Annexes
A. ANALYSE DE LA STATIONARITE
A.1 CSS (Croissance économique)
CSS à niveau sans tendance ni constance
|
Null Hypothesis: CSS has a unit root
|
|
|
Exogenous: None
|
|
|
|
Lag Length: 9 (Automatic - based on SIC, maxlag=10)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-0.959149
|
0.2973
|
|
Test critical values:
|
1% level
|
|
-2.608490
|
|
|
5% level
|
|
-1.946996
|
|
|
10% level
|
|
-1.612934
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(CSS)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 09/17/19 Time: 02:05
|
|
|
|
Sample (adjusted): 2005Q3 2018Q4
|
|
|
Included observations: 54 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
CSS(-1)
|
-0.010602
|
0.011054
|
-0.959149
|
0.3427
|
|
D(CSS(-1))
|
0.703874
|
0.132994
|
5.292526
|
0.0000
|
|
D(CSS(-2))
|
0.146384
|
0.139140
|
1.052061
|
0.2985
|
|
D(CSS(-3))
|
0.042183
|
0.141077
|
0.299009
|
0.7663
|
|
D(CSS(-4))
|
-0.973929
|
0.146505
|
-6.647737
|
0.0000
|
|
D(CSS(-5))
|
0.705037
|
0.178102
|
3.958602
|
0.0003
|
|
D(CSS(-6))
|
0.073763
|
0.140533
|
0.524880
|
0.6023
|
|
D(CSS(-7))
|
0.012824
|
0.141675
|
0.090517
|
0.9283
|
|
D(CSS(-8))
|
-0.711354
|
0.157091
|
-4.528291
|
0.0000
|
|
D(CSS(-9))
|
0.537907
|
0.147490
|
3.647070
|
0.0007
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.658426
|
Mean dependent var
|
-0.084740
|
|
Adjusted R-squared
|
0.588559
|
S.D. dependent var
|
0.785433
|
|
S.E. of regression
|
0.503805
|
Akaike info criterion
|
1.632322
|
|
Sum squared resid
|
11.16807
|
Schwarz criterion
|
2.000653
|
|
Log likelihood
|
-34.07270
|
Hannan-Quinn criter.
|
1.774373
|
|
Durbin-Watson stat
|
2.079698
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CSS en différence première sans tendance ni
constance
|
Null Hypothesis: D(CSS) has a unit root
|
|
|
Exogenous: None
|
|
|
|
Lag Length: 8 (Automatic - based on SIC, maxlag=10)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-1.963887
|
0.0482
|
|
Test critical values:
|
1% level
|
|
-2.608490
|
|
|
5% level
|
|
-1.946996
|
|
|
10% level
|
|
-1.612934
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(CSS,2)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 09/17/19 Time: 02:08
|
|
|
|
Sample (adjusted): 2005Q3 2018Q4
|
|
|
Included observations: 54 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
D(CSS(-1))
|
-0.476197
|
0.242477
|
-1.963887
|
0.0557
|
|
D(CSS(-1),2)
|
0.185175
|
0.208146
|
0.889638
|
0.3784
|
|
D(CSS(-2),2)
|
0.327944
|
0.203201
|
1.613890
|
0.1135
|
|
D(CSS(-3),2)
|
0.363175
|
0.202131
|
1.796732
|
0.0791
|
|
D(CSS(-4),2)
|
-0.618014
|
0.203596
|
-3.035495
|
0.0040
|
|
D(CSS(-5),2)
|
0.092137
|
0.142927
|
0.644643
|
0.5224
|
|
D(CSS(-6),2)
|
0.164409
|
0.142061
|
1.157314
|
0.2533
|
|
D(CSS(-7),2)
|
0.173627
|
0.143861
|
1.206910
|
0.2338
|
|
D(CSS(-8),2)
|
-0.540790
|
0.147328
|
-3.670646
|
0.0006
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.648513
|
Mean dependent var
|
-0.011007
|
|
Adjusted R-squared
|
0.586027
|
S.D. dependent var
|
0.782330
|
|
S.E. of regression
|
0.503357
|
Akaike info criterion
|
1.615978
|
|
Sum squared resid
|
11.40158
|
Schwarz criterion
|
1.947475
|
|
Log likelihood
|
-34.63141
|
Hannan-Quinn criter.
