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Les déterminants de l’efficacité de la politique monétaire en république démocratique du Congo.


par Jean Bosco Kaomba Mutumba
Université de Lubumbashi -  Diplôme d'études approfondies en économie monétaire 2019
  

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ANNEXES

156

Dependent Variable: LOG(VITESSE_M1)

Method: Least Squares

Date: 01/01/19 Time: 21:31

Sample: 2003M05 2018M12

Included observations: 152

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C

0.053837

0.055363

0.972438

0.3324

LOG (VITESSE_M1(-1))

0.979971

0.017501

55.99639

0.0000

R-squared

0.954346

Meandependent var

 

3.132015

Adjusted R-squared

0.954042

S.D. dependent var

 

0.378118

S.E. of regression

0.081060

Akaike info criterion

 

-2.174175

Sumsquaredresid

0.985617

Schwarz criterion

 

-2.134387

Log likelihood

167.2373

Hannan-Quinn criter.

 

-2.158012

F-statistic

3135.596

Durbin-Watson stat

 

2.561173

Prob (F-statistic)

0.000000

 
 
 

.5 .4 .3 .2 .1 .0

-.1

-.2

-.3

 
 
 
 

R

E S I D

_ V I T E

S S E _ M 1 b y

S e a s

o n

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

M e a n s b y S e a s o n

 
 
 
 
 
 
 
 
 
 
 
 
 
 

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

157

.5 .4 .3 .2 .1 .0

-.1

-.2

-.3

 
 
 
 

R

E S I D

_ V I T E

S S E _ M 1 b y

S e a s

o n

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

M e a n s b y S e a s o n

 
 
 
 
 
 
 
 
 
 
 
 
 
 

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

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C

0.019403

0.004604

4.214323

0.0000

LOG (MULTIPLICATEUR_M2(-1))

0.665909

0.065590

10.15260

0.0000

R-squared

0.444146

Meandependent var

 

0.058132

Adjusted R-squared

0.439837

S.D. dependent var

 

0.039424

S.E. of regression

0.029507

Akaike info criterion

 

-4.193248

Sumsquaredresid

0.112313

Schwarz criterion

 

-4.149352

Log likelihood

276.6577

Hannan-Quinn criter.

 

-4.175411

F-statistic

103.0754

Durbin-Watson stat

 

2.274408

Prob (F-statistic)

0.000000

 
 
 

Augmented Dickey-Fuller Test Equation

158

Graphique n°22. Analyse des réponses impulsionnelles

Reponse de l'inflation suite aux chocs sur le taux directur

.010 .008 .006 .004 .002 .000 -.002

 

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

Variable

Coefficient

Std. Error t-Statistic

Prob.

LIPC (-1)

-0.031068

0.020307 -1.529862

0.1282

C

0.104272

0.060787 1.715362

0.0884

@TREND ("2001M05")

0.000431

0.000286 1.507932

0.1337

R-squared

0.015568

Meandependent var

0.011520

Adjusted R-squared

0.002265

S.D. dependent var

0.026206

S.E. of regression

0.026177

Akaike info criterion

-4.428238

Sumsquaredresid

0.101411

Schwarz criterion

-4.368292

Log likelihood

337.3320

Hannan-Quinn criter.

-4.403885

F-statistic

1.170244

Durbin-Watson stat

2.086202

Prob(F-statistic)

0.313146

 
 

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

Variable

Coefficient

Std. Error t-Statistic

Prob.

D (LIPC (-1))

-1.060397

0.082327 -12.88025

0.0000

C

0.011910

0.004476 2.660525

0.0087

@TREND("2001M05")

3.14E-06

4.98E-05 0.063132

0.9497

R-squared

0.530203

Meandependent var

-0.000138

Adjusted R-squared

0.523811

S.D. dependent var

0.038271

S.E. of regression

0.026410

Akaike info criterion

-4.410377

Sumsquaredresid

0.102528

Schwarz criterion

-4.350165

Log likelihood

333.7783

Hannan-Quinn criter.

-4.385915

F-statistic

82.95041

Durbin-Watson stat

1.619222

Prob(F-statistic)

0.000000

 
 

161

TEST DE CAUSALITE

Pairwise Granger Causality Tests

Date: 04/10/18 Time: 17:52
Sample: 1997S02 2017M2 Lags: 1

 
 
 

NullHypothesis:

Obs

F-Statistic

Prob.

