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

  • Antoine Bouveret
  • Henri Sterdyniak

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.

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Article provided by Presses de Sciences-Po in its journal Revue de l'OFCE.

Volume (Year): 93 (2005)
Issue (Month): 2 ()
Pages: 243-286

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Handle: RePEc:cai:reofsp:reof_093_0243
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  1. Campa, José Manuel, 2000. "Exchange Rates and Trade: How Important is Hysteresis in Trade?," CEPR Discussion Papers 2606, C.E.P.R. Discussion Papers.
  2. 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.
  3. 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.
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  5. Baldwin, Richard & Krugman, Paul, 1989. "Persistent Trade Effects of Large Exchange Rate Shocks," The Quarterly Journal of Economics, MIT Press, vol. 104(4), pages 635-54, November.
  6. 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.
  7. Didier Borowski & Cecile Couharde, 1999. "Quelle parite d'equilibre pour l'euro ?," Economie Internationale, CEPII research center, issue 77, pages 21-44.
  8. 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.
  9. McCausland, W David, 2000. "Exchange Rate Hysteresis from Trade Account Interaction," Manchester School, University of Manchester, vol. 68(1), pages 113-31, January.
  10. Richard Baldwin, 1988. "Hysteresis In Import Prices: The Beachhead Effect," NBER Working Papers 2545, National Bureau of Economic Research, Inc.
  11. Amable, Bruno & Henry J & Lordon F & Topol R, 1992. "Hysteresis : what it is and what it is not ?," CEPREMAP Working Papers (Couverture Orange) 9216, CEPREMAP.
  12. Peter B. Clark & Ronald MacDonald, 2000. "Filtering the Beer; A Permanent and Transitory Decomposition," IMF Working Papers 00/144, International Monetary Fund.
  13. Roberts, Mark A. & McCausland, W. David, 1999. "Multiple international debt equilibria and irreversibility," Economic Modelling, Elsevier, vol. 16(2), pages 179-188, April.
  14. Loic Cadiou, 1999. "Que faire des taux de change reels d'equilibre ?," Economie Internationale, CEPII research center, issue 77, pages 67-96.
  15. 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.
  16. De Grauwe, Paul & Dewachter, Hans, 1990. "A Chaotic Monetary Model of the Exchange Rate," CEPR Discussion Papers 466, C.E.P.R. Discussion Papers.
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