Advanced Search
MyIDEAS: Login to save this article or follow this journal

Les modèles monétaires de taux de change : un examen empirique

Contents:

Author Info

  • Éric Jondeau
Registered author(s):

    Abstract

    [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.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://dx.doi.org/doi:10.3406/ecop.1996.5790
    Download Restriction: no

    File URL: http://www.persee.fr/articleAsPDF/ecop_0249-4744_1996_num_123_2_5790/ecop_0249-4744_1996_num_123_2_5790.pdf?mode=light
    Download Restriction: no

    Bibliographic Info

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

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

    as in new window
    Handle: RePEc:prs:ecoprv:ecop_0249-4744_1996_num_123_2_5790

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

    Related research

    Keywords:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Richard Meese & Kenneth Rogoff & Jacob Frenkel, . "The Out-of-Sample Failure of Empirical Exchange Rate Models: Sampling Error or Misspecification?," Working Paper 32044, Harvard University OpenScholar.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. MacDonald, Ronald, 1993. "Long-Run Purchasing Power Parity: Is It for Real?," The Review of Economics and Statistics, MIT Press, vol. 75(4), pages 690-95, November.
    8. 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.
    9. 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.
    10. 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.
    11. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    12. 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.
    13. 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.
    14. 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..
    15. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:prs:ecoprv:ecop_0249-4744_1996_num_123_2_5790. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Equipe PERSEE).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.