|
1.743824
|
|
Durbin-Watson stat
|
2.068400
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A.2 LBNBCC (taux du Bon BCC)
LBNBCC à niveau sans tendance ni constance
|
Null Hypothesis: LBNBCC has a unit root
|
|
|
Exogenous: None
|
|
|
|
Lag Length: 9 (Automatic - based on SIC, maxlag=10)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-1.168533
|
0.2185
|
|
Test critical values:
|
1% level
|
|
-2.608490
|
|
|
5% level
|
|
-1.946996
|
|
|
10% level
|
|
-1.612934
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(LBNBCC)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 09/17/19 Time: 02:13
|
|
|
|
Sample (adjusted): 2005Q3 2018Q4
|
|
|
Included observations: 54 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
LBNBCC(-1)
|
-0.025168
|
0.021538
|
-1.168533
|
0.2489
|
|
D(LBNBCC(-1))
|
0.696219
|
0.135485
|
5.138701
|
0.0000
|
|
D(LBNBCC(-2))
|
0.167748
|
0.142478
|
1.177360
|
0.2454
|
|
D(LBNBCC(-3))
|
0.058949
|
0.144696
|
0.407396
|
0.6857
|
|
D(LBNBCC(-4))
|
-1.081963
|
0.144538
|
-7.485668
|
0.0000
|
|
D(LBNBCC(-5))
|
0.756907
|
0.187162
|
4.044130
|
0.0002
|
|
D(LBNBCC(-6))
|
0.103419
|
0.143303
|
0.721683
|
0.4743
|
|
D(LBNBCC(-7))
|
0.029240
|
0.144028
|
0.203016
|
0.8401
|
|
D(LBNBCC(-8))
|
-0.615956
|
0.142829
|
-4.312548
|
0.0001
|
|
D(LBNBCC(-9))
|
0.430058
|
0.136170
|
3.158253
|
0.0029
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.693985
|
Mean dependent var
|
-0.031418
|
|
Adjusted R-squared
|
0.631391
|
S.D. dependent var
|
0.615837
|
|
S.E. of regression
|
0.373894
|
Akaike info criterion
|
1.035886
|
|
Sum squared resid
|
6.151052
|
Schwarz criterion
|
1.404217
|
|
Log likelihood
|
-17.96893
|
Hannan-Quinn criter.
