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Comment fixer les cours de change?. Annonces et correspondances maastrichtiennes

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  • Jean-Sébastien Pentecôte
  • Marc-Alexandre Sénégas

Abstract

Comment fixer les cours de change ? Annonces et correspondances maastrichtiennes, by Jean-Sébastien Pentecote and Marc-Alexandre SenegasThis analysis questions the distinction between two exchange rate fixing rules : a « time-dependent" rule under which the exchange rate is fixed at an arbitrarily given date ; a « state-dependent" rule under which the irrevocable switch to a peg occurs when the fundamentals reach a given threshold value. By replacing them in a common analytical framework, we underline the strict equivalence between the two rules if the fundamentals follow a purely deterministic process during the transition. In a broader stochastic context, a correspondence in probabilistic terms prevails between these strategies. This unified approach allows a new assessment of the Maastricht way to EMU as regards exchange rates. In particular, we emphasize some properties of the scenario which was finally adopted by the European monetary authorities.

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Bibliographic Info

Article provided by De Boeck Université in its journal Recherches économiques de Louvain.

Volume (Year): 69 (2003)
Issue (Month): 1 ()
Pages: 39-71

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Handle: RePEc:cai:reldbu:rel_691_0039

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Keywords: EMU; state- and time-dependent rules; switch to fixed exchange rates.;

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  1. Smith, Gregor W, 1991. "Solution to a Problem of Stochastic Process Switching," Econometrica, Econometric Society, vol. 59(1), pages 237-39, January.
  2. Obstfeld, Maurice & Stockman, Alan C., 1985. "Exchange-rate dynamics," Handbook of International Economics, in: R. W. Jones & P. B. Kenen (ed.), Handbook of International Economics, edition 1, volume 2, chapter 18, pages 917-977 Elsevier.
  3. Sutherland, Alan, 1995. "State- and time-contingent switches of exchange rate regime," Journal of International Economics, Elsevier, vol. 38(3-4), pages 361-374, May.
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  12. Djajic, Slobodan, 1989. "Dynamics of the exchange rate in anticipation of pegging," Journal of International Money and Finance, Elsevier, vol. 8(4), pages 559-571, December.
  13. Obstfeld, Maurice, 1998. "A strategy for launching the Euro," European Economic Review, Elsevier, vol. 42(6), pages 975-1007, June.
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