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Coïntégration entre les taux de change et les fondamentaux. Changement de régime ou mémoire longue ?

Author

Listed:
  • Gilles Dufrénot
  • Sandrine Lardic
  • Laurent Mathieu
  • Valérie Mignon
  • Anne Péguin-Feissolle

Abstract

Our object is to study the adjustment process of five European exchange rates toward their fundamentals on the 1979-1999 period. We consider two approaches, namely nonlinear cointegration and fractional cointegration, in order to discriminate between nonlinear short memory and linear long memory adjustment dynamics. The persistent deviations observed between the French real exchange rate and its fundamentals can be explained by the presence of long memory in the adjustment process. Classification JEL : C22, F31.

Suggested Citation

  • Gilles Dufrénot & Sandrine Lardic & Laurent Mathieu & Valérie Mignon & Anne Péguin-Feissolle, 2004. "Coïntégration entre les taux de change et les fondamentaux. Changement de régime ou mémoire longue ?," Revue économique, Presses de Sciences-Po, vol. 55(3), pages 449-458.
    • Handle: RePEc:cai:recosp:reco_553_0449
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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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