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Mobilité imparfaite des capitaux et dynamique des cours de change. Le cas du SME

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  • Gilles Nancy
  • Jean-Luc Fuguet
  • Hew Wah Lai Tong

Abstract

[eng] Imperfect capital mobility and exchange rates dynamics. The EMS case. . This article amphasizes the influence of the imperfect mobility of capital on exchange rate dynamics inside the EMS.. The International Monetary System is organised into a hierarchy based on the US dollar. The costs of capital mobility between monetary markets induced by significant size gaps explain, as well as exchange rates volatility the risk premium and therefore the exchange rate dynamics. In the small size markets, much less integrated in the world monetary space, a capital loss is followed by an increasing expectation of exchange rate depreciation much more important than those observed in the greater ones.. So, in the EMS the imperfect mobility between monetary markets cause exchange crisis, above ail when the substitution of financial assets invoiced in european currencies for financial assets invoiced on US dollars take place. The decreasing trend of US dollar against most of european currencies since 1985 is from his point of view is a key factor of desiquilibrium between european monies and we are legetimate to think that free capital movements within EEC is a condition for stabilizing the EMS. [fre] Mobilité imparfaite des capitaux et dynamique des cours de change. Le cas du SME . . Cet article s'efforce d'établir le rôle de la mobilité imparfaite des capitaux dans les mouvements des cours de change au sein du SME. Dans un système monétaire international hiérarchisé, par rapport au dollar des Etats-Unis, les coûts de la mobilité du capital entre les marchés, liés notamment à des écarts de taille très significatifs, expliquent la volatilité des cours de change, la prime de risque et partant la dynamique des cours de change. Sur les marchés de petite échelle, généralement moins bien intégrés dans l'espace monétaire mondial, une perte en capital engendre en réaction des anticipations à la dépréciation du cours de change augmentées par rapport à celle observée sur les marchés plus importants. Aussi, dans le SME les disparités entre les marchés monétaires sont à l'origine de tensions sur les marchés des changes lorsque des substitutions d'actifs interviennent entre le marché américain et les marchés européens. L'évolution à la baisse du $ US depuis janvier 1985 contre la plupart des monnaies a été, de ce point de vue, un facteur de déséquilibre entre les monnaies européennes, et l'on est en droit de penser que la libération des mouvements de capitaux au sein de l'espace européen est de nature à stabiliser le SME.

Suggested Citation

  • Gilles Nancy & Jean-Luc Fuguet & Hew Wah Lai Tong, 1988. "Mobilité imparfaite des capitaux et dynamique des cours de change. Le cas du SME," Revue Économique, Programme National Persée, vol. 39(5), pages 921-950.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1988_num_39_5_409107
    DOI: 10.3406/reco.1988.409107
    Note: DOI:10.3406/reco.1988.409107
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    References listed on IDEAS

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    1. McKinnon, Ronald I, 1982. "Currency Substitution and Instability in the World Dollar Standard," American Economic Review, American Economic Association, vol. 72(3), pages 320-333, June.
    2. Walsh, Carl E, 1984. "Interest Rate Volatility and Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 16(2), pages 133-150, May.
    3. Miles, Marc A, 1978. "Currency Substitution, Flexible Exchange Rates, and Monetary Independence," American Economic Review, American Economic Association, vol. 68(3), pages 428-436, June.
    4. Frenkel, Jacob A. & Rodriguez, Carlos A., 1980. "Exchange Rate Dynamics and Overshooting Hypothesis," Foerder Institute for Economic Research Working Papers 275323, Tel-Aviv University > Foerder Institute for Economic Research.
    5. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-1176, December.
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    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.

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