L'efficience et la formation des anticipations sur le marché des changes
Abstract[eng] Efficiency and Formation of Expectations in Exchange Markets The aim of this article is twofold : first to analyse the efficiency properties of the French franc and the American dollar exchange markets : second, to determine the nature of exchange rate expectations in these markets for monthly and quarterly horizons over the period 1980- 1990. The efficiency test â based on the joint hypothesis of no risk and no bias â takes into account the possible non stationarity of the time series and the possible interaction between currencies â the French franc, American dollar, British pound, Japanese yen, Deutsche mark and the Italian lira. We conclude that only the franc- dollar and the mark- franc exchange markets are efficient over this period. The rejection of efficiency in other markets leads us to examine three processes of expectations formation : adaptive, extrapolative and regressive. Actually, the heterogeneity of expectations according to the horizon is a possible explanation of inefficiency. More generally, the determination of the nature of these expectations allows us to understand the evolution of the expected exchange rate. In continuous time modelling where we notably avoid an arbitrary expression of unobservable variables such asthe exchange target, we conclude that exchange rate expectations of the dollar, the pound, and the yen vis-Ã -vis the franc, and the mark vis-Ã -vis the dollar are regressive for both horizons â monthly and quarterly. Since the nature of these expectations is homogenous, it cannot be an explanation of the inefficiency of the corresponding exchange markets. [fre] L'objet de cet article est d'abord d'analyser les propriÃ©tÃ©s d'efficience des marchÃ©s des changes du franc et du dollar puis de dÃ©terminer la nature des anticipations de change sur ces marchÃ©s pour des horizons prÃ©visionnels d'un et trois mois sur la pÃ©riode 1980-1990. La mise en Åuvre du test d'efficience â fondÃ© sur l'hypothÃ¨se jointe d'absence d
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Bibliographic InfoArticle provided by Presses de Sciences-Po in its journal Revue de l'OFCE.
Volume (Year): n° 42 (1992)
Issue (Month): 4 ()
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Web page: http://www.cairn.info/revue-de-l-ofce.htm
Other versions of this item:
- Rahim Loufir & Pascal Jacquinot & Catherine Bruno, 1992. "L'efficience et la formation des anticipations sur le marché des changes," Revue de l'OFCE, Programme National Persée, vol. 42(1), pages 249-282.
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