ANNEXE 4 : test de causalité au sens de
GRANGER
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Pairwise Granger Causality Tests Date: 09/29/10 Time:
09:20
Sample: 1990 2009
Lags: 1
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NullHypothesis:
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Obs
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F-Statistic
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Probability
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D(LOG(SKP_A)) does not Granger Cause
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18
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0.13923
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0.71427
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D(LOG(PIBK_A))
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D(LOG(PIBK_A)) does not Granger Cause
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1.06861
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0.31764
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D(LOG(SKP_A))
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D(LOG(SKH_A)) does not Granger Cause
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18
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9.71684
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0.00706
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D(LOG(PIBK_A))
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D(LOG(PIBK_A)) does not Granger Cause
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3.39037
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0.08544
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D(LOG(SKH_A))
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D(LOG(PAO_A)) does not Granger Cause
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18
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0.25951
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0.61787
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D(LOG(PIBK_A))
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D(LOG(PIBK_A)) does not Granger Cause
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5.27371
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0.03647
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D(LOG(PAO_A))
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D(LOG(SKH_A)) does not Granger Cause
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18
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0.00437
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0.94819
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D(LOG(SKP_A))
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D(LOG(SKP_A)) does not Granger Cause
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0.10242
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0.75336
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D(LOG(SKH_A))
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D(LOG(PAO_A)) does not Granger Cause
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18
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1.1E-05
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0.99743
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D(LOG(SKP_A))
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D(LOG(SKP_A)) does not Granger Cause
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0.04296
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0.83860
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D(LOG(PAO_A))
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D(LOG(PAO_A)) does not Granger Cause
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18
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11.6868
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0.00381
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D(LOG(SKH_A))
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D(LOG(SKH_A)) does not Granger Cause
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0.09395
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0.76343
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D(LOG(PAO_A))
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ANNEXE 5 : EQUATIONS DU MODELE DE SIMULATION
'BLOC REEL: FONCTION DE PRODUCTION
GPIBK_AS=0.01841395025+0.03318141693*GSKP_A+0.8377868221*GSKH
_A+(1-0.03318141693-0.8377868221)*GPAO_A-1.096156784*RESIDUSLT(-
1)-0.05319774193*D94-0.05508416911*D05-0.04917352257*D92-
0.02299003368*D95-0.01990213319*D96+0.01403827453*D01-
0.01667924659*D02-0.01537226476*D03
ALPHA_GSKP_A=0.03318141693*GSKP_A BETA_GSKH_A=0.8377868221*GSKH_A
GAMA_GPAO_A=(1-0.03318141693-0.8377868221)*GPAO_A
GPGF=GPIBK_AS-(0.03318141693*GSKP_A+0.8377868221*GSKH_A+(1-
0.03318141693-0.8377868221)*GPAO_A)
GPIBK_AFOR=GPGF+ALPHA_GSKP_A+BETA_GSKH_A+GAMA_GPAO _A
PIBK_AFOR=(1+GPIBK_AFOR)*PIBK_A(-1)
PIBK_AS=(1+GPIBK_AS)*PIBK_A(-1)
GSKP_A=D(LOG(SKP_A)) GSKH_A=D(LOG(SKH_A))
GPAO_A=D(LOG(PAO_A))
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