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Identification des fonctions de réaction de la Banque Centrale

( Télécharger le fichier original )
par Roi Carlos ETINZOH EKAMBA
Université de Douala - Diplôme d'études approfondies 2011
  

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CHAPITRE 3 : ESTIMATION DE LA REGLE DE MCCALLUM POUR LA BEAC

AVEC M1
PERIODE 1993 :1 A 2008 :4

Dependent Variable : LNM11

Method : Least Squares

Date : 10/05/10 Time : 09 :19

Sample(adjusted) : 1993 :2 2008 :4

Included observations: 63 after adjusting endpoints LNM11=LNPIBP1-LNVT1+C(1)*(LNPIBPU-LNPIBU)

 

Coefficient

Std. Error t-Statistic

Prob.

C(1)

0.121743

0.060020 2.028367

0.0468

R-squared

0.728846

Mean dependent var

0.029133

Adjusted R-squared

0.728846

S.D. dependent var

0.047238

S.E. of regression

0.024598

Akaike info criterion

-4.556552

Sum squared resid

0.037514

Schwarz criterion

-4.522534

Log likelihood

144.5314

Durbin-Watson stat

1.005243

PERIODE 1999 :1 A 2008 :4

Dependent Variable: LNM11 Method: Least Squares

Date: 10/05/10 Time: 09:25 Sample(adjusted): 1999:2 2008:4

Included observations: 39 after adjusting endpoints LNM11=LNPIBP1-LNVT1+C(1)*(LNPIBPU-LNPIBU)

 

Coefficient

Std. Error t-Statistic

Prob.

C(1)

0.189647

0.091792 2.066042

0.0457

R-squared

0.545202

Mean dependent var

0.033321

Adjusted R-squared

0.545202

S.D. dependent var

0.045761

S.E. of regression

0.030861

Akaike info criterion

-4.093366

Sum squared resid

0.036190

Schwarz criterion

-4.050711

Log likelihood

80.82064

Durbin-Watson stat

0.965351

AVEC M2
PERIODE 1993 :1 A 2008 :4

Dependent Variable: LNM21 Method: Least Squares

Date: 10/05/10 Time: 09:49 Sample(adjusted): 1993:2 2008:4

Included observations: 63 after adjusting endpoints LNM21=LNPIBP1-LNVTM21+C(1)*(LNPIBPU-LNPIBU)

 

Coefficient

Std. Error t-Statistic

Prob.

C(1)

0.121743

0.060020 2.028367

0.0468

R-squared

0.410124

Mean dependent var

0.026029

Adjusted R-squared

0.410124

S.D. dependent var

0.032027

S.E. of regression

0.024598

Akaike info criterion

-4.556552

Sum squared resid

0.037514

Schwarz criterion

-4.522534

Log likelihood

144.5314

Durbin-Watson stat

1.005243

PERIODE 1999 :1 A 2008 :4

Dependent Variable: LNM21 Method: Least Squares

Date: 10/05/10 Time: 09:50 Sample(adjusted): 1999:2 2008:4

Included observations: 39 after adjusting endpoints LNM21=LNPIBP1-LNVTM21+C(1)*(LNPIBPU-LNPIBU)

 

Coefficient

Std. Error t-Statistic

Prob.

C(1)

0.189647

0.091792 2.066042

0.0457

R-squared

-0.308356

Mean dependent var

0.031571

Adjusted R-squared

-0.308356

S.D. dependent var

0.026980

S.E. of regression

0.030861

Akaike info criterion

-4.093366

Sum squared resid

0.036190

Schwarz criterion

-4.050711

Log likelihood

80.82064

Durbin-Watson stat

0.965351

CHAPITRE 4 : ESTIMATION DE LA REGLE MONETAIRE DE LA BEAC

PERIODE 1993 :1-2008 :4

Modèle forward looking Long terme

Dependent Variable: TIAO

Method: Least Squares

Date: 10/14/10 Time: 13:33

Sample(adjusted): 1993:2 2008:4

Included observations: 63 after adjusting endpoints TIAO=C(1)+C(2)*OPG(-1)+C(3)*EICEMAC(-1)

 

Coefficient

Std. Error t-Statistic

Prob.

