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Le Franc français et la récente crise monétaire européenne

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  • Cecilia Jona-Lasinio

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[fre] Le franc français et la récente crise monétaire européenne par Cecilia Jona-Lasinio . Les crises monétaires de 1992 et 1993 ont prouvé que des pressions extrêmement fortes peuvent s'exercer sur les parités officielles lorsque les investisseurs réalisent que des réalignements monétaires importants sont peut-être imminents. Dans ce document, je présente une analyse empirique des crises de 1992-1993 visant à déterminer d'une part si les spéculateurs sont capables de prévoir exactement à quel moment des dévaluations vont intervenir, et d'autre part si les informations sur l'actualité politique et économique influencent leurs anticipations et dans l'affirmative, de quelle façon. En particulier, j'effectue une analyse des anticipations de la date de la dévaluation du franc français par rapport au deutsche mark avant les crises monétaires de 1992 et de 1993. L'analyse empirique montre qu'avant le déclenchement de ces deux crises, les investisseurs se rendaient compte que la dévaluation était imminente et qu'ils étaient très sensibles aux informations diffusées quotidiennement sur les marchés. [eng] The French Franc and the Recent European Currency Crisis by Cecilia Jona-Lasinio . The 1992 and 1993 currency crises demonstrated the enormous pressures that can be raised against official exchange rate parities when investors perceive that significant exchange rate realignments may be imminent. In this paper I propose an empirical analysis of the 1 992- 1 993 crises to establish whether speculators were able to perceive the exact timing of the devaluations and if and how the economic and political news influenced their devaluation expectations. In particular, I analyse the expected timing of devaluation of the French Franc relative to the Deutschemark before the 1 992 and 1 993 currency crisis. The empirical analysis shows that before the occurrence of both crisis agents were awareof the imminence of the devaluation and that they were very sensitive to the news spread daily over the markets.

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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: 147-159

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_1999_num_140_4_5981

Note: DOI:10.3406/ecop.1999.5981
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Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecop

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  1. 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.
  2. Chen, Zhaohui & Giovannini, Alberto, 1993. "The Determinants of Realignment Expectations Under the EMS - Some Empirical Regularities," CEPR Discussion Papers 790, C.E.P.R. Discussion Papers.
  3. Lars E.O. Svensson, 1990. "The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk," NBER Working Papers 3466, National Bureau of Economic Research, Inc.
  4. Dornbusch, Rudiger, 1987. "Collapsing exchange rate regimes," Journal of Development Economics, Elsevier, vol. 27(1-2), pages 71-83, October.
  5. Rose, Andrew K. & Svensson, Lars E. O., 1994. "European exchange rate credibility before the fall," European Economic Review, Elsevier, vol. 38(6), pages 1185-1216, June.
  6. 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.
  7. 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.
  8. 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.
  9. Mark P. Taylor, 1995. "The Economics of Exchange Rates," Journal of Economic Literature, American Economic Association, vol. 33(1), pages 13-47, March.
  10. McFadden, Daniel L., 1984. "Econometric analysis of qualitative response models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 24, pages 1395-1457 Elsevier.
  11. Zhaohui Chen & Alberto Giovannini, 1993. "The Determinants of Realignment Expectations Under the EMS: Some Empirical Regularities," NBER Working Papers 4291, National Bureau of Economic Research, Inc.
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