EFFET D'UN CHOC BUDGÉTAIRE SUR LES VARIABLES MACROÉCONOMIQUE : APPROCHE ÉCONOMÉTRIQUE PAR UTILISATION DES MODÈLES VECM APPLIQUÉE AU CAS DE L’ALGÉRIE

Abstract

Since 2001, Algeria undertakes a budgetary policy which is rather expansionist resulting from the launch of the economic revial plan (PSRE) (2001­2004). Later on this plan was reinforced by a consolidation plan (PCSC) (2005­2009).
Within this framework, this paper presents an empirical analysis of the impact of a budgetary shock on the macroeconomic variables using an econometric approach, i.e. VECM (Vector Error Correction Model), applied to the data of Algeria.
The estimates are carried out using annual data covering the period from 1970 to 2003. Our VECM is constructed with four variables : the public expenditure, imports, GDP and the rate of inflation. Using this model we will first carry out an analysis of the causality and then continue the work using two tools: Forecast Error Variance Decomposition and Impulse Response Analysis.