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De la flexibilité des taux de change et de ses conséquences macroéconomiques

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  • Henri Sterdyniak
  • Agnès Bénassy
  • Murielle Fiole
  • Emmanuel Fourmann

Abstract

[eng] This paper presents a first attempt to endogenize exchange rates and interest rates in the MIMOSA multinational macroeconometric model, jointly built and used by the CEPII and the OFCE. We briefly survey the hypothesis, structure and properties of the main models proposed by the economic theory : expectations specification, monetary policy description, wealth effect and external constraint. Others multinational models specifications are classified. Then, we justify the choice of a specification combining a portfolio approach, monetary authorities reaction functions and semi-rational expectations by private agents. Estimation results for the financial behaviors and new simulation properties for the integrated MIMOSA model are then presented. At last, exogeneous financial hypothesis made by the MIMOSA team for its 1991 forecast are evaluated using the new integrated model. [fre] Cet article présente une première tentative pour rendre endogènes les taux d'intérêt et les taux de change du modèle macroéconomique multinational MIMOSA, construit et géré conjointement par le СЕРН et l'OFCE. Les hypothèses, la structure et les propriétés des principaux modèles proposés par la théorie économique pour expliquer l'évolution des taux de change sont d'abord discutées : formation des anticipations, description de la politique monétaire, prise en compte de la contrainte extérieure et des effets de richesse... Les solutions choisies dans les autres modèles multinationaux sont exposées. Nous justifions alors le choix pour MIMOSA d'une spécification combinant un modèle de portefeuille, des fonctions de réaction des autorités monétaires et des anticipations semi-rationnelles des agents privés. Par la suite sont présentés les résultats des estimations économétriques des comportements financiers et les nouvelles propriétés variantielles du modèle MIMOSA intégré financièrement. Enfin, sont évaluées grâce au modèle intégré les hypothèses exogènes retenues pour la projection MIMOSA en 1991 pour les taux de change et les taux d'intérêt.

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Bibliographic Info

Article provided by Programme National Persée in its journal Revue de l'OFCE.

Volume (Year): 40 (1992)
Issue (Month): 1 ()
Pages: 201-247

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Handle: RePEc:prs:rvofce:ofce_0751-6614_1992_num_40_1_1273

Note: DOI:10.3406/ofce.1992.1273
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Web page: http://www.persee.fr/web/revues/home/prescript/revue/ofce

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Cited by:
  1. repec:spo:wpecon:info:hdl:2441/6125 is not listed on IDEAS
  2. Antoine Bouveret & Bruno Ducoudre, 2007. "On the Contingency of Equilibrium Exchange Rates with Time - Consistent Economic Policies," Sciences Po publications 2007-08, Sciences Po.
  3. repec:spo:wpecon:info:hdl:2441/53r60a8s3kup1vc9kd52ge69h is not listed on IDEAS
  4. Antoine Bouveret, 2010. "Politiques économiques, dynamique et équilibre de long terme du taux de change," Sciences Po publications info:hdl:2441/53r60a8s3ku, Sciences Po.

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