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Le taux de change euro-dollar : une approche fondee sur la co-integration avec break structurel

Listed author(s):
  • Jean-Francois Goux
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    Lorsqu’on etudie des donnees macro-economiques, il est souvent pertinent d’introduire des ruptures dans l’analyse statistique. En particulier, la technique de la co-integration avec rupture structurelle peut s’averer interessante. Cet article propose une application du modele de Johansen et al. (2000) dans le cas du taux de change euro-dollar. Nous presentons le modele pertinent pour une telle analyse et demontrons que certains fondamentaux (prix, taux d’interet) retrouvent une partie de leur pouvoir explicatif lorsque des ruptures structurelles sont introduites dans la composante deterministe. Mais le mecanisme principal reste le retour a la moyenne vers une tendance coudee.

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    Article provided by CEPII research center in its journal Economie Internationale.

    Volume (Year): (2005)
    Issue (Month): 103 ()
    Pages: 45-72

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    Handle: RePEc:cii:cepiei:2005-3tc
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