Advanced Search
MyIDEAS: Login to save this paper or follow this series

Politiques économiques, dynamique et équilibre de long terme du taux de change

Contents:

Author Info

  • Antoine Bouveret

    (OFCE (OFCE))

Abstract

Cette thèse porte sur le marché des changes, la dynamique et les politique économiques et s’organise en trois parties. La première partie montre qu’il est possible de définir trois formes d’efficience : l’efficience spéculative, l’efficience macroéconomique et l’efficience fondamentale. A court terme le marché des changes est inefficient quelle que soit la forme considérée, à moyen terme, le marché des changes est efficient d’un point de vue macroéconomique mais le retour à l’équilibre est très lent. La deuxième partie s’intéresse à la détermination du taux de change dans les modèles macroéconomiques. Le chapitre deux étudie l’impact des choix de modélisation de la boucle prix-salaire, du taux de change et de la politique monétaire sur la dynamique et l’équilibre de long terme du taux de change réel. Le chapitre trois introduit la politique budgétaire dans le cadre d’une règle de Leeper puis étudie les politiques économiques cohérentes temporellement, résultant de la minimisation de la fonction de perte des autorités. Cette spécification montre que les préférences des autorités peuvent avoir un impact sur l’équilibre de long terme. La troisième partie montre que les théories du taux de change d’équilibre sont contestables sur le plan théorique car elles n’explicitent pas leurs fondements théoriques et que les propriétés des taux de change d’équilibre ne correspondent pas à celles des modèles macroéconomiques ; sur le plan empirique, la procédure d’estimation économétrique est critiquable car elle postule que le taux de change observé est en moyenne à l’équilibre. L’estimation de taux de change d’équilibre s’avère donc fragile.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://spire.sciencespo.fr/hdl:/2441/53r60a8s3kup1vc9kd52ge69h/resources/a-bouveret.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Sciences Po in its series Sciences Po publications with number info:hdl:2441/53r60a8s3kup1vc9kd52ge69h.

as in new window
Length: 353 pages
Date of creation: Mar 2010
Date of revision:
Handle: RePEc:spo:wpmain:info:hdl:2441/53r60a8s3kup1vc9kd52ge69h

Contact details of provider:
Web page: http://www.sciencespo.fr/
More information through EDIRC

Related research

Keywords: Taux de change; politiques économiques; taux de change d'équilibre; FEER; BEER; NATREX; cointégration; dynamique économique; hystérèse;

