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Politiques économiques et dynamiques du taux de change et du prix des actions avec effets de “pass-through”
[Economic policies, exchange rate dynamics and asset prices under the effects of "pass-through"]

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Author Info

  • Dai, Meixing
  • Sidiropoulos, Moïse

Abstract

Dans cet article, nous étudions l’efficacité de politiques économiques dans un cadre d’une petite économie ouverte où la relation entre le taux de change, le prix des actions et le niveau d’activité est soumise à des interactions entre l’effet de “pass-through” incomplet et l’effet de richesse. Ces derniers influencent d’une manière cruciale, d’une part, l’efficacité des politiques budgétaire et monétaire et, d’autre part, la relation entre les mouvements du taux de change et ceux du prix des actions. Les effets des politiques budgétaire et monétaire se différencient en fonction de l’intensité de ces deux effets et peuvent devenir dans certains cas différents de effets obtenus précédemment. En outre, la relation entre le taux de change et le prix des actions nationales devient ambiguë. (English) In this paper, we study the effectiveness of economic policies in a framework of a small open economy where the relationship between the exchange rate, the stock price and the level of output under various interactions due to the incomplete pass-through and the wealth effects. It follows that, at the one hand, the effectiveness of fiscal and monetary policies changes according to the intensity of these effects and, at the other hand, the relationship between the exchange rate and the national stock price becomes more ambiguous than the results obtained by the traditional models.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 14402.

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Date of creation: Sep 1999
Date of revision: Apr 2001
Publication status: Published in Économie Appliquée LV.1(2002): pp. 195-221
Handle: RePEc:pra:mprapa:14402

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Keywords: Taux de change; prix des actions; “pass-through”. Echange rate; asset prices; pass-through;

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References

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  1. Marston, Richard C., 1990. "Pricing to market in Japanese manufacturing," Journal of International Economics, Elsevier, vol. 29(3-4), pages 217-236, November.
  2. Tobin, James, 1969. "A General Equilibrium Approach to Monetary Theory," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 1(1), pages 15-29, February.
  3. Bennett T. McCallum, 1982. "Price Level Determinacy with an Interest Rate Policy Rule and Rational Expectations," NBER Working Papers 0559, National Bureau of Economic Research, Inc.
  4. Sven W. Arndt & J. David Richardson, 1987. "Real-Financial Linkages Among Open Economies," NBER Working Papers 2230, National Bureau of Economic Research, Inc.
  5. William H. Branson & Willem H. Buiter, 1982. "Monetary and Fiscal Policy with Flexible Exchange Rates," NBER Working Papers 0901, National Bureau of Economic Research, Inc.
  6. Pinelopi Koujianou Goldberg & Michael M. Knetter, 1997. "Goods Prices and Exchange Rates: What Have We Learned?," Journal of Economic Literature, American Economic Association, vol. 35(3), pages 1243-1272, September.
  7. Buiter, Willem H, 1984. "Saddlepoint Problems in Continuous Time Rational Expectations Models: A General Method and Some Macroeconomic Examples," Econometrica, Econometric Society, vol. 52(3), pages 665-80, May.
  8. Kenneth A. Froot & Paul Klemperer, 1989. "Exchange Rate Pass-Through When Market Share Matters," NBER Working Papers 2542, National Bureau of Economic Research, Inc.
  9. Zhu, Zhen, 1998. "Stock Prices and the Exchange Rate in a Structural Model with an Application to the Case of France," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 13, pages 89-107.
  10. Aristomène A. Varoudakis, 1990. "Dynamique du taux de change et substitution des actifs financiers dans un modèle avec un marché efficient d'actions," Revue Économique, Programme National Persée, vol. 41(1), pages 95-118.
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