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Théorie des zones cibles et fonctionnement du SME

  • Antoine Magnier
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    [spa] Presentación simple de la teoría de las zonas objetivo y de sus aplicaciones al estudio del SME, por Antoine Magnier. En el presente artículo se propone en primer lugar una presentación simple de la teoría de las zonas objetivo de tipo de cambio, y se muestra hasta qué punto dicha teoría proporciona un marco teórico pertinente para el estudio del SME. Acto seguido se analizan sus puntos débiles empíricos. No obstante, la realidad del SME puede comprenderse con mayor facilidad realizando determinadas adaptaciones, entre las cuales cabe destacar la supresión de la hipótesis de credibilidad perfecta. Esto permite poner de relieve un notable refuerzo, en los ultimos años, de la credibilidad de los márgenes de fluctuación del SME, y en particular los del franco francés respecte al deutschemark. [fre] Une présentation simple de la théorie des zones cibles et de ses applications à l'étude du SME, par Antoine Magnier. Cet article propose une présentation simple de la théorie des zones cibles de taux de change et montre dans quelle mesure elle fournit un cadre théorique pertinent pour l'étude du SME. Ses faiblesses empiriques sont analysées. Cependant certaines adaptations, dont surtout la levée de l'hypothèse de crédibilité parfaite, permettent de mieux appréhender la réalité du SME. On peut alors mettre en évidence un net renforcement, ces dernières années, de la crédibilité des marges de fluctuation du SME, en particulier celles du franc français face au deutschemark. [ger] Eine einfache Darstellung der Theorie der Zielbereiche und ihrer Anwendungen auf die Untersuchung des EWS, von Antoine Magnier. Dieser Artikel enthalt eine einfache Darstellung der Theorie der Wechselkurs-Zielbereiche und zeigt, inwiefern sie einen relevanten theoretischen Rahmen für die Untersuchung des EWS darstellt. Hierbei werden ihre empirische Schwächen analysiert. Manche Anpassungen, insbesondere die Aufhebung der Hypothèse der vollkommenen Glaubwürdigkeit, ermöglichen allerdings ein besseres Verständnis der Realität des EWS. Es läßt sich dann eine deutliche Stärkung der Glaubwürdigkeit der EWS-Schwankungsbreiten, vor allem zwischen dem franzôsischen Franc und der Deutschen Mark wàhrend der letzten Jahre erkennen. [eng] A Basic Presentation of the Theory of Target Zone and how it Applies to Studies on the EMS, by Antoine Magnier. A basic presentation of the theory of target zones for exchange rates is developed in this paper showing to what degree it provides a theoretical framework relevant for studies on the EMS. Its empirical weaknesses are analyzed. Some of the adaptations, however, especially the removal of the perfect credibility hypothesis, help us to better understand what the EMS actually is. Over the past years, the credibility of the EMS's fluctuation margins has grown increasingly, particularly those regarding the French Franc against the Deutschemark.

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    File URL: http://dx.doi.org/doi:10.3406/ecop.1992.5295
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    File URL: http://www.persee.fr/doc/ecop_0249-4744_1992_num_104_3_5295
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    Article provided by Programme National Persée in its journal Économie & prévision.

    Volume (Year): 104 (1992)
    Issue (Month): 3 ()
    Pages: 87-113

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    Handle: RePEc:prs:ecoprv:ecop_0249-4744_1992_num_104_3_5295
    Note: DOI:10.3406/ecop.1992.5295
    Contact details of provider: Web page: http://www.persee.fr/collection/ecop