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Creel, Jerome & Capoen, Fabrice & Cussy, Pascal & Lenoble-Liaud, Helene, 2003. "How to manage financial shocks: Intra-European vs. international monetary coordination," Journal of Macroeconomics, Elsevier, Elsevier, vol. 25(4), pages 431-455, December.
  2. Barbara Rossi, 2007. "Expectations hypotheses tests at Long Horizons," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 10(3), pages 554-579, November.
  3. Michael P. Dooley & David Folkerts-Landau & Peter Garber, 2004. "The revived Bretton Woods system," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 9(4), pages 307-313.
  4. Olson, Dennis, 2004. "Have trading rule profits in the currency markets declined over time?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(1), pages 85-105, January.
  5. Rebecca L Driver & Peter F Westaway, 2005. "Concepts of equilibrium exchange rates," Bank of England working papers 248, Bank of England.
  6. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, Elsevier, vol. 14(1-2), pages 3-24, February.
  7. Vigfusson, R., 1996. "Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach," Working Papers, Bank of Canada 96-1, Bank of Canada.
  8. Paul Boothe, 1991. "Interest Parity, Cointegration, and the Term Structure in Canada and the United States," Canadian Journal of Economics, Canadian Economics Association, Canadian Economics Association, vol. 24(3), pages 595-603, August.
  9. William H. Branson & Dale W. Henderson, 1984. "The Specification and Influence of Asset Markets," NBER Working Papers 1283, National Bureau of Economic Research, Inc.
  10. Christopher J. Neely, 1997. "Technical analysis in the foreign exchange market: a layman's guide," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 23-38.
  11. Cussy, Pascal & Capoen, Fabrice & Creel, Jérôme & Lenoble-Liaud, Hélène, 2003. "How to manage financial shocks : Intra-European vs. international monetary coordination," Economics Papers from University Paris Dauphine 123456789/7133, Paris Dauphine University.
  12. Dixit, A., 1988. "Entry And Exit Decisions Under Uncertainty," Papers, Princeton, Department of Economics - Financial Research Center 91, Princeton, Department of Economics - Financial Research Center.
  13. Olivier Blanchard & Justin Wolfers, 1999. "The Role of Shocks and Institutions in the Rise of European Unemployment: The Aggregate Evidence," NBER Working Papers 7282, National Bureau of Economic Research, Inc.
  14. Obstfeld, Maurice & Rogoff, Kenneth, 1995. "Exchange Rate Dynamics Redux," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1131, C.E.P.R. Discussion Papers.
  15. Fabrice Capoen & Pierre Villa, 1998. "Coordination interne et externe de la politique économique. Une analyse dynamique," Revue économique, Presses de Sciences-Po, Presses de Sciences-Po, vol. 0(3), pages 655-664.
  16. Se-Eun Jeong & Jacques Mazier, 2003. "Exchange Rate Regimes and Equilibrium Exchange Rates in East Asia," Revue économique, Presses de Sciences-Po, Presses de Sciences-Po, vol. 54(5), pages 0-0.
  17. Yin-wong Cheung & Menzie D. Chinn & Eiji Fujii, 2007. "The Overvaluation of Renminbi Undervaluation," Working Papers 112007, Hong Kong Institute for Monetary Research.
  18. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, American Finance Association, vol. 46(5), pages 1575-617, December.
  19. Frederic S. Mishkin, 1984. "The Real Interest Rate: A Multi-Country Empirical Study," Canadian Journal of Economics, Canadian Economics Association, Canadian Economics Association, vol. 17(2), pages 283-311, May.
  20. Yin-Wong Cheung & Menzie D. Chinn & Antonio Garcia Pascual, 2002. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," NBER Working Papers 9393, National Bureau of Economic Research, Inc.
  21. Nikolaos Giannellis & Athanasios Papadopoulos, 2006. "Testing for Efficiency in Selected Developing Foreign Exchange Markets: An Equilibrium-based Approach," Working Papers, University of Crete, Department of Economics 0717, University of Crete, Department of Economics.
  22. Shiller, Robert J, 1979. "The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 87(6), pages 1190-1219, December.
  23. Gocke, Matthias, 2002. " Various Concepts of Hysteresis Applied in Economics," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 16(2), pages 167-88, April.
  24. Soderlind, Paul, 1999. "Solution and estimation of RE macromodels with optimal policy," European Economic Review, Elsevier, Elsevier, vol. 43(4-6), pages 813-823, April.
  25. Dornbusch, Rudiger & Fischer, Stanley, 1980. "Exchange Rates and the Current Account," American Economic Review, American Economic Association, American Economic Association, vol. 70(5), pages 960-71, December.
  26. Henri Sterdyniak & Agnès Bénassy & Murielle Fiole & Emmanuel Fourmann, 1992. "De la flexibilité des taux de change et de ses conséquences macroéconomiques," Revue de l'OFCE, Programme National Persée, Programme National Persée, vol. 40(1), pages 201-247.
  27. Logue, Dennis E & Sweeney, Richard James, 1977. "'White-Noise' in Imperfect Markets: The Case of the Franc/Dollar Exchange Rate," Journal of Finance, American Finance Association, American Finance Association, vol. 32(3), pages 761-68, June.