|
1.177937
|
|
Durbin-Watson stat
|
2.053745
|
|
|
|
LBNBCC en différence première avec tendance et
constance
|
Null Hypothesis: D(LBNBCC) has a unit root
|
|
|
Exogenous: None
|
|
|
|
Lag Length: 8 (Automatic - based on SIC, maxlag=10)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-2.348632
|
0.0195
|
|
Test critical values:
|
1% level
|
|
-2.608490
|
|
|
5% level
|
|
-1.946996
|
|
|
10% level
|
|
-1.612934
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(LBNBCC,2)
|
|
|
Method: Least Squares
|
|
|
|
Date: 09/17/19 Time: 02:21
|
|
|
|
Sample (adjusted): 2005Q3 2018Q4
|
|
|
Included observations: 54 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
D(LBNBCC(-1))
|
-0.573021
|
0.243981
|
-2.348632
|
0.0233
|
|
D(LBNBCC(-1),2)
|
0.260374
|
0.208728
|
1.247431
|
0.2187
|
|
D(LBNBCC(-2),2)
|
0.414989
|
0.205627
|
2.018160
|
0.0496
|
|
D(LBNBCC(-3),2)
|
0.455124
|
0.206955
|
2.199141
|
0.0330
|
|
D(LBNBCC(-4),2)
|
-0.648925
|
0.205470
|
-3.158245
|
0.0028
|
|
D(LBNBCC(-5),2)
|
0.095886
|
0.139867
|
0.685551
|
0.4965
|
|
D(LBNBCC(-6),2)
|
0.194367
|
0.139627
|
1.392043
|
0.1708
|
|
D(LBNBCC(-7),2)
|
0.214097
|
0.140790
|
1.520686
|
0.1353
|
|
D(LBNBCC(-8),2)
|
-0.415180
|
0.136122
|
-3.050046
|
0.0038
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.702631
|
Mean dependent var
|
-0.012906
|
|
Adjusted R-squared
|
0.649765
|
S.D. dependent var
|
0.634345
|
|
S.E. of regression
|
0.375409
|
Akaike info criterion
|
1.029411
|
|
Sum squared resid
|
6.341940
|
Schwarz criterion
|
1.360908
|
|
Log likelihood
|
-18.79410
|
Hannan-Quinn criter.
|
1.157257
|
|
Durbin-Watson stat
|
2.022600
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A.3 LCRED (niveau des crédits accordés
à l'économie)
LCRED à niveau avec constance sans tendance
|
Null Hypothesis: LCRED has a unit root
|
|
|
Exogenous: Constant
|
|
|
|
Lag Length: 8 (Automatic - based on SIC, maxlag=10)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-4.357775
|
0.0009
|
|
Test critical values:
|
1% level
|
|
-3.555023
|
|
|
5% level
|
|
-2.915522
|
|
|
10% level
|
|
-2.595565
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(LCRED)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 09/17/19 Time: 02:26
|
|
|
|
Sample (adjusted): 2005Q2 2018Q4
|
|
|
Included observations: 55 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
LCRED(-1)
|
-0.036544
|
0.008386
|
-4.357775
|
0.0001
|
|
D(LCRED(-1))
|
0.446521
|
0.128657
|
3.470638
|
0.0012
|
|
D(LCRED(-2))
|
0.199485
|
0.144189
|
1.383496
|
0.1733
|
|
D(LCRED(-3))
|
0.102486
|
0.145439
|
0.704666
|
0.4846
|
|
D(LCRED(-4))
|
-1.004966
|
0.137742
|
-7.295978
|
0.0000
|
|
D(LCRED(-5))
|
0.314475
|
0.138369
|
2.272720
|
0.0279
|
|
D(LCRED(-6))
|
0.139659
|
0.145536
|
0.959621
|
0.3424
|
|
D(LCRED(-7))
|
0.076717
|
0.144429
|
0.531178
|
0.5979
|
|
D(LCRED(-8))
|
-0.447108
|
0.129838
|
-3.443576
|
0.0013
|
|
C
|
0.594038
|
0.130801
|
4.541552
|
0.0000
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.732942
|
Mean dependent var
|
0.067449
|
|
Adjusted R-squared
|
0.679530
|
S.D. dependent var
|
0.079739
|
|
S.E. of regression
|
0.045140
|
Akaike info criterion
|
-3.195125
|
|
Sum squared resid
|
0.091693
|
Schwarz criterion
|
-2.830155
|
|
Log likelihood
|
97.86593
|
Hannan-Quinn criter.