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    1. Robert P. Flood & Peter M. Garber, 1989. "The Linkage Between Speculative Attack and Target Zone Models of Exchange Rates," NBER Working Papers 2918, National Bureau of Economic Research, Inc.
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    3. Svensson, L.E.O., 1989. "Target Zones And Interest Rate Variability," Papers 457, Stockholm - International Economic Studies.
    4. Goldfeld, Stephen M. & Sichel, Daniel E., 1990. "The demand for money," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 8, pages 299-356 Elsevier.
    5. Kenneth A. Froot & Maurice Obstfeld, 1989. "Stochastic Process Switching: Some Simple Solutions," NBER Working Papers 2998, National Bureau of Economic Research, Inc.
    6. Marcus Miller & Paul Weller, 1990. "Currency Bands, Target Zones, and Cash Limits; Thresholds for Monetary and Fiscal Policy," IMF Working Papers 90/6, International Monetary Fund.
    7. Svensson, Lars E. O., 1992. "The foreign exchange risk premium in a target zone with devaluation risk," Journal of International Economics, Elsevier, vol. 33(1-2), pages 21-40, August.
    8. Holt, Matthew T & Johnson, Stanley R, 1989. "Bounded Price Variation and Rational Expectations in an Endogenous Switching Model of the U.S. Corn Market," The Review of Economics and Statistics, MIT Press, vol. 71(4), pages 605-13, November.
    9. Svensson, Lars E O, 1991. "The Term Structure of Interest Rate Differentials in a Target Zone: Theory and Swedish Data," CEPR Discussion Papers 495, C.E.P.R. Discussion Papers.
    10. Svensson, L.E.O., 1990. "The Simplest Test of Target Zone Credibility," Papers 469, Stockholm - International Economic Studies.
    11. Bartolini, Leonardo & Bodnar, Gordon M., 1992. "Target zones and forward rates in a model with repeated realignments," Journal of Monetary Economics, Elsevier, vol. 30(3), pages 373-408, December.
    12. Flood, Robert P. & Rose, Andrew K. & Mathieson, Donald J., 1991. "An empirical exploration of exchange-rate target-zones," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 35(1), pages 7-65, January.
    13. Francisco Delgado & Bernard Dumas, 1991. "Target Zones Big and Small," NBER Working Papers 3601, National Bureau of Economic Research, Inc.
    14. Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
    15. Bernard Dumas & Lars E.O. Svensson, 1991. "How Long do Unilateral Target Zones Last?," NBER Working Papers 3931, National Bureau of Economic Research, Inc.
    16. Rose, Andrew K & Svensson, Lars E O, 1991. "Expected and Predicted Realignments: The FF/DM Exchange Rate During the EMS," CEPR Discussion Papers 552, C.E.P.R. Discussion Papers.
    17. Robert P. Flood & Peter M. Garber, 1982. "A model of stochastic process switching," International Finance Discussion Papers 201, Board of Governors of the Federal Reserve System (U.S.).
    18. Bertola, Giuseppe & Caballero, Ricardo, 1991. "Sustainable Intervention Policies and Exchange Rate Dynamics," CEPR Discussion Papers 504, C.E.P.R. Discussion Papers.
    19. W. R. M. Perraudin, 1990. "Exchange Rate Bands with Point Process Fundamentals," IMF Working Papers 90/108, International Monetary Fund.
    20. Miller M. & Weller, P., 1990. "Exchange Rate Bands With Price Inertia," The Warwick Economics Research Paper Series (TWERPS) 337, University of Warwick, Department of Economics.
    21. Bodnar, G., 1991. "Target Zones and Euro-Rates: A Model of Eurocurrency Interest Rate Differentials in the European Monetary System," Papers 91-03, Rochester, Business - General.
    22. Shonkwiler, J S & Maddala, G S, 1985. "Modeling Expectations of Bounded Prices: An Application to the Market for Corn," The Review of Economics and Statistics, MIT Press, vol. 67(4), pages 697-702, November.
