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La détermination des taux de change dans les modèles multinationaux : l'état de l'art

Listed author(s):
  • Agnès Bénassy
  • Henri Sterdyniak

[eng] Establishing Exchange Rates in Multinational Models : A State of the Art, by Agnès Bénassy, Henri Sterdyniak. This article analyses different theoretical models for establishing exchange rates and develops those which are used in multinational models. It examines the impact of choices over expectations,the balance sheet effects and monetary policy. This theoretical framework then makes it possible to examine how multinational empirical models handle exchange rates. [fre] La détermination des taux de change dans les modèles multinationaux : l'état de l'art, par Agnès Bénassy, Henri Sterdyniak. Cet article analyse les différents modèles théoriques de détermination du taux de change et présente ceux qui sont retenus dans les modèles multinationaux. Il examine l'impact des choix relatifs aux anticipations, aux effets patrimoniaux et à la politique monétaire. Ce cadre théorique permet ensuite d'étudier la manière dont les modèles empiriques multinationaux traitent les taux de change. [ger] Die Bestimmung der Wechselkurse in den multinationalen Modellen: eine Bestandsaufnahme, von Agnès Bénassy, Henri Sterdyniak. In diesem Artikel werden die verschiedenen theoretischen Modelle für die Bestimmung der Wechselkurse analysiert und diejenigen aufgeführt, die bei den multinationalen Modellen zur Anwendung kommen. Untersucht wird die jeweilige Auswirkung der Optionen hinsichtlich der Vorwegnahmen, der Folgen für die Bilanzvermögenswerte sowie der Währungspolitik. Innerhalb dieses theoretischen Rahmens kann dann untersucht werden, wie die Wechselkurse in den multinationalen empirischen Modellen behandelt werden. [spa] Determinación de los tipos de cambio en los modelos multinacionales: estado del arte, por Agnès Bénassy y Henri Sterdyniak. En el presente artículo se analizan los diversos modelos teóricos de determinación del tipo de cambio y se presentan los utilizados en los modelos multinacionales. Acto seguido se analiza el impacto de las decisiones relativas a las anticipaciones, a los efectos patrimoniales y a la política monetaria. Este marco teórico permite estudiar a continuación la forma en que los modelos empíricos tratan los tipos de cambio.

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Article provided by Programme National Persée in its journal Économie & prévision.

Volume (Year): 104 (1992)
Issue (Month): 3 ()
Pages: 39-71

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_1992_num_104_3_5293
Note: DOI:10.3406/ecop.1992.5293
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  1. Masson, Paul R., 1981. "Dynamic stability of portfolio balance models of the exchange rate," Journal of International Economics, Elsevier, vol. 11(4), pages 467-477, November.
  2. Branson, William H. & Henderson, Dale W., 1985. "The specification and influence of asset markets," Handbook of International Economics,in: R. W. Jones & P. B. Kenen (ed.), Handbook of International Economics, edition 1, volume 2, chapter 15, pages 749-805 Elsevier.
  3. Henri Sterdyniak & Éric Bleuze, 1988. "L'interdépendance des économies en change flexible : les apports d'une maquette dynamique," Revue Économique, Programme National Persée, vol. 39(5), pages 999-1034.
  4. Pete Richardson, 1990. "Simulating the OECD INTERLINK Model under Alternative Monetary Policy Rules," OECD Economics Department Working Papers 85, OECD Publishing.
  5. Ralph C. Bryant & John F. Helliwell & Peter Hooper, 1989. "Domestic and cross-border consequences of U.S. macroeconomic policies," International Finance Discussion Papers 344, Board of Governors of the Federal Reserve System (U.S.).
  6. Amano, Akihiro & Holtham, Gerald & Hooper, Peter & Pauly, Peter, 1986. "Comparative exchange rate simulations," European Economic Review, Elsevier, vol. 30(1), pages 131-135, February.
  7. Robert A. Mundell, 1962. "The Appropriate Use of Monetary and Fiscal Policy for Internal and External Stability," IMF Staff Papers, Palgrave Macmillan, vol. 9(1), pages 70-79, March.
  8. Burridge, Mark & Dhar, Shamik & Mayes, David & Meen, Geoffrey & Neal, Edwina & Tyrrell, Nick & Walker, John, 1991. "Oxford economic forecasting's system of models," Economic Modelling, Elsevier, vol. 8(3), pages 227-227, July.
  9. Kaneko, Takafumi & Yasuhara, Norikazu, 1986. "Exchange rate simulations with the EPA world economic model," European Economic Review, Elsevier, vol. 30(1), pages 237-259, February.
  10. Dornbusch, Rudiger & Fischer, Stanley, 1980. "Exchange Rates and the Current Account," American Economic Review, American Economic Association, vol. 70(5), pages 960-971, December.
  11. Pete Richardson, 1987. "A Review of the Simulation Properties of OECD's INTERLINK Model," OECD Economics Department Working Papers 47, OECD Publishing.
  12. 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.
  13. Warwick J. McKibbin & Jeffrey D. Sachs, 1989. "The McKibbin-Sachs Global Model: Theory and Specifications," NBER Working Papers 3100, National Bureau of Economic Research, Inc.
  14. Amano, Akihiro, 1986. "Exchange rate simulations : A comparative study," European Economic Review, Elsevier, vol. 30(1), pages 137-148, February.
  15. David T. Coe & Richard Herd & Marie-Christine Bonnefous, 1987. "International Investment-Income Determination in INTERLINK: Models for 23 OECD Countries and Six Non-OECD Regions," OECD Economics Department Working Papers 45, OECD Publishing.
  16. Hooper, Peter, 1986. "Exchange rate simulation properties of the MCM," European Economic Review, Elsevier, vol. 30(1), pages 171-198, February.
  17. A. Blundell-Wignall & M. Rondoni & Helmut Ziegelschmidt & J. Morgan, 1984. "Monetary Policy in the OECD INTERLINK Model," OECD Economics Department Working Papers 16, OECD Publishing.
  18. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-1176, December.
  19. Henri Sterdyniak & Michèle Debonneuil, 1984. "La boucle prix-salaires dans l'inflation," Revue Économique, Programme National Persée, vol. 35(2), pages 267-312.
  20. Pete Richardson, 1987. "Recent Developments in OECD's International Macroeconomic Model," OECD Economics Department Working Papers 46, OECD Publishing.
  21. Hali J. Edison & Jaime R. Marquez & Ralph W. Tryon, 1986. "The structure and properties of the FRB multicountry model.Part I: Model description and simulation results," International Finance Discussion Papers 293, Board of Governors of the Federal Reserve System (U.S.).
  22. Simon Wren-Lewis, 1987. "Introducing Exchange-Rate Equations Into a World Econometric Model," National Institute Economic Review, National Institute of Economic and Social Research, vol. 119(1), pages 57-67, February.
  23. Henderson, Dale W. & Rogoff, Kenneth, 1982. "Negative net foreign asset positions and stability in a world portfolio balance model," Journal of International Economics, Elsevier, vol. 13(1-2), pages 85-104, August.
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