|
-3.053988
|
|
F-statistic
|
13.72252
|
Durbin-Watson stat
|
1.841220
|
|
Prob(F-statistic)
|
0.000000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A.4 LRO (taux du coefficient de réserve
obligatoire)
LRO à niveau avec tendance et constance
|
Null Hypothesis: LRO has a unit root
|
|
|
Exogenous: Constant, Linear Trend
|
|
|
Lag Length: 9 (Automatic - based on SIC, maxlag=10)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-3.493347
|
0.0502
|
|
Test critical values:
|
1% level
|
|
-4.137279
|
|
|
5% level
|
|
-3.495295
|
|
|
10% level
|
|
-3.176618
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(LRO)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 09/17/19 Time: 02:27
|
|
|
|
Sample (adjusted): 2005Q3 2018Q4
|
|
|
Included observations: 54 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
LRO(-1)
|
-0.111596
|
0.031945
|
-3.493347
|
0.0011
|
|
D(LRO(-1))
|
0.662966
|
0.115537
|
5.738135
|
0.0000
|
|
D(LRO(-2))
|
0.169449
|
0.099603
|
1.701245
|
0.0963
|
|
D(LRO(-3))
|
0.116711
|
0.100497
|
1.161341
|
0.2521
|
|
D(LRO(-4))
|
-1.059319
|
0.102859
|
-10.29874
|
0.0000
|
|
D(LRO(-5))
|
0.758620
|
0.148938
|
5.093517
|
0.0000
|
|
D(LRO(-6))
|
0.094570
|
0.097681
|
0.968153
|
0.3385
|
|
D(LRO(-7))
|
0.061263
|
0.098127
|
0.624321
|
0.5358
|
|
D(LRO(-8))
|
-0.673348
|
0.102087
|
-6.595801
|
0.0000
|
|
D(LRO(-9))
|
0.495259
|
0.104962
|
4.718456
|
0.0000
|
|
C
|
0.135205
|
0.031029
|
4.357351
|
0.0001
|
|
@TREND("2003Q1")
|
0.002530
|
0.000961
|
2.631447
|
0.0118
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.850510
|
Mean dependent var
|
0.036746
|
|
Adjusted R-squared
|
0.811358
|
S.D. dependent var
|
0.074937
|
|
S.E. of regression
|
0.032547
|
Akaike info criterion
|
-3.819108
|
|
Sum squared resid
|
0.044492
|
Schwarz criterion
|
-3.377112
|
|
Log likelihood
|
115.1159
|
Hannan-Quinn criter.
|
-3.648648
|
|
F-statistic
|
21.72321
|
Durbin-Watson stat
|
2.251481
|
|
Prob(F-statistic)
|
0.000000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LRO en différence première sans tendance ni
constance
|
Null Hypothesis: D(LRO) has a unit root
|
|
|
Exogenous: None
|
|
|
|
Lag Length: 8 (Automatic - based on SIC, maxlag=10)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-1.017734
|
0.2740
|
|
Test critical values:
|
1% level
|
|
-2.608490
|
|
|
5% level
|
|
-1.946996
|
|
|
10% level
|
|
-1.612934
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(LRO,2)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 09/17/19 Time: 02:29
|
|
|
|
Sample (adjusted): 2005Q3 2018Q4
|
|
|
Included observations: 54 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
D(LRO(-1))
|
-0.126813
|
0.124603
|
-1.017734
|
0.3142
|
|
D(LRO(-1),2)
|
0.051206
|
0.128605
|
0.398163
|
0.6924
|
|
D(LRO(-2),2)
|
0.129846
|
0.127159
|
1.021135
|
0.3126
|
|
D(LRO(-3),2)
|
0.146242
|
0.127933
|
1.143115
|
0.2590
|
|
D(LRO(-4),2)
|
-1.026712
|
0.129354
|
-7.937200
|
0.0000
|
|
D(LRO(-5),2)
|
0.030763
|
0.101845
|
0.302051
|
0.7640
|
|
D(LRO(-6),2)
|
0.079529
|
0.101208
|
0.785804
|
0.4361
|
|
D(LRO(-7),2)
|
0.087908
|
0.102246
|
0.859767
|
0.3945
|
|
D(LRO(-8),2)
|
-0.659730
|
0.103499
|
-6.374284
|
0.0000
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.790180
|
Mean dependent var
|
-0.000154
|
|
Adjusted R-squared
|
0.752879
|
S.D. dependent var
|
0.076791
|
|
S.E. of regression
|
0.038174
|
Akaike info criterion
|
-3.542319
|
|
Sum squared resid
|
0.065576
|
Schwarz criterion
|
-3.210822
|
|
Log likelihood
|
104.6426
|
Hannan-Quinn criter.
