Règles de politique monétaire: essai de modélisation pour la BCEAO ( banque centrale des états de l'Afrique de l'ouest )

Annexe n02

Test de stationnarité - ADF/ Phillip-Perron

	Niveau					1ère différence
Variables		valeur Trend		Cste	Retard	valeur	Trend	Cste	Retard	Conclusion
	ADFc	-3,54	Non	Oui	1					I(0)
TPE	ADFth	-2,90
	PPc	-3,44	Non	Oui	2					I(0)
	PPth	-3,53
	ADFc	-3,94	Non	Non	5					I(0)
INFGAP4	ADFth	-1,94
	PPc	-2,36	Non	Non	6					I(0)
	PPth	-1,94
	ADFc	-2,67	Non	Non	10					I(0)
GAPHP	ADFth	-1,94
	PPc	-3,28	Non	Non	4					I(0)
	PPth	-1,94
	ADFc	-2,32	Non	Oui	10	-3,79	Non	Non	9	I(1)
	ADFth	-2,91				-1,94
		-
M2	PPc	3,395474	Non	Oui	3					I(0)
	PPth	-2,9055

Source : Estimations de l'auteur sur Eviews

ADFc = valeur calculée ou empirique de la statistique du test ADF- ADFth = valeur théorique ou critique au seuil de 5%

PPc = valeur calculée ou empirique de la statistique du test PP - PPth = valeur théorique ou critique au seuil de 5%

Critères de sélection de retard du VAR

Endogenous variables: TPE INFGAP4 GAPHP

Lag	LogL	LR	FPE	AIC	SC	HQ
0	-370.7852	NA	23.74008	11.68079	11.78199	11.72066
1	-197.7829	324.3794	0.141221	6.555715	6.960505	6.715182
2	-151.2375	82.90894	0.043780	5.382422	6.090805	5.661490
3	-109.1903	70.95468*	0.015667*	4.349697*	5.361673*	4.748365*
4	-103.5448	8.997542	0.017564	4.454524	5.770093	4.972793

* indicates lag order selected by the criterion

LR: sequential modified LR test statistic (each test at 5% level)

FPE: Final prediction error,

AIC: Akaike information criterion,

SC: Schwarz information criterion

HQ: Hannan-Quinn information criterion

Source : Estimations de l'auteur sur Eviews

Règles de politique monétaire : essai de modélisation pour la BCEAO DEA/Master de recherche

Annexe n03

Résultats d'estimations du VAR

Standard errors in ( ) & t-statistics in [ ]

TPE INFGAP4 GAPHP

TPE(-1) 0.886672 0.938030 0.076035

(0.14890) (0.54991) (0.06231)

[ 5.95496] [ 1.70580] [ 1.22020]

TPE(-2) -0.177658 -0.606643 -0.047143

(0.16746) (0.61848) (0.07008)

[-1.06088] [-0.98087] [-0.67267]

TPE(-3) 0.257518 -0.332908 -0.073528

(0.13616) (0.50287) (0.05698)

[ 1.89129] [-0.66202] [-1.29035]

TPE(-4) -0.052320 0.052221 0.035593

(0.09324) (0.34435) (0.03902)

[-0.56115] [ 0.15165] [ 0.91218]

INFGAP4(-1) 0.017005 0.805374 0.012999

(0.03759) (0.13882) (0.01573)

[ 0.45241] [ 5.80160] [ 0.82635]

INFGAP4(-2) 0.124416 -0.077474 0.005957

(0.04064) (0.15011) (0.01701)

[ 3.06107] [-0.51612] [ 0.35020]

INFGAP4(-3) -0.121202 -0.265430 -0.038670

(0.04300) (0.15879) (0.01799)

[-2.81895] [-1.67156] [-2.14907]

INFGAP4(-4) -0.002218 0.178630 0.021452

(0.03193) (0.11793) (0.01336)

[-0.06945] [ 1.51473] [ 1.60533]

GAPHP(-1) 0.173948 0.029126 2.133867

(0.32910) (1.21543) (0.13773)

[ 0.52856] [ 0.02396] [ 15.4933]

GAPHP(-2) -0.231019 -1.735648 -1.608508

(0.75495) (2.78820) (0.31595)

