|
5
|
383.3439
|
3.354186
|
19.09829
|
37.09249
|
21.95065
|
18.14598
|
0.358403
|
|
6
|
405.7896
|
3.158530
|
17.24937
|
33.40878
|
19.93956
|
25.68865
|
0.555108
|
|
7
|
411.6036
|
5.366156
|
16.76641
|
32.47185
|
19.49941
|
25.21646
|
0.679713
|
|
8
|
417.8860
|
6.923283
|
16.27942
|
31.74506
|
19.14166
|
25.23389
|
0.676686
|
|
9
|
419.0553
|
7.232501
|
16.18874
|
31.59268
|
19.06327
|
25.22656
|
0.696256
|
|
10
|
420.8332
|
7.174083
|
16.09594
|
31.41302
|
18.98782
|
25.63385
|
0.695293
|
|
|
|
|
|
|
|
|
|
|
Variance Decomposition of TCR:
|
|
|
|
|
|
|
|
|
Period
|
S.E.
|
DTDO
|
TTC
|
TM
|
TIF
|
TCR
|
TDI
|
|
|
|
|
|
|
|
|
|
|
1
|
0.024180
|
9.992472
|
7.292876
|
4.146622
|
0.937275
|
77.63076
|
0.000000
|
|
2
|
0.028673
|
9.037412
|
6.330214
|
6.965177
|
0.668209
|
76.71793
|
0.281055
|
|
3
|
0.028960
|
9.148789
|
6.226472
|
7.447516
|
1.033016
|
75.58510
|
0.559106
|
|
4
|
0.029379
|
9.133459
|
6.257987
|
7.599934
|
1.565422
|
74.88753
|
0.555670
|
|
5
|
0.030913
|
10.24902
|
6.325286
|
7.414735
|
2.116527
|
73.28428
|
0.610160
|
|
6
|
0.031244
|
10.78705
|
6.421900
|
7.314361
|
2.376537
|
72.46122
|
0.638940
|
|
7
|
0.031423
|
10.86554
|
6.368932
|
7.426198
|
2.799457
|
71.90174
|
0.638130
|
|
8
|
0.031546
|
10.98774
|
6.537789
|
7.416792
|
2.969390
|
71.45415
|
0.634132
|
|
9
|
0.031707
|
10.90629
|
6.852594
|
7.580673
|
3.049712
|
70.97751
|
0.633224
|
|
10
|
0.031930
|
10.92727
|
6.897011
|
7.741384
|
3.210391
|
70.57153
|
0.652418
|
|
|
|
|
|
|
|
|
|
|
Variance Decomposition of TDI:
|
|
|
|
|
|
|
|
|
Period
|
S.E.
|
DTDO
|
TTC
|
TM
|
TIF
|
TCR
|
TDI
|
|
|
|
|
|
|
|
|
|
|
1
|
16.43923
|
60.77412
|
2.133033
|
1.729022
|
5.414470
|
23.02242
|
6.926932
|
|
2
|
24.12152
|
42.32011
|
1.373019
|
27.99252
|
11.87334
|
10.72061
|
5.720402
|
|
3
|
25.39315
|
40.65186
|
2.759696
|
27.14544
|
11.26352
|
11.11710
|
7.062378
|
|
4
|
25.60357
|
40.17901
|
3.089767
|
27.61790
|
11.10247
|
11.00696
|
7.003891
|
|
5
|
27.27934
|
35.88706
|
4.642661
|
25.21790
|
9.814874
|
17.99704
|
6.440464
|
|
6
|
28.25944
|
34.34744
|
4.421276
|
23.74478
|
12.77504
|
18.70993
|
6.001546
|
|
7
|
28.37302
|
34.08271
|
4.406046
|
23.62453
|
12.67341
|
19.25809
|
5.955216
|
|
8
|
28.54548
|
33.67581
|
4.995676
|
23.67951
|
12.57331
|
19.18514
|
5.890558
|
|
9
|
28.78724
|
33.43704
|
5.266808
|
23.73178
|
12.60865
|
19.15766
|
5.798061
|
|
10
|
28.87445
|
33.25153
|
5.379165
|
23.88265
|
12.66714
|
19.04486
|
5.774660
|
|
|
|
|
|
|
|
|
|
|
Cholesky Ordering: DTDO TTC TM TIF TCR TDI
|
|
|
|
|
|
|
|
Annexe 7 : Test de stabilité du
modèle VAR(3)
|
Roots of Characteristic Polynomial
|
|
Endogenous variables: DTDO TTC TM TIF TCR TDI
|
|
Exogenous variables: C
|
|
Lag specification: 1 3
|
|
Date: 08/31/20 Time: 01:23
|
|
|
|
|
|
Root
|
Modulus
|
|
|
|
|
|
0.095894 - 0.808555i
|
0.814221
|
|
0.095894 + 0.808555i
|
0.814221
|
|
-0.399804 + 0.665971i
|
0.776763
|
|
-0.399804 - 0.665971i
|
0.776763
|
|
0.318040 - 0.694775i
|
0.764108
|
|
0.318040 + 0.694775i
|
0.764108
|
|
-0.679805 + 0.348488i
|
0.763923
|
|
-0.679805 - 0.348488i
|
0.763923
|
|
0.741713 - 0.167442i
|
0.760378
|
|
0.741713 + 0.167442i
|
0.760378
|
|
-0.251702 - 0.700119i
|
0.743989
|
|
-0.251702 + 0.700119i
|
0.743989
|
|
0.656110 + 0.349072i
|
0.743190
|
|
0.656110 - 0.349072i
|
0.743190
|
|
-0.682743
|
0.682743
|
|
0.428914 + 0.493861i
|
0.654114
|
|
0.428914 - 0.493861i
|
0.654114
|
|
-0.269216
|
0.269216
|
|
|
|
|
|
No root lies outside the unit circle.