|
-3.414474
|
|
Durbin-Watson stat
|
2.219603
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LRO en différence seconde sans tendance ni
constance
|
Null Hypothesis: D(LRO,2) has a unit root
|
|
|
Exogenous: None
|
|
|
|
Lag Length: 7 (Automatic - based on SIC, maxlag=10)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-6.768039
|
0.0000
|
|
Test critical values:
|
1% level
|
|
-2.608490
|
|
|
5% level
|
|
-1.946996
|
|
|
10% level
|
|
-1.612934
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(LRO,3)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 09/17/19 Time: 02:31
|
|
|
|
Sample (adjusted): 2005Q3 2018Q4
|
|
|
Included observations: 54 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
D(LRO(-1),2)
|
-2.665969
|
0.393906
|
-6.768039
|
0.0000
|
|
D(LRO(-1),3)
|
1.629761
|
0.364543
|
4.470693
|
0.0001
|
|
D(LRO(-2),3)
|
1.672494
|
0.319914
|
5.227955
|
0.0000
|
|
D(LRO(-3),3)
|
1.730753
|
0.266811
|
6.486807
|
0.0000
|
|
D(LRO(-4),3)
|
0.614808
|
0.216756
|
2.836413
|
0.0068
|
|
D(LRO(-5),3)
|
0.607945
|
0.190346
|
3.193890
|
0.0025
|
|
D(LRO(-6),3)
|
0.649365
|
0.150760
|
4.307267
|
0.0001
|
|
D(LRO(-7),3)
|
0.698734
|
0.096179
|
7.264933
|
0.0000
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.917909
|
Mean dependent var
|
-0.002715
|
|
Adjusted R-squared
|
0.905417
|
S.D. dependent var
|
0.124173
|
|
S.E. of regression
|
0.038189
|
Akaike info criterion
|
-3.556600
|
|
Sum squared resid
|
0.067085
|
Schwarz criterion
|
-3.261936
|
|
Log likelihood
|
104.0282
|
Hannan-Quinn criter.
|
-3.442959
|
|
Durbin-Watson stat
|
2.259729
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A.5 LTXDIR (taux directeur)
LTXDIR à niveau sans tendance ni constance
|
Null Hypothesis: LTXDIR has a unit root
|
|
|
Exogenous: None
|
|
|
|
Lag Length: 5 (Automatic - based on SIC, maxlag=10)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-1.012808
|
0.2762
|
|
Test critical values:
|
1% level
|
|
-2.605442
|
|
|
5% level
|
|
-1.946549
|
|
|
10% level
|
|
-1.613181
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(LTXDIR)
|
|
|
|
Method: Least Squares
|
|
|
|
Date: 09/17/19 Time: 02:33
|
|
|
|
Sample (adjusted): 2004Q3 2018Q4
|
|
|
Included observations: 58 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
LTXDIR(-1)
|
-0.008530
|
0.008422
|
-1.012808
|
0.3158
|
|
D(LTXDIR(-1))
|
0.705277
|
0.128163
|
5.502965
|
0.0000
|
|
D(LTXDIR(-2))
|
0.176527
|
0.138348
|
1.275965
|
0.2076
|
|
D(LTXDIR(-3))
|
0.052633
|
0.140325
|
0.375079
|
0.7091
|
|
D(LTXDIR(-4))
|
-0.587642
|
0.138541
|
-4.241661
|
0.0001
|
|
D(LTXDIR(-5))
|
0.389492
|
0.129765
|
3.001521
|
0.0041
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.591583
|
Mean dependent var
|
-0.006143
|
|
Adjusted R-squared
|
0.552313
|
S.D. dependent var
|
0.257431
|
|
S.E. of regression
|
0.172245
|
Akaike info criterion
|
-0.582097
|
|
Sum squared resid
|
1.542759
|
Schwarz criterion
|
-0.368948
|
|
Log likelihood
|
22.88081
|
Hannan-Quinn criter.