C(1)

C(2)

C(3)

7.097518
0.000302
0.095194

0.226084 31.39322

0.035327 0.008559

0.084471 1.126946

0.0000
0.9932
0.2643

R-squared

0.020885

Mean dependent var

6.937032

Adjusted R-squared

-0.011752

S.D. dependent var

1.386601

S.E. of regression

1.394725

Akaike info criterion

3.549719

Sum squared resid

116.7154

Schwarz criterion

3.651773

Log likelihood

-108.8162

F-statistic

0.639912

Durbin-Watson stat

0.123738

Prob(F-statistic)

0.530900

Sample(adjusted): 1993:3 2008:4

Included observations: 62 after adjusting endpoints TIAO1=C(1)*OPGU1+C(2)*EICEMACU1+C(3)*EFL(-1)

 

Coefficient

Std. Error t-Statistic

Prob.

C(1)

C(2)

C(3)

0.004748 -0.075392 -0.118627

0.021664 0.219159

0.051167 -1.473446

0.039695 -2.988424

0.8273
0.1459
0.0041

R-squared

0.136418

Mean dependent var

-0.092742

Adjusted R-squared

0.107144

S.D. dependent var

0.445121

S.E. of regression

0.420599

Akaike info criterion

1.152905

Sum squared resid

10.43732

Schwarz criterion

1.255830

Log likelihood

-32.74004

F-statistic

4.660052

Durbin-Watson stat

2.317387

Prob(F-statistic)

0.013212

Modèle forward looking plus M1, DIFFINF et DIFFTAUX avec tiao retardé d'une période

Long terme

Dependent Variable: TIAO

Method: Least Squares

Date: 10/14/10 Time: 18:28

Sample(adjusted): 1993:2 2008:4

Included observations: 63 after adjusting endpoints TIAO=C(1)+C(2)*OPG(-1)+C(3)*EICEMAC(-1)+C(4)*LNM1+C(5) *DIFFINF+C(6)*DIFFTAUX+C(7)*TIAOU

 

Coefficient

Std. Error t-Statistic

Prob.

C(1)

0.159047

5.285374 0.030092

0.9761

C(2)

-0.005585

0.007465 -0.748146

0.4575

C(3)

0.291754

0.048573 6.006533

0.0000

C(4)

0.036422

0.323722 0.112509

0.9108

C(5)

-0.287583

0.039184 -7.339383

0.0000

C(6)

0.079155

0.059872 1.322065

0.1915

C(7)

0.964222

0.092510 10.42292

0.0000

 

R-squared

0.960315

Mean dependent var

6.937032

Adjusted R-squared

0.956063

S.D. dependent var

1.386601

S.E. of regression

0.290647

Akaike info criterion

0.471027

Sum squared resid

4.730648

Schwarz criterion

0.709153

Log likelihood

-7.837342

F-statistic

225.8523

Durbin-Watson stat

2.222102

Prob(F-statistic)

0.000000

Sample(adjusted): 1993:3 2008:4

Included observations: 62 after adjusting endpoints TIAO1=C(1)*OPGU1+C(2)*EICEMACU1+C(3)*LNM11+C(4)*DIFFINF1 +C(5)*DIFFTAUX1+C(6)*TIAOU1+C(7)*ETIAOU(-1)

 

Coefficient

Std. Error t-Statistic

Prob.

C(1)

0.000567

0.011921 0.047595

0.9622

C(2)

0.324810

0.079256 4.098226

0.0001

C(3)

-0.220295

0.605114 -0.364055

0.7172

C(4)

-0.217330

0.031278 -6.948324

0.0000

C(5)

0.387076

0.061011 6.344356

0.0000

C(6)

0.991327

0.229151 4.326094

0.0001

C(7)

-1.066204

0.229070 -4.654480

0.0000

 

R-squared

0.770536

Mean dependent var

-0.092742

Adjusted R-squared

0.745504

S.D. dependent var

0.445121

S.E. of regression

0.224553

Akaike info criterion

-0.043408

Sum squared resid

2.773314

Schwarz criterion

0.196753

Log likelihood

8.345642

F-statistic

30.78159

Durbin-Watson stat

1.601871

Prob(F-statistic)

0.000000

PERIODE 1999 :1-2008 :4

Modèle forward looking Long terme

Dependent Variable: TIAO

Method: Least Squares

Date: 10/14/10 Time: 14:50

Sample(adjusted): 1999:2 2008:4

Included observations: 39 after adjusting endpoints TIAO=C(1)+C(2)*OPG(-1)+C(3)*EICEMAC(-1)

 

Coefficient

Std. Error t-Statistic

Prob.