[-0.30600] [-0.62250] [-5.09102]

GAPHP(-3) 0.065900 2.696866 0.283160

(0.74693) (2.75859) (0.31259)

[ 0.08823] [ 0.97763] [ 0.90584]

Règles de politique monétaire : essai de modélisation pour la BCEAO DEA/Master de recherche
GAPHP(-4)	0.068745	-1.253965	0.132299
	(0.31201)	(1.15231)	(0.13058)
	[ 0.22033]	[-1.08822]	[ 1.01320]
C	0.388529	0.041120	0.059266
	(0.28829)	(1.06470)	(0.12065)
[ 1.34772]		[ 0.03862]	[ 0.49123]
R-squared 0.942839		0.835765	0.980653
Adj. R-squared 0.929390		0.797121	0.976100
F-statistic 70.10177		21.62753	215.4186
Determinant resid covariance (dof adj.)		0.010085
Determinant resid covariance		0.005103
Log likelihood		-103.5448
Akaike information criterion		4.454524
Schwarz criterion		5.770093

Source : Estimation de l'auteur sur Eviews

Tests de causalité de Granger Lags: 3

Null Hypothesis:	Obs	F-Statistic	Probability
INFGAP4 does not Granger Cause TPE	65	6.07528	0.00114
TPE does not Granger Cause INFGAP4		4.16879	0.00966
GAPHP does not Granger Cause TPE	65	1.04288	0.38048
TPE does not Granger Cause GAPHP		2.01519	0.12178
GAPHP does not Granger Cause INFGAP4	65	0.49155	0.68952
INFGAP4 does not Granger Cause GAPHP		2.14279	0.10462

Source : Estimations de l'auteur sur Eviews

Test de conformité de Wald

Wald Test :		;
Equation :		FL1
Test Statistic	Value	df	Probability
F-statistic	2.247954	(2, 60)	0.1144
Chi-square	4.495908	2	0.1056

Source : Estimations de l'auteur sur Eviews

Règles de politique monétaire : essai de modélisation pour la BCEAO DEA/Master de recherche

Annexe n⁰4 : Décomposition de la variance des erreurs Décomposition de TPE

Période	S.E.	TPE	INFGAP4	GAPHP
1	0.421461	100.0000	0.000000	0.000000
2	0.554176	99.62139	0.092530	0.286079
3	0.613387	87.78043	11.31493	0.904638
4	0.684889	83.62479	15.10553	1.269683
5	0.749035	84.71125	14.16575	1.123005
6	0.783571	85.56535	13.36760	1.067047
7	0.808710	86.15228	12.67687	1.170844
8	0.835212	86.48794	11.88630	1.625761
9	0.859102	86.14524	11.23560	2.619161
10	0.880572	85.20705	10.69556	4.097393

Décomposition de infgap4

Période	S.E.	TPE	INFGAP4	GAPHP
1	1.556547	19.29487	80.70513	0.000000
2	1.926882	13.24599	86.75335	0.000663
3	2.134175	10.84317	87.74690	1.409932
4	2.204339	10.16388	86.24399	3.592131
5	2.241854	9.885344	84.41500	5.699654
6	2.253146	9.787638	83.60483	6.607527
7	2.254722	9.774376	83.48810	6.737524
8	2.255327	9.780078	83.45836	6.761558
9	2.257595	9.760749	83.34343	6.895821
10	2.259143	9.751475	83.28712	6.961406

Décomposition de gaphp

Période	S.E.	TPE	INFGAP4	GAPHP
1	0.176383	1.578436	5.089164	93.33240
2	0.410318	0.637465	3.585326	95.77721
3	0.652420	0.302041	2.107147	97.59081
4	0.846827	0.189310	1.480287	98.33040
5	0.962423	0.163532	1.209854	98.62661
6	1.008401	0.170446	1.193505	98.63605
7	1.017350	0.224518	1.380818	98.39466
8	1.020048	0.367170	1.747656	97.88517
9	1.026189	0.612861	2.169123	97.21802
10	1.031513	0.923374	2.501983	96.57464

Source : Estimations de l'auteur sur Eviews