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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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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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  1. Michael W. Klein & Karen K. Lewis, 1991. "Learning About Intervention Target Zones," NBER Working Papers 3674, National Bureau of Economic Research, Inc.
  2. 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.).
  3. Bertola, G. & Cabarello, R.J., 1990. "Target Zones And Realignments," Discussion Papers 1990_51, Columbia University, Department of Economics.
  4. Krugman, Paul & Miller, Marcus, 1992. "Why Have a Target Zone?," CEPR Discussion Papers 718, C.E.P.R. Discussion Papers.
  5. Giuseppe Bertola & Lars E.O. Svensson, 1991. "Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models," NBER Working Papers 3576, National Bureau of Economic Research, Inc.
  6. 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).
  7. 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.
  8. Rose, A.K. & Svensson, L.E., 1991. "Expected and Predicted Realignments: the FF/DM Exchange Rate during the EMS," Papers 485, Stockholm - International Economic Studies.
  9. 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.
  10. Vlaar, Peter J G & Palm, Franz C, 1993. "The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(3), pages 351-60, July.
  11. Lewis, Karen K, 1995. "Occasional Interventions to Target Rates," American Economic Review, American Economic Association, vol. 85(4), pages 691-715, September.
  12. Beetsma, Roel M W J & van der Ploeg, Frederick, 1994. "Intramarginal Interventions, Bands and the Pattern of EMS Exchange Rate Distributions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 583-602, August.
  13. repec:fth:louvco:9331 is not listed on IDEAS
  14. Paul R. Krugman, 1988. "Target Zones and Exchange Rate Dynamics," NBER Working Papers 2481, National Bureau of Economic Research, Inc.
  15. 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.
  16. Bruce Mizrach, 1993. "Target zone models with stochastic realignments: an econometric evaluation," Research Paper 9302, Federal Reserve Bank of New York.
  17. 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.
  18. 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.
  19. Chen, Zhaohui, 1995. "Speculative Market Structure and the Collapse of an Exchange Rate Mechanism," CEPR Discussion Papers 1164, C.E.P.R. Discussion Papers.
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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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