C(1)

C(2)

C(3)

4.111738 0.013058 -0.862163

0.622300 6.607321

0.022083 0.591305

0.261946 -3.291378

0.0000
0.5580
0.0022

R-squared

0.237285

Mean dependent var

6.129487

Adjusted R-squared

0.194911

S.D. dependent var

0.758923

S.E. of regression

0.680957

Akaike info criterion

2.143168

Sum squared resid

16.69328

Schwarz criterion

2.271134

Log likelihood

-38.79177

F-statistic

5.599890

Durbin-Watson stat

0.103280

Prob(F-statistic)

0.007630

TEST SUR LE RESIDU EXTRAIT DE L'ESTIMATION DE LONG TERME

ADF Test Statistic -2.381143 1% Critical Value* -4.2165

5% Critical Value -3.5312

10% Critical Value -3.1968

*MacKinnon critical values for rejection of hypothesis of a unit root.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(EFL) Method: Least Squares

Date: 10/14/10 Time: 14:56 Sample(adjusted): 1999:3 2008:4

Included observations: 38 after adjusting endpoints

Variable Coefficient Std. Error t-Statistic Prob.

EFL(-1) -0.244774 0.102797 -2.381143 0.0230

D(EFL(-1)) 0.436315 0.136084 3.206215 0.0029

C 0.180426 0.128990 1.398757 0.1709

@TREND(1999:1) -0.009979 0.006101 -1.635577 0.1112

R-squared 0.273994 Mean dependent var -0.023948

Adjusted R-squared 0.209935 S.D. dependent var 0.214495

S.E. of regression 0.190655 Akaike info criterion -0.377403

Sum squared resid 1.235876 Schwarz criterion -0.205025

Log likelihood 11.17065 F-statistic 4.277188

Durbin-Watson stat 1.905044 Prob(F-statistic) 0.011508

Le résidu n'est pas stationnaire

Modèle forward looking plus M1, DIFFINF et DIFFTAUX avec tiao retardé d'une période

Long terme

Dependent Variable: TIAO

Method: Least Squares

Date: 10/14/10 Time: 18:29

Sample(adjusted): 1999:2 2008:4

Included observations: 39 after adjusting endpoints TIAO=C(1)+C(2)*OPG(-1)+C(3)*EICEMAC(-1)+C(4)*LNM1+C(5) *DIFFINF+C(6)*DIFFTAUX+C(7)*TIAOU

 

Coefficient

Std. Error t-Statistic

Prob.

C(1)

3.369003

4.254336 0.791899

0.4343

C(2)

0.002595

0.005402 0.480261

0.6343

C(3)

-0.035971

0.100639 -0.357425

0.7231

C(4)

-0.196198

0.250647 -0.782769

0.4395

C(5)

-0.015948

0.056567 -0.281941

0.7798

C(6)

-0.017761

0.037595 -0.472432

0.6398

C(7)

0.902896

0.096358 9.370171

0.0000

 

R-squared

0.968924

Mean dependent var

6.129487

Adjusted R-squared

0.963097

S.D. dependent var

0.758923

S.E. of regression

0.145791

Akaike info criterion

-0.852140

Sum squared resid

0.680159

Schwarz criterion

-0.553552

Log likelihood

23.61672

F-statistic

166.2866

Durbin-Watson stat

1.256327

Prob(F-statistic)

0.000000

Sample(adjusted): 1999:3 2008:4

Included observations: 38 after adjusting endpoints TIAO1=C(1)*OPGU1+C(2)*EICEMACU1+C(3)*LNM11+C(4)*DIFFINF1 +C(5)*DIFFTAUX1+C(6)*TIAOU1+C(7)*ETIAOU(-1)

 

Coefficient

Std. Error t-Statistic

Prob.

C(1)

0.006054

0.006903 0.877125

0.3872

C(2)

-0.030716

0.095470 -0.321740

0.7498

C(3)

0.296590

0.393101 0.754489

0.4562

C(4)

0.002924

0.030111 0.097096

0.9233

C(5)

-0.000811

0.070805 -0.011452

0.9909

C(6)

1.499426

0.434246 3.452940

0.0016

C(7)

-1.362806

0.441539 -3.086493

0.0042

 

R-squared

0.189256

Mean dependent var

-0.056579

Adjusted R-squared

0.032338

S.D. dependent var

0.119466

S.E. of regression

0.117518

Akaike info criterion

-1.279623

Sum squared resid

0.428127

Schwarz criterion

-0.977962

Log likelihood

31.31283

F-statistic

1.206082

Durbin-Watson stat

2.057604

Prob(F-statistic)

0.329469

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