|
-0.499071
|
|
Durbin-Watson stat
|
2.010728
|
|
|
|
|
|
|
|
|
LTXDIR en différence sans tendance ni constance
|
Null Hypothesis: D(LTXDIR) has a unit root
|
|
|
Exogenous: None
|
|
|
|
Lag Length: 4 (Automatic - based on SIC, maxlag=10)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
t-Statistic
|
Prob.*
|
|
|
|
|
|
|
|
|
|
|
|
Augmented Dickey-Fuller test statistic
|
-2.259952
|
0.0242
|
|
Test critical values:
|
1% level
|
|
-2.605442
|
|
|
5% level
|
|
-1.946549
|
|
|
10% level
|
|
-1.613181
|
|
|
|
|
|
|
|
|
|
|
|
|
*MacKinnon (1996) one-sided p-values.
|
|
|
Augmented Dickey-Fuller Test Equation
|
|
|
Dependent Variable: D(LTXDIR,2)
|
|
|
Method: Least Squares
|
|
|
|
Date: 09/17/19 Time: 02:35
|
|
|
|
Sample (adjusted): 2004Q3 2018Q4
|
|
|
Included observations: 58 after adjustments
|
|
|
|
|
|
|
|
|
|
|
|
|
Variable
|
Coefficient
|
Std. Error
|
t-Statistic
|
Prob.
|
|
|
|
|
|
|
|
|
|
|
|
D(LTXDIR(-1))
|
-0.293286
|
0.129775
|
-2.259952
|
0.0280
|
|
D(LTXDIR(-1),2)
|
-0.000615
|
0.132686
|
-0.004634
|
0.9963
|
|
D(LTXDIR(-2),2)
|
0.174680
|
0.132134
|
1.321988
|
0.1918
|
|
D(LTXDIR(-3),2)
|
0.221553
|
0.132890
|
1.667198
|
0.1014
|
|
D(LTXDIR(-4),2)
|
-0.376137
|
0.129124
|
-2.912978
|
0.0052
|
|
|
|
|
|
|
|
|
|
|
|
R-squared
|
0.400110
|
Mean dependent var
|
-0.008671
|
|
Adjusted R-squared
|
0.354835
|
S.D. dependent var
|
0.214495
|
|
S.E. of regression
|
0.172287
|
Akaike info criterion
|
-0.597045
|
|
Sum squared resid
|
1.573193
|
Schwarz criterion
|
-0.419421
|
|
Log likelihood
|
22.31431
|
Hannan-Quinn criter.
