IDEAS home Printed from https://ideas.repec.org/a/prs/reveco/reco_0035-2764_1988_num_39_5_409106.html
   My bibliography  Save this article

Le marché des changes est-il efficient ?

Author

Listed:
  • Michel Galy

Abstract

[eng] Is the foreign exchange market efficient? . . The issue of foreign exchange market efficiency is raised once again. The Uncovered Interest Parity test is applied, using the SUR methodology, to two groups of currencies — those Hoating against the US dollar and those abiding by the rules of the exchange rate mechanism of the European Monetary System — in an attempt to determine whether the refection of UIP pervading most of the recent literature is related somehow to the exchange rate regime. Based on the positive outcome of the test, some conclusions are offered on the relevance of sterilized interventions and the conduct of monetary policy within the GV and EMS countries. [fre] Le marché des changes est-il efficient ? Une comparaison entre les monnaies flottantes et celles du mécanisme de change européen. . Le thème de l'efficience du marché des changes est, de nouveau, abordé. Le test de la Parité des taux d'intérêt non couverts est appliqué, en utilisant la méthode SUR, à deux groupes de monnaies - celles flottant contre US dollar et celles du Système monétaire européen respectant les marges de fluctua­tions du Mécanisme de change - afin d'identifier le rôle éventuel joué par le régime de change dans le rejet de la PTI mis en évidence par la plupart des auteurs au cours de la période récente. Les résultats positifs obtenus permet­tent de tirer quelques enseignements sur l'orientation souhaitable des politiques monétaires et de change dans les pays du GV et du SME.

Suggested Citation

  • Michel Galy, 1988. "Le marché des changes est-il efficient ?," Revue Économique, Programme National Persée, vol. 39(5), pages 913-920.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1988_num_39_5_409106
    DOI: 10.3406/reco.1988.409106
    Note: DOI:10.3406/reco.1988.409106
    as

    Download full text from publisher

    File URL: https://doi.org/10.3406/reco.1988.409106
    Download Restriction: Data and metadata provided by Persée are licensed under a Creative Commons "Attribution-Noncommercial-Share Alike 3.0" License http://creativecommons.org/licenses/by-nc-sa/3.0/
    File URL: https://www.persee.fr/doc/reco_0035-2764_1988_num_39_5_409106
    Download Restriction: Data and metadata provided by Persée are licensed under a Creative Commons "Attribution-Noncommercial-Share Alike 3.0" License http://creativecommons.org/licenses/by-nc-sa/3.0/
    File URL: https://libkey.io/10.3406/reco.1988.409106?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Rahim Loufir & Catherine Bruno & Pascal Jacquinot, 1992. "L'efficience et la formation des anticipations sur le marché des changes," Revue de l'OFCE, Programme National Persée, vol. 42(1), pages 249-282.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Adnan Haider Bukhari & Safdar Ullah Khan, 2008. "A Small Open Economy DSGE Model for Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 47(4), pages 963-1008.
    2. Hansen, Lars Peter, 2013. "Uncertainty Outside and Inside Economic Models," Nobel Prize in Economics documents 2013-7, Nobel Prize Committee.
    3. Coudert, Virginie & Mignon, Valérie, 2013. "The “forward premium puzzle” and the sovereign default risk," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 491-511.
    4. Flandreau, Marc & Komlos, John, 2006. "Target zones in theory and history: Credibility, efficiency, and policy autonomy," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 1979-1995, November.
    5. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
    6. Karen K. Lewis, 2011. "Global Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 435-466, December.
    7. Anella Munro, 2014. "Exchange rates, expected returns and risk," Reserve Bank of New Zealand Discussion Paper Series DP2014/01, Reserve Bank of New Zealand.
    8. John H. Cochrane, 1999. "New facts in finance," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 36-58.
    9. Barbara Rossi, 2013. "Exchange Rate Predictability," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
    10. Pericoli, Marcello & Taboga, Marco, 2012. "Bond risk premia, macroeconomic fundamentals and the exchange rate," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 42-65.
    11. repec:wvu:wpaper:09-14 is not listed on IDEAS
    12. Philippe Andrade & Catherine Bruneau, 2002. "Excess returns, portfolio choices and exchange rate dynamics. The yen/dollar case, 1980–1998," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(3), pages 233-256, July.
    13. John Y. Campbell & Luis M. Viceira & Joshua S. White, 2003. "Foreign Currency for Long-Term Investors," Economic Journal, Royal Economic Society, vol. 113(486), pages 1-25, March.
    14. Gokcen Ogruk, 2014. "Is Implied Taylor Rule Interest Rate Applicable as a Carry Trade Strategy?," International Journal of Economics and Financial Issues, Econjournals, vol. 4(4), pages 909-919.
    15. Ravi Bansal, 2007. "Long-run risks and financial markets," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 283-300.
    16. Philippe Bacchetta & Eric van Wincoop, 2010. "Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle," American Economic Review, American Economic Association, vol. 100(3), pages 870-904, June.
    17. Scholl, Almuth & Uhlig, Harald, 2008. "New evidence on the puzzles: Results from agnostic identification on monetary policy and exchange rates," Journal of International Economics, Elsevier, vol. 76(1), pages 1-13, September.
    18. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2005. "Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study," Trinity Economics Papers tep20021, Trinity College Dublin, Department of Economics.
    19. Alfred V Guender, 2015. "International Evidence on the Role of Monetary Policy in the Uncovered Interest Rate Parity Puzzle," Working Papers in Economics 15/15, University of Canterbury, Department of Economics and Finance.
    20. Cerutti, Eugenio M. & Obstfeld, Maurice & Zhou, Haonan, 2021. "Covered interest parity deviations: Macrofinancial determinants," Journal of International Economics, Elsevier, vol. 130(C).
    21. Zhiguang Wang & Prasad Bidarkota, 2012. "Risk premia in forward foreign exchange rates: a comparison of signal extraction and regression methods," Empirical Economics, Springer, vol. 42(1), pages 21-51, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:prs:reveco:reco_0035-2764_1988_num_39_5_409106. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Equipe PERSEE (email available below). General contact details of provider: https://www.persee.fr/collection/reco .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.