Les indices de taux de change réels effectifs provinciaux

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Les indices de taux de change réels effectifs provinciaux

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José Bourque

Abstract

When economists study the impact of exchange rate changes on the economy, they often want to look beyond the movements of a single bilateral exchange rate. It is common to construct an exchange rate index, which is a weighted average of the exchange rates that a country has with its various trading partners. It is also common to try to measure the “real” exchange rate, that is, the exchange rate adjusted for differences in inflation rates across countries. While real exchange rate indices are often constructed at the national level, this paper proposes a methodology for the construction of real exchange rate indices for each province. For a given province, the exchange rate was transformed into real terms using the difference in inflation rates between the Canadian provinces and their twenty-three most important trading partners. Furthermore, each provincial exchange rate index was adjusted to take into account the relative importance of that province’s exports to the twenty-three countries. The results show that the provincial real export-weighted exchange rate indices decreased (implying a depreciation) between 26 and 31 per cent from 1990 to 2002, near the national average of 29.5 per cent. Significant differences with the national average were found only for specific years and some provinces. The high proportion of exports to the U.S. for all provinces and the appreciation of the American currency versus the Canadian dollar between 1990 and 2002 explain these results.

Lorsque les économistes étudient l’impact des variations de taux de change sur l’économie, ils désirent souvent regarder au-delà de simples variations entre deux devises. Il est alors commun de construire un indice de taux de change, lequel est une moyenne pondérée des taux de change qu’un pays a avec ses différents partenaires commerciaux. Il est également habituel de mesurer le taux de change réel, c’est-à-dire le taux de change ajusté pour les différences entre les taux d’inflation entre les pays. Puisque les indices de taux de change réels sont souvent construits au niveau national, cette étude propose une méthodologie pour la construction d’indice pour chacune des provinces. Pour une province donnée, le taux de change a été transformé en termes réels en utilisant la différence dans les taux d’inflation entre les provinces canadiennes et leurs 23 principaux partenaires commerciaux. De plus, chaque indice de taux de change provincial a été ajusté pour prendre en considération l’importance relative des exportations vers ces mêmes 23 pays. Les résultats indiquent que les indices de taux de change réels effectifs provinciaux, pondérés selon les exportations, ont diminué (impliquant une dépréciation) de 26 à 31 pour cent de 1990 à 2002, soit près de la moyenne nationale de 29,5 pour cent. Des différences significatives avec la moyenne nationale ont été trouvées seulement lors d’années spécifiques pour certaines provinces. De tels résultats s’expliquent par la forte proportion des exportations des provinces canadiennes vers les États-Unis de même que par l’appréciation de la devise américaine face au dollar canadien au cours de la période étudiée.

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Paper provided by Department of Finance Canada in its series Working Papers-Department of Finance Canada with number 2004-06.

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Handle: RePEc:fca:wpfnca:2004-06

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