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Les modèles monétaires de taux de change : un examen empirique

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  • Éric Jondeau

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[fre] Les modèles monétaires de taux de change : un réexamen empirique . par Éric Jondeau . Ce papier examine, sous un angle empirique, les deux principaux modèles monétaires de taux de change, à prix supposés parfaitement flexibles ou rigides à court terme. Compte tenu de la non-stationnarité des taux de change et de leurs déterminants, les spécifications testables habituellement déduites de ces modèles doivent être interprétées comme des relations de long terme et les tests peuvent être menés dans le cadre d'un modèle à correction d'erreur multivarié. Les modèles monétaires sont donc estimés sur la période allant de 1973 à 1994 pour le yen-dollar et le mark-dollar. Les résultats conduisent à un rejet quasi systématique du modèle à prix flexibles et paraissent beaucoup plus favorables au modèle à prix rigides à court terme. [eng] Monetary Exchange Rate Models: A New Empirical Study by Éric Jondeau . This paper makes an empirical study of the two main monetary exchange rate models, which assume perfectly flexible or short-run prices. In view of the non-stationarity of exchange rates and their determinants, the testable specifications normally from these models should be interpreted as long-run relations and the tests carried out using a multivariate error correction The monetary models are therefore estimated for the yen-dollar and the deutschemark-dollar over the 1973-1994 period. The induce a virtually systematic rejection of the flexible-prices model and appear considerably more favourable to the rigid-prices model.

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Bibliographic Info

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

Volume (Year): 123 (1996)
Issue (Month): 2 ()
Pages: 53-65

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_1996_num_123_2_5790

Note: DOI:10.3406/ecop.1996.5790
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Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecop

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  1. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  2. MacDonald, Ronald & Taylor, Mark P., 1994. "The monetary model of the exchange rate: long-run relationships, short-run dynamics and how to beat a random walk," Journal of International Money and Finance, Elsevier, vol. 13(3), pages 276-290, June.
  3. Enders, Walter, 1988. "ARIMA and Cointegration Tests of PPP under Fixed and Flexible Exchange Rate Regimes," The Review of Economics and Statistics, MIT Press, vol. 70(3), pages 504-08, August.
  4. Richard Meese & Kenneth Rogoff, 1982. "The out-of-sample failure of empirical exchange rate models: sampling error or misspecification?," International Finance Discussion Papers 204, Board of Governors of the Federal Reserve System (U.S.).
  5. Meese, Richard A, 1986. "Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates?," Journal of Political Economy, University of Chicago Press, vol. 94(2), pages 345-73, April.
  6. Cheung, Yin-Wong & Lai, Kon S., 1993. "Long-run purchasing power parity during the recent float," Journal of International Economics, Elsevier, vol. 34(1-2), pages 181-192, February.
  7. Frankel, Jeffrey A, 1979. "On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials," American Economic Review, American Economic Association, vol. 69(4), pages 610-22, September.
  8. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
  9. Patel, Jayendu, 1990. "Purchasing Power Parity as a Long-Run Relation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(4), pages 367-79, Oct.-Dec..
  10. R Macdonald, . "Long Run Purchasing Power Parity: Is It For Real?," Dundee Discussion Papers in Economics 029, Economic Studies, University of Dundee.
  11. 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.
  12. MacDonald, Ronald & Taylor, Mark P., 1991. "The monetary approach to the exchange rate : Long-run relationships and coefficient restrictions," Economics Letters, Elsevier, vol. 37(2), pages 179-185, October.
  13. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  14. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December.
  15. Ronald Macdonald & Mark P. Taylor, 1993. "The Monetary Approach to the Exchange Rate: Rational Expectations, Long-Run Equilibrium, and Forecasting," IMF Staff Papers, Palgrave Macmillan, vol. 40(1), pages 89-107, March.
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