LTXDIR does not Granger Cause DLIPC

42

2.89672

0.0909

DLIPC does not Granger Cause LTXDIR

 

9.51228

0.0024

DLTXCHIND does not Granger Cause DLIPC

42

18.0400

4.E-05

DLIPC does not Granger Cause DLTXCHIND

 

15.0072

0.0002

LTXDBC does not Granger Cause DLIPC

42

0.42553

0.5152

DLIPC does not Granger Cause LTXDBC

 

4.51767

0.0352

DLMMHP does not Granger Cause DLIPC

42

6.36719

0.0127

DLIPC does not Granger Cause DLMMHP

 

2.74587

0.0996

DLTXCHIND does not Granger Cause LTXDIR

42

5.93415

0.0160

LTXDIR does not Granger Cause DLTXCHIND

 

0.01444

0.9045

LTXDBC does not Granger Cause LTXDIR

42

11.3635

0.0010

LTXDIR does not Granger Cause LTXDBC

 

4.41215

0.0374

DLMMHP does not Granger Cause LTXDIR

42

1.01032

0.3165

LTXDIR does not Granger Cause DLMMHP

 

0.03139

0.8596

LTXDBC does not Granger Cause DLTXCHIND

42

0.10685

0.7442

DLTXCHIND does not Granger Cause LTXDBC

 

5.83555

0.0169

DLMMHP does not Granger Cause DLTXCHIND

42

6.39631

0.0125

DLTXCHIND does not Granger Cause DLMMHP

 

0.07875

0.7794

DLMMHP does not Granger Cause LTXDBC

42

2.67527

0.1041

LTXDBC does not Granger Cause DLMMHP

 

0.46383

0.4969

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

Coefficients

Ecart-type

T-statistiques

-0.779663

0.20113

-3.87650

0.011894

0.00903

1.31729

2.418758

1.12684

2.14649

0.014948

0.00519

2.88107

0.288254

0.06806

4.23513

-0.019210

0.00993

-1.93381

0.062973

0.05411

1.16377

-0.525206

0.18239

-2.87956

RESULTATS DE L'ESTIMATION DU MODELE VAR (1) Tableau 1. Synthèse des résultats d?estimation

163

hors provisions et dépôts en devise

consommation

Variation de logarithme du taux de change indicatif

0.243784 0.10741 2.26955

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

LTXDBC

DLTXCHIND

LTXDIR

DLIPC

0.247114

0.196186

0.519967

0.062973

(0.32445)

(0.09417)

(0.52760)

(0.05411)

[0.76165]

12.083351

[0.98554]

[1.16377]

0.841434

-0.016926

0.370360

-0.019210

(0.05956)

(0.01729)

(0.09686)

(0.00993)

[14.1266]

[-0.97904]

13.823691

1-1.933811

0.427693

0.258307

0.095745

0.288254

(0.40810)

(0.11845)

(0.66363)

(0.06806)

[1.04801]

[2.18077]

[0.14428]

14.235131

0.056934

0.011894

0.789980

0.014948

(0.03111)

(0.00903)

(0.05059)

(0.00519)

11.830181

[1.31729]

[15.6164]

12.881071

0.217114

-0.779663

2.418758

-0.492861

(0.69295)

(0.20113)

(1.12684)

(0.11557)

[0.31332]

1-3.876501

12.146491

[-4.26460]

Logarithme du taux débiteur des banques

Logarithme du
taux directeur

0.056934 0.03111 1.83018

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

C 0.078092

0.398113

0.036103

-0.817738

0.039386

(0.03828)

(0.14544)

(0.04221)

(0.23650)

(0.02426)

[2.04004]

[2.73739]

[0.85528]

[-3.45768]

[1.62379]

R-squared 0.065287

0.912989

0.136083

0.941193

0.188176

Adj. R-squared 0.032832

0.909967

0.106086

0.939151

0.159987

Sum sq. resids 0.208073

3.003434

0.253012

7.942096

0.083542

S.E. equation 0.038012

0.144420

0.041917

0.234848

0.024086

F-statistic 2.011592

302.1910

4.536546

460.9375

6.675652

Log likelihood 280.6969

80.47515

266.0306

7.543572

349.1377

Akaike AIC -3.662626

-0.993002

-3.467075

-0.020581

-4.575170

Schwarz SC -3.542200

-0.872577

-3.346650

0.099844

-4.454744

Meandependent 0.027172

3.805078

0.007331

3.152819

0.011450

S.D. dependent 0.038652

0.481313

0.044334

0.952050

0.026280

Determinant resid covariance (dof adj.)

4.94E-13

 
 
 

Determinantresid covariance

4.03E-13

 
 
 

Log likelihood

1076.333

 
 
 

Akaike information criterion

-13.95111

 
 
 

Schwarz criterion

-13.34898

 
 
 

165

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