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Le taux de change euro-dollar : une approche fondee sur la co-integration avec break structurel

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Author Info
Jean-Francois Goux
Abstract

Lorsqu’on etudie des donnees macro-economiques, il est souvent pertinent d’introduire des ruptures dans l’analyse statistique. En particulier, la technique de la co-integration avec rupture structurelle peut s’averer interessante. Cet article propose une application du modele de Johansen et al. (2000) dans le cas du taux de change euro-dollar. Nous presentons le modele pertinent pour une telle analyse et demontrons que certains fondamentaux (prix, taux d’interet) retrouvent une partie de leur pouvoir explicatif lorsque des ruptures structurelles sont introduites dans la composante deterministe. Mais le mecanisme principal reste le retour a la moyenne vers une tendance coudee.

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File URL: http://www.cepii.fr/francgraph/publications/ecointern/rev103/rev103c.htm
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Publisher Info
Article provided by CEPII research center in its journal Economie Internationale.

Volume (Year): (2005)
Issue (Month): 3Q ()
Pages: 45-72
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Handle: RePEc:cii:cepiei:2005-3tc

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Related research
Keywords: Taux de change euro-dollar co-integration tendance coudee

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
F31 - International Economics - - International Finance - - - Foreign Exchange
F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements

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