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Ruptures épaisses et stationnarité en tendance : le cas du taux de change euro-dollar

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  • Jean-François Goux

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

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    Abstract

    La prise en compte d'une période de rupture (rupture épaisse) permet d'analyser correctement la série statistique du taux de change euro-dollar. En retenant la période postérieure aux accords du Louvre, mais en éliminant les premières années d'existence de l'euro, et jusqu'à aujourd'hui, on peut affirmer que ce taux est stationnaire en niveau et ensuite en tendance et donc qu'il existe un mécanisme de rappel vers un niveau (une tendance) d'équilibre. Ce point est démontré à l'aide d'une nouvelle procédure de test fondée sur l'élimination des ruptures épaisses. Cela permet de proposer une prévision fondée sur cette tendance déterministe.

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    Bibliographic Info

    Paper provided by HAL in its series Post-Print with number halshs-00333576.

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    Date of creation: 2008
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    Handle: RePEc:hal:journl:halshs-00333576

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    Related research

    Keywords: taux de change euro-dollar ; stationnarité ; ruptures ; points aberrants;

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