Estimation of the Equilibrium Interest Rate: Case of CFA zone

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Munich Personal RePEc Archive

Estimation of the Equilibrium Interest

Rate: Case of CFA zone

Dramani, Latif and Laye, Oumy

University Cheikh Anta Diop of Dakar

18 June 2007

Online at

https://mpra.ub.uni-muenchen.de/3610/

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Table 1 : functions of reactions in the franc zone; evaluation by the iterative least squares

Coef Prob R2

α <=45 <=<<

β !<=</ <=<<

γ /=56 <=<.

C0 <=/ <=/ <=/ <=/ <=/5<=/5<=/5<=/5

δ <=<< <=54 <=4<

α !<=// <= 4

β <=<< <=4

γ <=0. <=.)

δ <=<< <=.5

C0 <=<0<=<0<=<0<=<0 <=6)<=6)<=6)<=6)

<=<0

α <=4< <=<<

β <=<< <=<

γ !<=60 <=

C0 <=0<<=0<<=0<<=0< <<<<=<2=<2=<2=<2

δ <=<< <=4/

<=2.

α <=2. <=<<

β !<=</ <=<<

γ !<=0< <=./

C0 <=02<=02<=02<=02 <=< <=< <=< <=<

%/

δ <=<< <=4/

<=2

α <=40 <=<<

β !<=</ <=<<

γ <=2 <=<5

C0 <=/.<=/.<=/.<=/. <=<4<=<4<=<4<=<4

δ <=<< <=06

<=24

α <=40 <=<<

β !<=</ <=<<

γ <=56 <=66

C0 <=/.<=/.<=/.<=/. <=/<<=/<<=/<<=/<

δ <=<< <=.)

<=24

α <=4/ <=<<

β <=<< <=)4

γ <=// <=2/

C0 <=/2<=/2<=/2<=/2 <=<4<=<4<=<4<=<4

%

0

δ <=<< <=56

<=2.

Coef Prob R2

α <=22 <=<<

β <=<< <=2.

γ !<=0 <=)4

C0 <=06<=06<=06<=06 <=<6<=<6<=<6<=<6

δ <=<< <=2/

<=2)

α <=4< <=<<

β !<=</ <=<6

γ <=0 <=6/

δ <=00<=00<=00<=00 <=<2<=<2<=<2<=<2

0

C0 <=<< <=2

<=22

α <=24 <=<<

β <=<< <=0<

γ <=<4 <=2/

C0 <=0<=0<=0<=0 <=<)<=<)<=<)<=<)

%

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<=22

α <=4/ <=<<

β <=<< <=6)

γ !<=6) <=<2

C0 <=0<<=0<<=0<<=0< <=//<=//<=//<=//

0

δ <=<< <=0<

<=2.

α <=4< <=<<

β <=<< <=)4

γ <=/6 <=2/

C0 <=00<=00<=00<=00 <=<4<=<4<=<4<=<4

δ <=<< <=56

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[image:16.595.182.429.118.529.2]

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Table 2 : estimation on the panel data

Parameter Coef Prob R2 ZONE

S.U.R METHOD

Α 0,896 0,00

Β 0,000 0,00

Γ 0,005 0,03

C0 0,197 0,00

_ _ 0,86 S.U.R METHOD

Α 0,92 0,00

Β 0,00 0,08

Γ 0,01 0,08

0,00 0,01

C

F

A

C0 0,15 0,00

0,85 UEMOA ZONE METHOD

α _{0,76899 0.0000} β

0,000061 0.0225

γ _{0,01000 0.1061} δ _{-0,00005 0.0001}

U

E

M

O

A

C0 _{0,470817 0.0105}

0.97 CEMAC ZONE METHOD

α _0.909586 _0.0000 β _0.000101 _0.2468 γ _0.042200 _0.0001 δ

-1.70E-06 0.9841

C

E

M

A

C

C0 _0.188587 _0.0000

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Table 3 : Estimation by the Kalman filter in UEMOA zone

1 %

/'2 '$ & % $ & 3 4

Coefficient Prob

α 0,94 0,00

β -0,01 0,00

γ 1,32 0,09

δ 0,00 0,40

C0 0,13 0,16

Log likelihood -30,72

Akaike info criterion 1,59

BEN

α -0,343 0,285

β 0,003 0,717

γ 0,111 0,923

δ 0,003 0,575

C0 0,035 0,385

BFA

α 0,902 0,000

β _-0,004 _0,050

γ _-0,517 _0,470

δ _0,000 _0,918

C0 0,200 0,098

CIV

α _0,851 _0,000

β _-0,011 _0,008

γ _-0,204 _0,729

δ _-0,001 _0,805

C0 0,316 0,049

MLI

α _0,92 _0,00

β _-0,01 _0,00

γ _0,84 _0,04

δ _0,00 _0,28

C0 0,17 0,12

NER

α _0,915 _0,000

β _-0,012 _0,002

γ _0,353 _0,575

δ _0,001 _0,774

C0 0,174 0,123

SEN

α _0,910 _0,000

β _-0,001 _0,714

γ _0,114 _0,821

δ _0,002 _0,379

C0 0,181 0,118

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[image:18.595.150.461.93.598.2]

. Table 4 : Estimation by the Kalman filter in CEMAC zone

% 1

/'2 '$ & % $ &3 4

Coefficient Prob

α _0,88 0,00

β _0,00 _0,88

δ _-0,24 _0,71

γ _0,00 _0,82

C0 0,25 0,08

CAF

α _0,90 _0,00

β _-0,01 0,08

δ _0,24 _0,55

γ _0,00 _0,85

C0 0,22 0,10

CMR

α _0,91 _0,00

β _0,00 _0,60

δ _-0,56 _0,11

γ _0,00 _0,24

C0 0,20 0,14

GAB

α _0,887 0,000

β _0,001 0,242

δ _0,091 0,823

γ _0,000 _0,768

C0 0,239 0,080

COG

α _0,90 _0,00

β _0,00 _0,14

δ _0,15 _0,57

γ _0,00 0,38

C0 0,22 0,09

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Tableau 5 : Estimation of the neutral interest rate

(Interest rate average – Inflation rate average)

Country TXINT Average Inflation Average Neutral Rate % % 1

BEN 6,83 5,38 1,45

BFA 6,83 4,54 2,29

CIV 6,83 6,29 0,54

MLI 7,17 7,53 -0,37

NER 6,80 5,12 1,69

SEN 6,83 4,98 1,85

TGO 6,83 5,07 1,76

Average 6,87 5,56 1,31

% 1

CAF 7,55 6,93 0,62

CMR 7,54 6,13 1,41

COG 7,55 6,96 0,59

GAB 7,55 7,86 -0,31

TCD 7,58 5,38 2,20

Average 7,55 6,65 0,90

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(Interest rate average – Inflation rate average)

Country TXINT Average Inflation Average Neutral Rate % % 1

BEN 6,83 5,38 1,45

BFA 6,83 4,54 2,29

CIV 6,83 6,29 0,54

MLI 7,17 7,53 -0,37

NER 6,80 5,12 1,69

SEN 6,83 4,98 1,85

TGO 6,83 5,07 1,76

Average 6,87 5,56 1,31

% 1

CAF 7,55 6,93 0,62

CMR 7,54 6,13 1,41

COG 7,55 6,96 0,59

GAB 7,55 7,86 -0,31

TCD 7,58 5,38 2,20

(24)

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