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Le rejet de l'hypothèse d'efficience variable dans le temps sur le marché des changes

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  • Stefan Straetmans
  • Camiel de Koning
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    Abstract

    [eng] Time Varying Forex Market Inefficiency by Camiel de Koning and Stefan Straetmans . Researchers have gathered abundant empirical evidence on foreign exchange market inefficiency by regressing excess returns on lagged forward premia. However, few have studied coefficient instability and its consequences for market efficiency testing. We allow for endogenous changes in the parameters when estimating by using rolling regressions and a Kalman Filter algorithm. Time variation in the regression coefficients is found to be statistically significant. If the regression parameters have changed over time, estimation methods that assume constant parameters may be inappropriate. We argue that the observed time variation in the forward premium slope is so large that a negative OLS slope for the post-Bretton Woods sample is not improbable. [fre] Le rejet de l'hypothèse d'efficience variable dans le temps sur le marché des changes par Camiel de Koning et Stefan Straetmans . Les chercheurs ont recueilli un nombre abondant de preuves empiriques sur l'absence d'efficience du marché des changes en régressant les excès de rendements sur les primes à terme retardées. Toutefois, ils ont rarement étudié le problème de l'instabilité des coefficients et ses conséquences pour les tests de l'efficience du marché. Les variations endogènes des paramètres sont prises en comptes par des estimations utilisant des régressions mobiles et un filtre de Kalman. On trouve que les variations dans le temps des coefficients de la régression sont statistiquement significatives. Ceci remet donc en cause la fiabilité des méthodes d'estimation qui supposent que les paramètres sont constants. Sur un échantillon postérieur à Bretton Woods, on montre que la variation dans le temps du coefficient de la prime à terme (ou la pente) est si élevée qu'il n'est pas impossible d'obtenir, par les MCO, une pente négative.

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    Bibliographic Info

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

    Volume (Year): 140 (1999)
    Issue (Month): 4 ()
    Pages: 77-90

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    Handle: RePEc:prs:ecoprv:ecop_0249-4744_1999_num_140_4_5976

    Note: DOI:10.3406/ecop.1999.5976
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    Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecop

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