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Transmission des chocs et mécanismes d'ajustement dans le Mercosur

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  • Jean-Pierre Allegret

    ()
    (GATE - Groupe d'analyse et de théorie économique - CNRS : UMR5824 - Université Lumière - Lyon II - Ecole Normale Supérieure Lettres et Sciences Humaines)

  • Alain Sand-Zantman

    ()
    (GATE - Groupe d'analyse et de théorie économique - CNRS : UMR5824 - Université Lumière - Lyon II - Ecole Normale Supérieure Lettres et Sciences Humaines)

Abstract

Cet article étudie la faisabilité d'une union monétaire au sein du Mercosur dans la perspective théorique des zones monétaires optimales. L'étude s'appuie sur l'estimation d'un ensemble de modèles VAR semi-structurels incluant des variables réelles et financières internationales et domestiques pour chacune des trois principales économies de la zone. L'exercice conclut à la fragilité de ce processus d'intégration régionale. Les VARs soulignent tout d'abord la faible convergence des politiques économiques menées dans les trois pays étudiés ; les chocs nominaux - ici, les chocs de prix - conduisent en particulier à des ajustements sensiblement différents. La désagrégation de l'ensemble des chocs à l'aide d'un modèle à composantes inobservables confirme cette asymétrie des comportements en soulignant le faible poids des composantes communes, notamment pour les chocs de politique économique domestiques. Enfin, l'intégration de la variable EMBI montre que les pays de la zone réagissent également très différemment à un même choc financier externe, et ce essentiellement en raison de régimes de change différents.

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File URL: http://halshs.archives-ouvertes.fr/docs/00/15/95/53/PDF/Mercosur_070507_AS.pdf
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Bibliographic Info

Paper provided by HAL in its series Post-Print with number halshs-00159553.

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Date of creation: 2007
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Publication status: Published, Revue de l'OFCE, 2007, avril, 101, 355-392
Handle: RePEc:hal:journl:halshs-00159553

Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00159553/en/
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Keywords: Transmission ; chocs ; mécanismes d'ajustement ; Mercosur;

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  1. Martin Gonzalez-Rozada & Jose Maria Fanelli, 2004. "Business Cycles and Macroeconomic Policy Coordination in Mercosur," Econometric Society 2004 Latin American Meetings 328, Econometric Society.
  2. Matthieu Lemoine & Florian Pelgrin, 2003. "Introduction aux modèles espace état et au filtre de Kalman," Sciences Po publications info:hdl:2441/2129, Sciences Po.
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  12. Nick Chamie & Alain DeSerres & Rene Lalonde, 1994. "Optimum Currency Areas and Shock Asymmetry A Comparison of Europe and the United States," International Finance 9406001, EconWPA, revised 23 Jun 1994.
  13. Lafrance, Robert & St-Amant, Pierre, 2000. "Les zones monétaires optimales," L'Actualité Economique, Société Canadienne de Science Economique, vol. 76(4), pages 577-612, décembre.
  14. Andrew Berg & Eduardo Borensztein & Paolo Mauro, 2002. "An Evalution of Monetary Regime Options for Latin America," Working Papers 67, Oesterreichische Nationalbank (Austrian Central Bank).
  15. Fabio Canova, 2005. "The transmission of US shocks to Latin America," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 229-251.
  16. Sebastian Edwards, 1983. "LDC's Foreign Borrowing and Default Risk: An Empirical Investigation," NBER Working Papers 1172, National Bureau of Economic Research, Inc.
  17. Ahmed, Shaghil, 2003. "Sources of economic fluctuations in Latin America and implications for choice of exchange rate regimes," Journal of Development Economics, Elsevier, vol. 72(1), pages 181-202, October.
  18. Eduardo Levy & Federico Sturzenegger, 2000. "Is EMU a Blueprint for Mercosur?," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 37(110), pages 63-99.
  19. Harvey,Andrew C., 1991. "Forecasting, Structural Time Series Models and the Kalman Filter," Cambridge Books, Cambridge University Press, number 9780521405737, October.
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  21. Bastourre, Diego & Carrera, Jorge & Féliz, Mariano & Panigo, Demian, 2003. "Dollarization and real volatility," CEPREMAP Working Papers (Couverture Orange) 0311, CEPREMAP.
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