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La détermination des taux de change dans les modèles multinationaux : l'état de l'art

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  • Henri Sterdyniak
  • Agnès Bénassy

Abstract

[fre] La détermination des taux de change dans les modèles multinationaux : l'état de l'art, . par Agnès Bénassy, Henri Sterdyniak.. . Cet article analyse les différents modèles théoriques de détermination du taux de change et présente ceux qui sont retenus dans les modèles multinationaux. Il examine l'impact des choix relatifs aux anticipations, aux effets patrimoniaux et à la politique monétaire. Ce cadre théorique permet ensuite d'étudier la manière dont les modèles empiriques multinationaux traitent les taux de change. [spa] Determinación de los tipos de cambio en los modelos multinacionales: estado del arte, . por Agnès Bénassy y Henri Sterdyniak.. . En el presente artículo se analizan los diversos modelos teóricos de determinación del tipo de cambio y se presentan los utilizados en los modelos multinacionales. Acto seguido se analiza el impacto de las decisiones relativas a las anticipaciones, a los efectos patrimoniales y a la política monetaria. Este marco teórico permite estudiar a continuación la forma en que los modelos empíricos tratan los tipos de cambio. [ger] Die Bestimmung der Wechselkurse in den multinationalen Modellen: eine Bestandsaufnahme, . von Agnès Bénassy, Henri Sterdyniak.. . In diesem Artikel werden die verschiedenen theoretischen Modelle für die Bestimmung der Wechselkurse analysiert und diejenigen aufgeführt, die bei den multinationalen Modellen zur Anwendung kommen. Untersucht wird die jeweilige Auswirkung der Optionen hinsichtlich der Vorwegnahmen, der Folgen für die Bilanzvermögenswerte sowie der Währungspolitik. Innerhalb dieses theoretischen Rahmens kann dann untersucht werden, wie die Wechselkurse in den multinationalen empirischen Modellen behandelt werden. [eng] Establishing Exchange Rates in Multinational Models : A State of the Art, . by Agnès Bénassy, Henri Sterdyniak.. . This article analyses different theoretical models for establishing exchange rates and develops those which are used in multinational models. It examines the impact of choices over expectations,the balance sheet effects and monetary policy. This theoretical framework then makes it possible to examine how multinational empirical models handle exchange rates.

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Bibliographic Info

Article provided by Programme National Persée in its journal Économie & prévision.

Volume (Year): 104 (1992)
Issue (Month): 3 ()
Pages: 39-71

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_1992_num_104_3_5293

Note: DOI:10.3406/ecop.1992.5293
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Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecop

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References

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  1. A. Blundell-Wignall & M. Rondoni & Helmut Ziegelschmidt & J. Morgan, 1984. "Monetary Policy in the OECD INTERLINK Model," OECD Economics Department Working Papers 16, OECD Publishing.
  2. Amano, Akihiro & Holtham, Gerald & Hooper, Peter & Pauly, Peter, 1986. "Comparative exchange rate simulations," European Economic Review, Elsevier, vol. 30(1), pages 131-135, February.
  3. Bryant, R.C. & Helliwell, J.F. & Hooper, P., 1989. "Domestic And Cross-Border Consequences Of U.S. Macroeconomic Policies," Papers 68, Brookings Institution - Working Papers.
  4. Henri Sterdyniak & Michèle Debonneuil, 1984. "La boucle prix-salaires dans l'inflation," Revue Économique, Programme National Persée, vol. 35(2), pages 267-312.
  5. Branson, William H. & Henderson, Dale W., 1985. "The specification and influence of asset markets," Handbook of International Economics, in: R. W. Jones & P. B. Kenen (ed.), Handbook of International Economics, edition 1, volume 2, chapter 15, pages 749-805 Elsevier.
  6. David T. Coe & Richard Herd & Marie-Christine Bonnefous, 1987. "International Investment-Income Determination in INTERLINK: Models for 23 OECD Countries and Six Non-OECD Regions," OECD Economics Department Working Papers 45, OECD Publishing.
  7. Pete Richardson, 1987. "Recent Developments in OECD's International Macroeconomic Model," OECD Economics Department Working Papers 46, OECD Publishing.
  8. Amano, Akihiro, 1986. "Exchange rate simulations : A comparative study," European Economic Review, Elsevier, vol. 30(1), pages 137-148, February.
  9. Henderson, Dale W. & Rogoff, Kenneth, 1982. "Negative net foreign asset positions and stability in a world portfolio balance model," Journal of International Economics, Elsevier, vol. 13(1-2), pages 85-104, August.
  10. Dornbusch, Rudiger & Fischer, Stanley, 1980. "Exchange Rates and the Current Account," American Economic Review, American Economic Association, vol. 70(5), pages 960-71, December.
  11. Hooper, Peter, 1986. "Exchange rate simulation properties of the MCM," European Economic Review, Elsevier, vol. 30(1), pages 171-198, February.
  12. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December.
  13. Warwick J. McKibbin & Jeffrey D. Sachs, 1989. "The McKibbin-Sachs Global Model: Theory and Specifications," NBER Working Papers 3100, National Bureau of Economic Research, Inc.
  14. Éric Bleuze & Henri Sterdyniak, 1988. "L'interdépendance des économies en change flexible : les apports d'une maquette dynamique," Revue Économique, Programme National Persée, vol. 39(5), pages 999-1034.
  15. Masson, Paul R., 1981. "Dynamic stability of portfolio balance models of the exchange rate," Journal of International Economics, Elsevier, vol. 11(4), pages 467-477, November.
  16. Pete Richardson, 1987. "A Review of the Simulation Properties of OECD's INTERLINK Model," OECD Economics Department Working Papers 47, OECD Publishing.
  17. Robert A. Mundell, 1962. "The Appropriate Use of Monetary and Fiscal Policy for Internal and External Stability," IMF Staff Papers, Palgrave Macmillan, vol. 9(1), pages 70-79, March.
  18. Hali J. Edison & Jaime R. Marquez & Ralph W. Tryon, 1986. "The structure and properties of the FRB multicountry model.Part I: Model description and simulation results," International Finance Discussion Papers 293, Board of Governors of the Federal Reserve System (U.S.).
  19. Pete Richardson, 1990. "Simulating the OECD INTERLINK Model under Alternative Monetary Policy Rules," OECD Economics Department Working Papers 85, OECD Publishing.
  20. Burridge, Mark & Dhar, Shamik & Mayes, David & Meen, Geoffrey & Neal, Edwina & Tyrrell, Nick & Walker, John, 1991. "Oxford economic forecasting's system of models," Economic Modelling, Elsevier, vol. 8(3), pages 227-227, July.
  21. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
  22. Kaneko, Takafumi & Yasuhara, Norikazu, 1986. "Exchange rate simulations with the EPA world economic model," European Economic Review, Elsevier, vol. 30(1), pages 237-259, February.
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Cited by:
  1. Fabrice Capoën & Pierre Villa, 1997. "Internal and External Policy Coordination: a Dynamic Analysis," Working Papers 1997-15, CEPII research center.
  2. repec:spo:wpecon:info:hdl:2441/53r60a8s3kup1vc9kd52ge69h is not listed on IDEAS
  3. Pascal Cussy & Hélène Lenoble-Liaud & Fabrice Capoen & Jérôme Creel, 2000. "How to manage speculative shocks : intra-european vs. international monetary coordination," Sciences Po publications N° 2000-01, Sciences Po.
  4. Antoine Bouveret, 2010. "Politiques économiques, dynamique et équilibre de long terme du taux de change," Sciences Po publications info:hdl:2441/53r60a8s3ku, Sciences Po.

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