  28. Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis," The Warwick Economics Research Paper Series (TWERPS) 769, University of Warwick, Department of Economics.
  29. Geert Bekaert & Min Wei & Yuhang Xing, 2002. "Uncovered Interest Rate Parity and the Term Structure," NBER Working Papers 8795, National Bureau of Economic Research, Inc.
  30. Adrian Blundell-Wignall & Frank Browne, 1991. "Increasing Financial Market Integration, Real Exchange Rates and Macroeconomic Adjustment," OECD Economics Department Working Papers 96, OECD Publishing.
  31. Baldwin, Richard & Krugman, Paul, 1989. "Persistent Trade Effects of Large Exchange Rate Shocks," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 104(4), pages 635-54, November.
  32. Berk, Jan Marc & Knot, Klaas H. W., 2001. "Testing for long horizon UIP using PPP-based exchange rate expectations," Journal of Banking & Finance, Elsevier, Elsevier, vol. 25(2), pages 377-391, February.
  33. Backus, David & Driffill, John, 1986. "The Consistency of Optimal Policy in Stochastic Rational Expectations Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers 124, C.E.P.R. Discussion Papers.
  34. Baldwin, Richard, 1990. "Hysteresis in Trade," Empirical Economics, Springer, Springer, vol. 15(2), pages 127-42.
  35. Éric Bleuze & Henri Sterdyniak, 1988. "L'interdépendance des économies en change flexible : les apports d'une maquette dynamique," Revue Économique, Programme National Persée, Programme National Persée, vol. 39(5), pages 999-1034.
  36. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  37. Beenstock, Michael & Longbottom, J Andrew, 1981. "The Term Structure of Interest Rates in a Small Open Economy," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 13(1), pages 44-59, February.
  38. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 84(6), pages 1161-76, December.
  39. Fabrice Capoen & Pierre Villa, 1998. "Coordination interne et externe de la politique économique. Une analyse dynamique," Revue Économique, Programme National Persée, Programme National Persée, vol. 49(3), pages 655-664.
  40. Francisco Maeso-Fernandez & Chiara Osbat & Bernd Schnatz, 2002. "Determinants of the Euro Real Effective Exchange Rate: A BEER/PEER Approach," Australian Economic Papers, Wiley Blackwell, Wiley Blackwell, vol. 41(4), pages 437-461, December.
  41. Maurice Obstfeld & Kenneth S. Rogoff, 1996. "Foundations of International Macroeconomics," MIT Press Books, The MIT Press, The MIT Press, edition 1, volume 1, number 0262150476, December.
  42. Benassy-Quere, Agnes & Larribeau, Sophie & MacDonald, Ronald, 2003. "Models of exchange rate expectations: how much heterogeneity?," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 13(2), pages 113-136, April.
  43. Jeffrey A. Frankel & C. Fred Bergsten & Michael L. Mussa, 1994. "Exchange Rate Policy," NBER Chapters, in: American Economic Policy in the 1980s, pages 293-366 National Bureau of Economic Research, Inc.
  44. Charles Pigott, 1993. "International interest rate convergence: a survey of the issues and evidence," Quarterly Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue Win, pages 24-37.
  45. Menzie D. Chinn & Guy Meredith, 2004. "Monetary Policy and Long-Horizon Uncovered Interest Parity," IMF Staff Papers, Palgrave Macmillan, vol. 51(3), pages 409-430, November.
  46. Shapiro, Carl & Stiglitz, Joseph E, 1984. "Equilibrium Unemployment as a Worker Discipline Device," American Economic Review, American Economic Association, American Economic Association, vol. 74(3), pages 433-44, June.
  47. Jensen, Michael C., 1978. "Some anomalous evidence regarding market efficiency," Journal of Financial Economics, Elsevier, Elsevier, vol. 6(2-3), pages 95-101.
  48. Henri Sterdyniak & Agnès Bénassy, 1992. "La détermination des taux de change dans les modèles multinationaux : l'état de l'art," Économie et Prévision, Programme National Persée, Programme National Persée, vol. 104(3), pages 39-71.
  49. Andrea Carriero, 2006. "Explaining US-UK Interest Rate Differentials: A Reassessment of the Uncovered Interest Rate Parity in a Bayesian Framework," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 879-899, December.
  50. Fabrice Capoën & Pierre Villa, 1997. "Internal and External Policy Coordination: a Dynamic Analysis," Working Papers 1997-15, CEPII research center.
  51. Henri Sterdyniak & Michèle Debonneuil, 1984. "La boucle prix-salaires dans l'inflation," Revue Économique, Programme National Persée, Programme National Persée, vol. 35(2), pages 267-312.
  52. John Williamson, 1994. "Estimating Equilibrium Exchange Rates," Peterson Institute Press: All Books, Peterson Institute for International Economics, Peterson Institute for International Economics, number 17, July.
  53. Clark, Peter B. & MacDonald, Ronald, 2004. "Filtering the BEER: A permanent and transitory decomposition," Global Finance Journal, Elsevier, vol. 15(1), pages 29-56.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:spo:wpmain:info:hdl:2441/53r60a8s3kup1vc9kd52ge69h. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Spire @ Sciences Po Library).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.