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Les marchés financiers sont-ils efficients ?. L'exemple du marché des changes


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  • Antoine Bouveret
  • Gabriele Di Filippo


Le présent article analyse l’efficience du marché des changes. L’article reconsidère la définition originelle de l’efficience au sens de Fama (1965) en mettant en lumière les différentes contradictions internes de cette définition. Partant de là, trois définitions de l’efficience sont avancées : l’efficience fondamentale, l’efficience macroéconomique et l’efficience spéculative. À chaque forme d’efficience est associée un ensemble de tests empiriques. Les résultats des tests suggèrent l’existence de trois formes d’efficience sur le marché des changes, fonctions de l’horizon considéré. Le marché des changes est ainsi caractérisé par l’inefficience pure à court terme (entre 1 mois et 1 an), l’efficience spéculative à moyen terme (entre 1 an et 2 ans) et l’efficience macro-économique pure à long terme (à partir de 5 ans) ; cette dernière forme d’efficience étant soumise à quelques réserves. L’efficience fondamentale, ou efficience au sens de Fama, est rejetée quel que soit l’horizon considéré. La dernière partie explique les résultats obtenus à partir d’un modèle qui relâche les hypothèses d’anticipations rationnelles et d’efficience, au profit de l’hypothèse d’agents hétérogènes.

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Bibliographic Info

Article provided by Presses de Sciences-Po in its journal Revue de l'OFCE.

Volume (Year): n° 110 (2009)
Issue (Month): 3 ()
Pages: 95-140

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Handle: RePEc:cai:reofsp:reof_110_0095

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