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Marchés spéculatifs et anticipations rationnelles

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  • Edmund S. Phelps

Abstract

[fre] Les économistes ne se sont penchés sur le rôle et la formation des anticipations qu'assez récemment. Keynes en a proposé une vision moderne, en insistant sur la non-objectivité des croyances et sur les interactions entre les anticipations des divers agents économiques. La doctrine des anticipations rationnelles apparaît au contraire comme une réaction post-moderne, enracinée dans la notion classique de vérité absolue. Cette approche de la modélisation économique pose de sérieuses difficultés théoriques, notamment celles de la non-convergence des prévisions individuelles et de la vulnérabilité des anticipations aux croyances — illustrées par l'existence possible d'équilibres de taches solaires. Les principales implications de la doctrine des anticipations rationnelles ont aussi été remises en question par bon nombre de résultats empiriques récents — en particulier, la volatilité excessive des cours boursiers, l'insuffisante réaction des taux d'intérêt longs aux variations des taux courts et la volatilité des taux de change. De nouveaux concepts, tels que les bulles rationnelles ou le problème du peso, pourraient faciliter la compréhension des comportements de ces marchés; toutefois, ils ne constituent pas une défense convaincante de la doctrine des anticipations rationnelles. La meilleure façon pour les économistes et les prévi-sionnistes de poursuivre leurs analyses semble donc être à présent d'exploiter l'idée selon laquelle les anticipations des individus, loin d'être autonomes, dépendent des croyances et de l'information, mais d'abandonner l'hypothèse d'homogénéité des croyances et de l'information. [eng] The analysis of the role of private expectations is relatively recent in economics. Keynes put forward a modern vision, insisting on the non-objectivity of beliefs and the interactions between the various agents' expectations. The rational expectations doctrine appears as a post-modern reaction, rooted in the classical ideal of absolute truth. Severe theoretical difficulties beset this approach to economic modelling, especially the non-convergence of individual forecasts and the vulnerability of expectations to beliefs, illustrated by the existence of sunspot equilibria. The major conclusions of the rational expectations doctrine have also been questionned by a number of recent empirical findings — excess volatility of stock market prices, underresponsiveness of long-term interest rates, and volatility of exchange rates. New con- cepts, such as rational bubbles and peso problem, may help these market behaviors, but they not constitute convincing defences the doctrine. The best way for economists and forecasters to proceed is keep the idea that individual expectations are not autonomous but on beliefs and information, giving up the notion that has the same beliefs and set.

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Bibliographic Info

Article provided by Programme National Persée in its journal Revue française d'économie.

Volume (Year): 2 (1987)
Issue (Month): 3 ()
Pages: 10-26

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Handle: RePEc:prs:rfreco:rfeco_0769-0479_1987_num_2_3_1149

Note: DOI:10.3406/rfeco.1987.1149
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Web page: http://www.persee.fr/web/revues/home/prescript/revue/rfeco

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