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Retour à la moyenne dans les cours du change du mécanisme de change européen : 1987-1995

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  • Thierry Roncalli
  • Jean-Sébastien Pentecôte

Abstract

[eng] A Return to Average Rates in the European Exchange Rate Mechanism: 1987-1995 by Jean Sébastien Pentecôte and Thierry Roncalli . This paper studies the effect of the return to average daily rates for the European Exchange Rate Mechanism currencies and the dollar against the deutschemark over the 1987-1995 period. The error correction term appears to fluctuate over this interval. However, it is rarely significant. Our study does not conclusively uphold the findings of the theoretical target zone models. With the exception of the Belgian franc and the guilder, the estimated exchange rate appeal value differs from the official parity. As regards the dollar, the Louvre Agreements would appear to have been brought into question following the October 1987 stock exchange crash. [fre] Retour à la moyenne dans les cours du change du mécanisme de change européen : 1987-1995 . par Jean-Sébastien Pentecôte et Thierry Roncalli . Cet article étudie l'effet de retour à la moyenne des cours quotidiens des monnaies du Mécanisme de Change Européen et du dollar par rapport au mark sur la période 1987-1995. La force de rappel semble varier au cours de cet intervalle. Cependant, elle est rarement significative. Notre étude n'apporte pas un soutien convaincant aux enseignements des modèles théoriques de zone cible. À l'exception du franc belge et du florin, la valeur d'attraction du change estimée diffère de la parité officielle. Concernant le dollar, les Accords Louvre paraissent avoir été remis en cause après le krach boursier d'octobre 1987.

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File URL: http://dx.doi.org/doi:10.3406/ecop.1996.5798
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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: 189-205

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_1996_num_123_2_5798

Note: DOI:10.3406/ecop.1996.5798
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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. Lewis, Karen K, 1995. "Occasional Interventions to Target Rates," American Economic Review, American Economic Association, vol. 85(4), pages 691-715, September.
  2. Broze, L. & Scaillet, O. & Zakoïan, J.-M., . "Testing for continuous-time models of the short-term interest rate," CORE Discussion Papers RP -1177, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. Rose, Andrew K & Svensson, Lars E O, 1991. "Expected and Predicted Realignments: The FF/DM Exchange Rate During the EMS," CEPR Discussion Papers 552, C.E.P.R. Discussion Papers.
  4. Bertola, Giuseppe & Caballero, Ricardo, 1990. "Target Zones and Realignments," CEPR Discussion Papers 398, C.E.P.R. Discussion Papers.
  5. Krugman, Paul & Miller, Marcus, 1992. "Why Have a Target Zone?," CEPR Discussion Papers 718, C.E.P.R. Discussion Papers.
  6. Ball, Clifford A. & Roma, Antonio, 1994. "Target zone modelling and estimation for European Monetary System exchange rates," Journal of Empirical Finance, Elsevier, vol. 1(3-4), pages 385-420, July.
  7. Krugman, Paul R, 1991. "Target Zones and Exchange Rate Dynamics," The Quarterly Journal of Economics, MIT Press, vol. 106(3), pages 669-82, August.
  8. Bertola, G. & Svensson, L.E., 1990. "Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models," Papers 481, Stockholm - International Economic Studies.
  9. Pippenger, Michael K & Goering, Gregory E, 1993. "A Note on the Empirical Power of Unit Root Tests under Threshold Processes," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(4), pages 473-81, November.
  10. Kenneth A. Froot & Maurice Obstfeld, 1992. "Exchange Rate Dynamics Under Stochastic Regime Shifts: A Unified Approach," NBER Working Papers 2835, National Bureau of Economic Research, Inc.
  11. Hali J. Edison & Linda S. Kole, 1994. "European monetary arrangements: implications for the dollar, exchange rate variability and credibility," International Finance Discussion Papers 468, Board of Governors of the Federal Reserve System (U.S.).
  12. Beetsma, R.M.W.J. & Ploeg, F. van der, 1993. "Intramarginal interventions, bands and the pattern of EMS exchange rate distributions," Discussion Paper 1993-48, Tilburg University, Center for Economic Research.
  13. Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, vol. 80(4), pages 689-713, September.
  14. Klein, Michael W., 1992. "Big effects of small interventions: The informational role of intervention in exchange rate policy," European Economic Review, Elsevier, vol. 36(4), pages 915-924, May.
  15. Mizrach, Bruce, 1995. "Target zone models with stochastic realignments: an econometric evaluation," Journal of International Money and Finance, Elsevier, vol. 14(5), pages 641-657, October.
  16. Chen, Zhaohui, 1995. "Speculative Market Structure and the Collapse of an Exchange Rate Mechanism," CEPR Discussion Papers 1164, C.E.P.R. Discussion Papers.
  17. repec:fth:louvco:9331 is not listed on IDEAS
  18. Klein, Michael W. & Lewis, Karen K., 1993. "Learning about intervention target zones," Journal of International Economics, Elsevier, vol. 35(3-4), pages 275-295, November.
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Cited by:
  1. Marie Bessec, 2000. "Mean-Reversion versus PPP Adjustment: The Two Regimes of Exchange Rate Dynamics Under the EMS, 1979-1998," Econometric Society World Congress 2000 Contributed Papers 1305, Econometric Society.

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