Description
Résumé: La présente étude débute par une brève analyse de l'évolution des fonds mutuels au Canada au cours des deux dernières décennies. Elle enchaîne avec une étude économétrique de la fonction de demande, ou l'hypothèse de co- in tégrat ion de la- relation "désirée" de long terme est examinée à partir du modèle de correction des erreurs (MCE). Le modèle MCE est estimé en une étape, ainsi qu'en deux étapes selon la stratégie proposée par Engle et Granger. Les résultats du modèle MCE sont comparés a ceux d'un modèle d'ajustement partiel plus traditionnel. Le modèle MCE suggère un processus d'ajustement vers l'équilibre plus flexible et plus rapide que le modèle d'ajustement partiel. Selon nos résultats, plus du quart de l'augmentation de la valeur nette des fonds mutuels depuis 1985 s'explique par la hausse de 1 a valeur des titres en portefeuille. Les autres facteurs importants qui ont influencé la demande sont le patrimoine, le taux de rendement propre et l'exonération des gains en capital annoncée en mai 1985 par le gouvernement fédéral. En dépit des fortes possibilités de substitution avec certains instruments de dépôt, les changements de taux d'intérêt depuis la fin de 1984 n'ont pas été assez prononcés pour affecter de façon significative la demande de fonds mutuels.
Abstract: This paper first provides a brief analysis of the growth of mutual funds in Canada over the last twenty years. It then makes an econometric assessment of the demand function in which the assumption of co in tegrat ion of the long-term "desired" relationship is tested using the error correction model (ECM) . The ECM is estimated in one step and, following the strategy put forward by Engle and Granger , in two steps. The ECM estimation results are compared to those of a more traditional partial adjustment model. They suggest an adjustment process to equilibrium that is more flexible and faster than that indicated by the partial adjustment model. The results indicate that more than one quarter of the growth of mutual funds since 1985 was due to the rise in the value of the portfolios. The most important other factors that influenced demand were wealth, the net rate of return and the tax exemption for capital gains introduced by the federal government in 1985. Despite the fact that mutual funds may be close substitutes for some deposit instruments, interest rate changes since late 19 84 have not been large enough to affect significantly the demand for such funds.
Abstract: This paper first provides a brief analysis of the growth of mutual funds in Canada over the last twenty years. It then makes an econometric assessment of the demand function in which the assumption of co in tegrat ion of the long-term "desired" relationship is tested using the error correction model (ECM) . The ECM is estimated in one step and, following the strategy put forward by Engle and Granger , in two steps. The ECM estimation results are compared to those of a more traditional partial adjustment model. They suggest an adjustment process to equilibrium that is more flexible and faster than that indicated by the partial adjustment model. The results indicate that more than one quarter of the growth of mutual funds since 1985 was due to the rise in the value of the portfolios. The most important other factors that influenced demand were wealth, the net rate of return and the tax exemption for capital gains introduced by the federal government in 1985. Despite the fact that mutual funds may be close substitutes for some deposit instruments, interest rate changes since late 19 84 have not been large enough to affect significantly the demand for such funds.