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Fragilité des systèmes de change fixe et contrôle des capitaux

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  • Olivier Jeanne
  • Bernard Bensaïd

Abstract

[eng] The Vulnerability of Fixed Exchange Rate Systems and Capital Control by Bernard Bensaïd and Olivier Jeanne . In this paper, we study the dynamics of currency crises under the following two hypotheses. First, it is costly for the to raise the nominal interest rate above a certain level in order to defend the currency. Second, the interest rate level that government is willing to bear before it decides opt out is not perfectly known by the foreign exchange market players. We that, given these conditions, the fixed exchange rate system is vulnerable to self-fulfilling currency crises unconnected with fundamentals and that such crises could force the government to opt out of the fixed exchange rate system. We then specify conditions under which capital controls might deter this type of currency crisis. [fre] Fragilité des systèmes de change fixe et contrôle des capitaux par Bernard Bensaïd et Olivier Jeanne . Nous étudions dans cet article la dynamique des crises de change sous les deux hypothèses suivantes. Premièrement, augmenter le taux d'intérêt nominal pour défendre la monnaie est coûteux, au delà d'un certain niveau, pour le gouvernement. Deuxièmement, le niveau de taux d'intérêt que le gouvernement est prêt à supporter avant de renoncer à défendre la monnaie n'est pas parfaitement connu par les acteurs du marché des changes. Nous montrons que sous ces conditions, des crises de change autoréalisatrices peuvent apparaître indépendamment des fondamentaux, et forcer le gouvernement à quitter le système de change fixe. Nous caractérisons ensuite les conditions sous lesquelles des contrôles des capitaux peuvent faire disparaître ce type d'instabilité.

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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: 163-174

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_1996_num_123_2_5796

Note: DOI:10.3406/ecop.1996.5796
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Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecop

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  1. von Hagen, Jurgen, 1992. "Policy-Delegation and Fixed Exchange Rates," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(4), pages 849-70, November.
  2. Krugman, Paul, 1979. "A Model of Balance-of-Payments Crises," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 11(3), pages 311-25, August.
  3. Gros, Daniel, 1992. "Capital controls and foreign exchange market crises in the EMS," European Economic Review, Elsevier, vol. 36(8), pages 1533-1544, December.
  4. Barry Eichengreen, James Tobin, and Charles Wyplosz., 1994. "Two Cases for Sand in the Wheels of International Finance," Center for International and Development Economics Research (CIDER) Working Papers C94-045, University of California at Berkeley.
  5. Rogoff, Kenneth, 1985. "Can exchange rate predictability be achieved without monetary convergence? : Evidence from the EMS," European Economic Review, Elsevier, vol. 28(1-2), pages 93-115.
  6. Sushil Bikhchandani & David Hirshleifer & Ivo Welch, 2010. "A theory of Fads, Fashion, Custom and cultural change as informational Cascades," Levine's Working Paper Archive 1193, David K. Levine.
  7. Bensaid, Bernard & Jeanne, Olivier, 1997. "The instability of fixed exchange rate systems when raising the nominal interest rate is costly," European Economic Review, Elsevier, vol. 41(8), pages 1461-1478, August.
  8. Blackburn, Keith & Sola, Martin, 1993. " Speculative Currency Attacks and Balance of Payments Crises," Journal of Economic Surveys, Wiley Blackwell, vol. 7(2), pages 119-44, June.
  9. N. Gregory Mankiw, 1987. "The Optimal Collection of Seigniorage: Theory and Evidence," NBER Working Papers 2270, National Bureau of Economic Research, Inc.
  10. Dellas, H. & Stockman, A.C., 1988. "Self-Fullfilling Expectations, Speculative Attacks And Capital Controls," RCER Working Papers 138, University of Rochester - Center for Economic Research (RCER).
  11. Lars E.O. Svensson, 1992. "Why Exchange Rate Bands? Monetary Independence in Spite of Fixed Exchange Rates," NBER Working Papers 4207, National Bureau of Economic Research, Inc.
  12. F. Gulcin Ozkan & Alan Sutherland, . "A Model of the ERM Crisis," EPRU Working Paper Series 93-09, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
  13. Maurice Obstfeld., 1996. "Destabilizing Effects of Exchange-Rate Escape Clauses," Center for International and Development Economics Research (CIDER) Working Papers C96-075, University of California at Berkeley.
  14. Maurice Obstfeld, 1994. "The Logic of Currency Crises," NBER Working Papers 4640, National Bureau of Economic Research, Inc.
  15. Flood, Robert P. & Garber, Peter M., 1984. "Collapsing exchange-rate regimes : Some linear examples," Journal of International Economics, Elsevier, vol. 17(1-2), pages 1-13, August.
  16. Banerjee, Abhijit V, 1993. "The Economics of Rumours," Review of Economic Studies, Wiley Blackwell, vol. 60(2), pages 309-27, April.
  17. Drazen, Allan & Masson, Paul R, 1994. "Credibility of Policies versus Credibility of Policymakers," The Quarterly Journal of Economics, MIT Press, vol. 109(3), pages 735-54, August.
  18. Barry Eichengreen & Charles Wyplosz, 1993. "The Unstable EMS," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 24(1), pages 51-144.
  19. Obstfeld, Maurice, 1986. "Rational and Self-fulfilling Balance-of-Payments Crises," American Economic Review, American Economic Association, vol. 76(1), pages 72-81, March.
  20. Garber, Peter & Taylor, Mark P, 1995. "Sand in the Wheels of Foreign Exchange Markets: A Sceptical Note," Economic Journal, Royal Economic Society, vol. 105(428), pages 173-80, January.
  21. Wyplosz, Charles, 1986. "Capital controls and balance of payments crises," Journal of International Money and Finance, Elsevier, vol. 5(2), pages 167-179, June.
  22. Kenen, Peter B, 1995. "Capital Controls, the EMS and EMU," Economic Journal, Royal Economic Society, vol. 105(428), pages 181-92, January.
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Cited by:
  1. Paul Masson, 1999. "Multiple equilibria, contagion, and the emerging market crises," Proceedings, Federal Reserve Bank of San Francisco, issue Sep.
  2. Jean-Paul Pollin & Servane Pfister & Raphaelle Bellando, 2000. "Évolution et déterminants de la crédibilité de l’Union Monétaire Européenne durant la phase de transition : une étude comparative France, Italie et Grande-Bretagne," Revue d'Économie Financière, Programme National Persée, vol. 56(1), pages 165-194.

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