|
-0.527857
|
|
Durbin-Watson stat
|
1.989906
|
|
|
|
|
|
|
|
|
|
|
|
|
|
B. Autres Variables
|
Années
|
PIB en millions de CDF (taux de constants 2010)
|
taux de change
|
Balance Commerciale (en Millions d'USD)
|
Masse monétaire (en Millions de CDF
|
Crédits accordés aux entreprises et
ménages (en millions de CDF)
|
Taux directeur
|
taux Bons BCC (annuel) à 7 jours
|
Coefficient de réserve obligatoire Dépôt
en ME
|
Coefficient de réserve obligatoire Dépôt en
MN
|
|
2000
|
12 374 634,88
|
21,82
|
571
|
23558
|
2 656
|
-
|
-
|
-
|
-
|
|
2001
|
12 114 746,14
|
206,62
|
613
|
77144
|
14 744
|
-
|
-
|
-
|
-
|
|
2002
|
12 471 860,41
|
346,48
|
721,9
|
98833
|
17 369
|
-
|
-
|
-
|
-
|
|
2003
|
13 167 518,62
|
405
|
917,8
|
130 119
|
39 026
|
8
|
4
|
2
|
2
|
|
2004
|
14 054 795,26
|
398,3
|
-92,6
|
222 227
|
73 794
|
14
|
11
|
2
|
2
|
|
2005
|
14 917 078,19
|
473,8
|
-201,2
|
277 111
|
113 863
|
28,80
|
24,75
|
2
|
2
|
|
2006
|
15 710 812,88
|
468
|
-675,6
|
436 922
|
183 469
|
40,00
|
41
|
4
|
4
|
|
2007
|
16 694 227,71
|
516,7
|
-350
|
658 834
|
278 438
|
25,50
|
15,5
|
4
|
4
|
|
2008
|
17 733 592,68
|
561,1
|
144
|
1 041 377
|
598 484
|
40
|
33,16
|
5
|
5
|
|
2009
|
18 239 898,10
|
806,5
|
-578
|
1 543 536
|
546 700
|
70
|
68,27
|
7
|
7
|
|
2010
|
19 536 385,79
|
905,9
|
435,4
|
2 009 609
|
815 367
|
22
|
18,16
|
7
|
7
|
|
2011
|
20 879 448,01
|
919,4
|
556,3
|
2 443 614
|
1 217 875
|
20
|
15,24
|
7
|
7
|
|
2012
|
22 359 153,40
|
919,4
|
66,1
|
2 952 900
|
1 661 610
|
4
|
0,2
|
7
|
7
|
|
2013
|
24 255 647,09
|
919,7
|
804,5
|
3 493 216
|
2 093 524
|
2
|
1,72
|
8
|
7
|
|
2014
|
26 552 726,75
|
925,2
|
-385,1
|
3 965 647
|
2 240 450
|
2
|
1,82
|
8
|
0
|
|
2015
|
28 389 163,20
|
926
|
-289,8
|
4 355 824
|
2 326 986
|
2
|
0,47
|
8
|
0
|
|
2016
|
29 070 326,85
|
1 010,30
|
-263,3
|
5 337 764
|
3 511 916
|
7
|
4,22
|
12
|
2
|
|
2017
|
30 153 762,71
|
1 465,90
|
208,2
|
7 609 896
|
3 925 185
|
20
|
15,13
|
12
|
2
|
|
2018
|
31 889 996,09
|
1622,52
|
208,3
|
9 489 071
|
-
|
14,00
|
8,09
|
13
|
2
|
|
MN = Monnaie Nationale, ME = Monnaie étrangère
|
|
Source: BCC et Banque mondiale
|
C. Evolution des taux d'intérêt
|
Rubriques
|
2003
|
2004
|
2005
|
2006
|
2007
|
2008
|
2009
|
2010
|
2011
|
2012
|
2013
|
2014
|
2015
|
2016
|
2017
|
|
TAUX DÉBITEUR BCC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banque centrale - Taux directeur
|
8,00
|
14,00
|
28,80
|
40,00
|
22,50
|
40,00
|
70,00
|
22,00
|
20,00
|
4,00
|
2,00
|
2,00
|
2,00
|
7,00
|
20,00
|
|
Banque centrale - Facilités permanentes
|
13,00
|
19,00
|
