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Jusqu'à quel point doit-on simplifier la modélisation du taux de change ?

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  • Jacques Mélitz

Abstract

[eng] How much simplification is wise in modelling exchange rates ?. Jacques Mélitz. Simple models of the exchange rate generally do not give satisfaction in empirical work. The basic reason, it is suggested, is that we tend to test special, limiting cases that our general theory gives us little reason to expert will hold. Besides developing this point of view, the article atternpts to criticise two shortcuts in exchange-rate determination that are frequently found in medium-size and large econometric models : the resort to a structural equation of capital movements ; and the effort to model all national exchange rates identically. [fre] II nous manque à présent une spécification standard et simple du taux de change qui soit fiable. Ceci pourrait être la conséquence du tait que les modèles rudi-mentaires auxquels nous avons recours divergent beaucoup de notre théorie géné­rale du taux de change. L'article développe ce point de vue, et ensuite critique deux raccourcis qui sont souvent utilisés pour déterminer le taux de change dans nos modèles économétriques de moyenne ou grande taille : les équations struct­relles de mouvements de capitaux ; et l'emploi des spécifications identiques pour traiter les différentes monnaies.

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  • Jacques Mélitz, 1982. "Jusqu'à quel point doit-on simplifier la modélisation du taux de change ?," Revue Économique, Programme National Persée, vol. 33(4), pages 675-694.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1982_num_33_4_408675
    DOI: 10.3406/reco.1982.408675
    Note: DOI:10.3406/reco.1982.408675
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    References listed on IDEAS

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