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Les modèles de taux de change. Équilibre de long terme, dynamique et hystérèse

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  • Antoine Bouveret
  • Henri Sterdyniak

Abstract

Predicting exchange rates remains a tricky issue for economists. In spite of a theoretical consistent framework, macroeconomic models fail to beat random walk models and market expectations have not predictive power. The article addresses some problems of exchange rate macroeconomic modelling. The first part discusses theories of long run exchange rate equilibrium (FEER, DEER, BEER and NATREX). The second part presents a small macroeconomic model of exchange rates dynamics; it consider several modelling alternatives ? monetary policy specification, price-wages loop, portfolio and patrimonial effects ? and analyse their impacts on long run and dynamic properties. The third part introduces explicitly fiscal policy specifications. Last, the fourth part gives an example of a model with hysteresis, where temporary shocks influence the long-term exchange rate equilibrium.

Suggested Citation

  • Antoine Bouveret & Henri Sterdyniak, 2005. "Les modèles de taux de change. Équilibre de long terme, dynamique et hystérèse," Revue de l'OFCE, Presses de Sciences-Po, vol. 93(2), pages 243-286.
  • Handle: RePEc:cai:reofsp:reof_093_0243
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    References listed on IDEAS

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    1. Loic Cadiou, 1999. "Que faire des taux de change reels d'equilibre ?," Economie Internationale, CEPII research center, issue 77, pages 67-96.
    2. Cheung, Yin-Wong & Chinn, Menzie D. & Pascual, Antonio Garcia, 2005. "Empirical exchange rate models of the nineties: Are any fit to survive?," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1150-1175, November.
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    6. Roberts, Mark A. & McCausland, W. David, 1999. "Multiple international debt equilibria and irreversibility," Economic Modelling, Elsevier, vol. 16(2), pages 179-188, April.
    7. McCausland, W David, 2000. "Exchange Rate Hysteresis from Trade Account Interaction," Manchester School, University of Manchester, vol. 68(1), pages 113-131, January.
    8. Richard Baldwin & Paul Krugman, 1989. "Persistent Trade Effects of Large Exchange Rate Shocks," The Quarterly Journal of Economics, Oxford University Press, vol. 104(4), pages 635-654.
    9. Odile Chagny & Frédéric Reynès & Henri Sterdyniak, 2002. "Le taux de chômage d'équilibre. Discussion théorique et évaluation empirique," Revue de l'OFCE, Presses de Sciences-Po, vol. 81(2), pages 205-244.
    10. Dixit, Avinash K, 1989. "Entry and Exit Decisions under Uncertainty," Journal of Political Economy, University of Chicago Press, vol. 97(3), pages 620-638, June.
    11. Peter B. Clark & Steven A. Symansky & Tamim Bayoumi & Mark P. Taylor, 1994. "Robustness of Equilibrium Exchange Rate Calculations to Alternative Assumptions and Methodologies," IMF Working Papers 94/17, International Monetary Fund.
    12. Clark, Peter B. & MacDonald, Ronald, 2004. "Filtering the BEER: A permanent and transitory decomposition," Global Finance Journal, Elsevier, vol. 15(1), pages 29-56.
    13. De Grauwe, Paul & Dewachter, Hans, 1990. "A Chaotic Monetary Model of the Exchange Rate," CEPR Discussion Papers 466, C.E.P.R. Discussion Papers.
    14. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
    15. repec:spo:wpecon:info:hdl:2441/1903 is not listed on IDEAS
    16. McCausland, W David, 2002. "Exchange Rate Hysteresis: The Effects of Overshooting and Short-Termism," The Economic Record, The Economic Society of Australia, vol. 78(240), pages 60-67, March.
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    Citations

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    Cited by:

    1. Antoine Bouveret & Bruno Ducoudre, 2007. "On the Contingency of Equilibrium Exchange Rates with Time - Consistent Economic Policies," Sciences Po publications 2007-08, Sciences Po.
    2. Antoine Bouveret & Sana Mestiri & Henri Sterdyniak, 2006. "La valeur du yuan. Les paradoxes du taux de change d'équilibre," Revue de l'OFCE, Presses de Sciences-Po, vol. 98(3), pages 77-127.
    3. Antoine Bouveret & Sana Mestiri & Henri Sterdyniak, 2006. "The renminbi equilibrium exchange rate: an agnostic view," Documents de Travail de l'OFCE 2006-13, Observatoire Francais des Conjonctures Economiques (OFCE).
    4. Sosthène Ulrich GNANSOUNOU & Audrey Chouchane, 2013. "Working Paper 166 - Misalignment of Real Effective Exchange Rates: When Should the Franc CFA be Devalued Again?," Working Paper Series 445, African Development Bank.
    5. repec:spo:wpecon:info:hdl:2441/6125 is not listed on IDEAS
    6. Rey, Serge, 2009. "L’apport du NATREX à la modélisation des taux de change d’équilibre : théorie et application au dollar canadien," L'Actualité Economique, Société Canadienne de Science Economique, vol. 85(2), pages 131-181, juin.
    7. repec:dau:papers:123456789/5487 is not listed on IDEAS
    8. repec:spo:wpecon:info:hdl:2441/5282 is not listed on IDEAS
    9. Bruno Ducoudre, 2008. "Structure par terme des taux d’intérêt et anticipations de la politique économique," Sciences Po publications info:hdl:2441/5221, Sciences Po.
    10. El Bouhadi, A. & Elkhider, Abdelkader & Kchirid, El Mustapha & Idriss, El Abbassi, 2008. "LES déterminants du taux de change au Maroc : Une étude empirique
      [THE Exchange Rate Determinants in Morocco: An Empirical Investigation]
      ," MPRA Paper 24115, University Library of Munich, Germany.
    11. repec:dau:papers:123456789/5512 is not listed on IDEAS
    12. Serge REY, 2009. "Des insuffisances de la PPA à l’apport du NATREX : une revue critique des théories du taux de change réel d’équilibre," Working Papers 5, CATT - UPPA - Université de Pau et des Pays de l'Adour, revised Nov 2009.

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