31,25
|
42,50
|
25,00
|
42,50
|
72,50
|
24,50
|
22,50
|
5,25
|
3,00
|
3,00
|
3,00
|
10,50
|
21,00
|
|
TAUX CRÉDITEUR BCC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Taux annuel des Bons BCC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
à 7 jours
|
4,00
|
11,00
|
24,75
|
41,00
|
15,50
|
33,16
|
68,27
|
18,16
|
15,24
|
0,20
|
1,72
|
1,82
|
0,47
|
4,22
|
15,13
|
|
à 14 jours
|
6,00
|
13,00
|
26,75
|
43,00
|
17,50
|
0,00
|
0,00
|
0,00
|
0,00
|
0,00
|
0,00
|
0,00
|
0,00
|
0,00
|
0,00
|
|
à 28 jours
|
8,00
|
14,00
|
28,75
|
45,00
|
19,50
|
25,50
|
65,00
|
19,10
|
17,32
|
2,13
|
1,63
|
1,58
|
0,51
|
0,00
|
20,00
|
|
à 84 jours
|
|
|
|
|
|
0,00
|
0,00
|
0,00
|
0,00
|
0,00
|
0,00
|
1,72
|
0,38
|
0,00
|
0,00
|
|
TAUX SUR LE MARCHÉ INTERBANCAIRE
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Taux moyen
|
|
|
|
|
|
|
|
|
|
5,22
|
1,88
|
1,61
|
1,69
|
2,59
|
15,17
|
|
Taux moyen pondéré
|
|
|
|
|
|
|
|
|
|
4,91
|
1,94
|
1,59
|
1,73
|
2,64
|
14,34
|
|
TAUX D'INTÉRÊT DÉBITEUR
BANQUES
COMMERCIALES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banques commerciales - Taux crédits - MN
|
38,00
|
28,00
|
32,00
|
44,40
|
41,30
|
44,38
|
69,77
|
44,69
|
40,61
|
22,51
|
19,18
|
20,13
|
19,04
|
15,73
|
21,47
|
|
Banques commerciales - Taux crédits - ME
|
-
|
-
|
-
|
-
|
-
|
0,00
|
16,98
|
18,90
|
19,22
|
15,93
|
14,84
|
14,77
|
14,23
|
14,53
|
15,57
|
|
AUX D'INTÉRÊT CRÉDITEUR
BANQUES
COMMERCIALES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banques commerciales - Taux dépôts - MN
|
18,00
|
13,00
|
22,00
|
22,40
|
15,00
|
15,00
|
19,03
|
11,57
|
14,58
|
6,10
|
3,87
|
4,93
|
3,29
|
1,39
|
4,13
|
|
Banques commerciales - Taux dépôts - ME
|
|
|
|
|
|
|
3,55
|
2,87
|
3,30
|
3,35
|
3,19
|
3,47
|
3,18
|
3,15
|
3,64
|
|
DIFFÉRENCE ENTRE TAUX DÉBITEUR
ET
CRÉDITEUR EN MN
|
|
|
|
|
|
29,38
|
50,74
|
33,12
|
26,03
|
16,41
|
15,31
|
15,20
|
15,75
|
14,80
|
17,34
|
|
COEFFICIENT DE RÉSERVES OBLIGATOIRES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dépôts à vue MN
|
2,00
|
2,00
|
2,00
|
4,00
|
4,00
|
5,00
|
7,00
|
7,00
|
7,00
|
7,00
|
7,00
|
5,00
|
2,00
|
0,00
|
0,00
|
|
Dépôts à terme en MN
|
2,00
|
2,00
|
2,00
|
4,00
|
4,00
|
5,00
|
7,00
|
7,00
|
7,00
|
7,00
|
7,00
|
0,00
|
0,00
|
2,00
|
2,00
|
|
Dépôts à vue en ME
|
2,00
|
2,00
|
2,00
|
4,00
|
4,00
|
5,00
|
7,00
|
7,00
|
7,00
|
7,00
|
8,00
|
8,00
|
8,00
|
12,00
|
12,00
|
|
Dépôts à terme ME
|
2,00
|
2,00
|
2,00
|
4,00
|
4,00
|
5,00
|
7,00
|
7,00
|
7,00
|
7,00
|
7,00
|
7,00
|
7,00
|
13,00
|
13,00
|
|
Source: Banque centrale du Congo
|
|
|