|
|
VAR satisfies the stability condition.
|
|
|
Le modèle est stable
Annexe 7 : Série
|
|
TDO
|
TM
|
TTC
|
TIF
|
TCR
|
TDI
|
|
1988
|
7
|
131,3
|
101,613
|
121,5
|
0,0060
|
40
|
|
1989
|
6,5
|
61,1
|
42,857
|
95,8
|
-0,0140
|
45
|
|
1990
|
9,6
|
186,8
|
600,000
|
233,2
|
-0,0660
|
45
|
|
1991
|
39,3
|
2234,2
|
1122,857
|
3644,9
|
-0,0842
|
55
|
|
1992
|
13,3
|
4111,5
|
98,131
|
2989,6
|
-0,1050
|
55
|
|
1993
|
24
|
3300
|
2772,642
|
4651,7
|
-0,1351
|
95
|
|
1994
|
35,4
|
7743,14
|
1968,966
|
9796,9
|
-0,0387
|
145
|
|
1995
|
23,3
|
325
|
25900,000
|
370,3
|
0,0072
|
125
|
|
1996
|
28,7
|
536,3
|
370,085
|
693
|
-0,0111
|
238
|
|
1997
|
21,9
|
51,9
|
614,286
|
13,7
|
-0,0541
|
13
|
|
1998
|
15,02
|
157,9
|
-0,909
|
134,8
|
-0,0174
|
22
|
|
1999
|
6,3
|
363,3
|
124,771
|
134,8
|
-0,0427
|
120
|
|
2000
|
11,1
|
504,1
|
1940,816
|
511,2
|
-0,0690
|
120
|
|
2001
|
35,1
|
228,1
|
527,200
|
135,1
|
-0,0210
|
140
|
|
2002
|
36,5
|
28,1
|
21,856
|
15,8
|
0,0347
|
24
|
|
2003
|
40,05
|
31,7
|
-2,517
|
4,4
|
0,0579
|
8
|
|
2004
|
44,01
|
70,8
|
19,212
|
9
|
0,0664
|
14
|
|
2005
|
46,2
|
24,7
|
-2,885
|
21,5
|
0,0780
|
28,75
|
|
2006
|
47,9
|
57,7
|
16,729
|
18,2
|
0,0532
|
40
|
|
2007
|
51,4
|
50,6
|
-0,087
|
9,9
|
0,0626
|
22,5
|
|
2008
|
58,1
|
58,2
|
27,104
|
27,6
|
0,0623
|
40
|
|
2009
|
65,9
|
48,2
|
41,191
|
53,4
|
0,0286
|
70
|
|
2010
|
62,2
|
30,1
|
0,481
|
9,8
|
0,0711
|
22
|
|
2011
|
65,9
|
21,5
|
1,213
|
15,4
|
0,0687
|
20
|
|
2012
|
68,4
|
20,8
|
0,076
|
2,7
|
0,0709
|
4
|
|
2013
|
67,8
|
17,7
|
0,305
|
1,07
|
0,0848
|
3
|
|
2014
|
68,89
|
12,6
|
1,846
|
1,07
|
0,0947
|
2
|
|
2015
|
67,56
|
10,5
|
-1,128
|
0,85
|
0,0692
|
2
|
|
2016
|
66,56
|
21,8
|
31,002
|
23,6
|
0,0240
|
7
|
|
2017
|
72,91
|
39,9
|
21,776
|
46,6
|
0,0373
|
20
|
|
2018
|
70,12
|
28,4
|
9,728
|
7,23
|
0,0582
|
14
|
|
|
