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Formation des anticipations de change : l'hypothèse d'un processus mixte

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  • Remzi Uctum
  • Georges Prat

Abstract

[eng] Formation of Exchange Rate Expectations: A Mixed Process Hypothesis Georges Prat and Remzi Uctum . This paper analyses how FF/$, DM/$ and Yen/$ exchange rate expectations form over three and twelve months. The basic principle uses the answers of a group of experts to the monthly Consensus Forecasts survey carried out since November 1989 (average of responses: "consensus"). The results obtained not only show that these "actual" expectations are not rational, but also that, when considered separately, the traditional extrapolative, regressive and adjustive procedures are unable to provide a valid explanation of these expectations. Overall, these results confirm those already obtained using other surveys. . The main breakthrough in this work is to show that by calculating a weighted average of the three traditional procedures, we obtain a satisfactory "explanation" of the exchange rate expectations found by Consensus Forecasts for the three currencies and the two time periods considered. [fre] Formation des anticipations de change : l'hypothèse d'un processus mixte Georges Prat et Remzi Uctum . Cet article analyse comment se forment les anticipations des taux de change Fr/$, DM/$ et Yen/$ aux horizons de 3 et 12 mois. Le principe de base repose sur l'exploitation des réponses fournies par un groupe d'experts questionnés dans le cadre de l'enquête mensuelle menée depuis novembre 1989 par Consensus Forecasts (moyenne des réponses : consensus). Les résultats obtenus montrent non seulement que ces anticipations "effectives" ne sont pas rationnelles, mais aussi que, considérés isolément, les processus traditionnels de type extrapolatif, régressif ou adaptatif sont insuffisants pour rendre compte valablement de ces anticipations. Dans l'ensemble, ces résultats confirment ceux de la littérature obtenus avec d'autres enquêtes. . L'apport essentiel de ce travail est alors de montrer qu'en construisant une moyenne pondérée des trois processus traditionnels, on parvient à une "explication" satisfaisante des anticipations de change révélées par Consensus Forecasts, pour les trois monnaies et les deux horizons considérés.

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Bibliographic Info

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

Volume (Year): 125 (1996)
Issue (Month): 4 ()
Pages: 117-135

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_1996_num_125_4_5814

Note: DOI:10.3406/ecop.1996.5814
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Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecop

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  1. Shinji Takagi, 1991. "Exchange Rate Expectations: A Survey of Survey Studies," IMF Staff Papers, Palgrave Macmillan, vol. 38(1), pages 156-183, March.
  2. Takatoshi Ito, 1988. "Foreign Exchange Rate Expectations: Micro Survey Data," NBER Working Papers 2679, National Bureau of Economic Research, Inc.
  3. Frankel, Jeffrey A & Froot, Kenneth A, 1987. "Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations," American Economic Review, American Economic Association, vol. 77(1), pages 133-53, March.
  4. Georges Prat, 1994. "La formation des anticipations boursières," Économie et Prévision, Programme National Persée, vol. 112(1), pages 101-125.
  5. Jeffrey A. Frankel & Kenneth A. Froot, 1985. "Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations," NBER Working Papers 1672, National Bureau of Economic Research, Inc.
  6. Ronald Macdonald & Mark P. Taylor, 1992. "Exchange Rate Economics: A Survey," IMF Staff Papers, Palgrave Macmillan, vol. 39(1), pages 1-57, March.
  7. Jeffrey A. Frankel & Kenneth Froot, 1990. "Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market," NBER Working Papers 3470, National Bureau of Economic Research, Inc.
  8. Artus, P., 1992. "The Dollar, the Functionning of Foreign Exchange Markets and the Formation of Expectations," Papers 1992-29, Caisse des Depots et Consignations - Cahiers de recherche.
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Cited by:
  1. Marie Bessec & François-Mathieu Robineau, 2003. "Comportements chartistes et fondamentalistes. Coexistence ou domination alternative sur le marché des changes?," Revue économique, Presses de Sciences-Po, vol. 54(6), pages 1213-1238.
  2. Agnès Bénassy-Quéré & Sophie Larribeau & Ronald MacDonald, 1999. "Models of Exchange Rate Expectations: Heterogeneous Evidence from Panel Data," Working Papers 1999-03, CEPII research center.
  3. Marie Bessec, 2005. "Les économistes sont-ils chartistes ou fondamentalistes ? Une enquête auprès de quatre-vingt chercheurs français," Économie et Prévision, Programme National Persée, vol. 169(3), pages 239-249.

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