    23. Smith, Gregor W, 1991. "Solution to a Problem of Stochastic Process Switching," Econometrica, Econometric Society, vol. 59(1), pages 237-39, January.
    24. Weber, Axel A, 1991. "Stochastic Process Switching and Intervention in Exchange Rate Target Zones: Empirical Evidence from the EMS," CEPR Discussion Papers 554, C.E.P.R. Discussion Papers.
    25. Willem H. Buiter & Paolo A. Pesenti, 1990. "Rational Speculative Bubbles in an Exchange Rate Target Zone," NBER Working Papers 3467, National Bureau of Economic Research, Inc.
    26. Francisco Delgado & Bernard Dumas, 1990. "Monetary Contracting Between Central Banks and the Design of SustainableExchange-Rate Zones," NBER Working Papers 3440, National Bureau of Economic Research, Inc.
    27. Bertola, Giuseppe & Svensson, Lars E O, 1991. "Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models," CEPR Discussion Papers 513, C.E.P.R. Discussion Papers.
    28. Axel A. Weber, 1991. "Stochastic Process Switching and Intervention in Exchange Rate Target Zones: Empirical Evidence from the EMS," Volkswirtschaftliche Diskussionsbeiträge 20-91, Universität Siegen, Fakultät Wirtschaftswissenschaften, Wirtschaftsinformatik und Wirtschaftsrecht.
    29. Froot, Kenneth & Obstfeld, Maurice, 1991. "Exchange Rate Dynamics Under Stochastic Regime Shifts: A Unified Approach," CEPR Discussion Papers 522, C.E.P.R. Discussion Papers.
    30. 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.
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    34. Bertola, Giuseppe & Caballero, Ricardo, 1990. "Target Zones and Realignments," CEPR Discussion Papers 398, C.E.P.R. Discussion Papers.
    35. repec:fth:pennfi:1991-2 is not listed on IDEAS
    36. Lars E. O. Svensson, 1991. "Assessing Target Zone Credibility; Mean Reversion and Devaluation Expectations in the EMS," IMF Working Papers 91/96, International Monetary Fund.
    37. Klein, Michael W. & Lewis, Karen K., 1993. "Learning about intervention target zones," Journal of International Economics, Elsevier, vol. 35(3-4), pages 275-295, November.
    38. M. Hashem Pesaran & Hossein Samiei, 1991. "Estimating Limited-Dependent Rational Expectations Models: With an Application to Exchange Rate Determination in a Target Zone," UCLA Economics Working Papers 612, UCLA Department of Economics.
    39. Pesaran, M.H. & Samiei, H., 1991. "An Analysis of the determination of Dutsche Mark/French Franc Exchange rate in a Discrete-Time Target-Zone Model," Papers 38, California Los Angeles - Applied Econometrics.
    40. Karen K. Lewis, 1990. "Occasional Interventions to Target Rates with a Foreign Exchange Application," NBER Working Papers 3398, National Bureau of Economic Research, Inc.
    41. Francis X. Diebold & James M. Nason, 1989. "Nonparametric exchange rate prediction?," Finance and Economics Discussion Series 81, Board of Governors of the Federal Reserve System (U.S.).
    42. Paul Krugman & Julio Rotemberg, 1990. "Target Zones with Limited Reserves," NBER Working Papers 3418, National Bureau of Economic Research, Inc.
    43. Paul R. Krugman, 1987. "Trigger Strategies and Price Dynamics in Equity and Foreign Exchange Markets," NBER Working Papers 2459, National Bureau of Economic Research, Inc.
    44. Axel A. Weber, 1991. "Time-Varying Devaluation Risk, Interest Rate Differentials and Exchange Rates in Target Zones: Empirical Evidence from the EMS," Volkswirtschaftliche Diskussionsbeiträge 25-91, Universität Siegen, Fakultät Wirtschaftswissenschaften, Wirtschaftsinformatik und Wirtschaftsrecht.
    45. Delgado, F. & Dumas, B., 1990. "Monetary Contracting Between Central Banks And The Design Of Sustainable Exchange-Rate Zones," The Warwick Economics Research Paper Series (TWERPS) 360, University of Warwick, Department of Economics.
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