IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Théorie des zones cibles et fonctionnement du SME

  • Antoine Magnier
Registered author(s):

    [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. [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. [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. [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.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://dx.doi.org/doi:10.3406/ecop.1992.5295
    Download Restriction: no

    File URL: http://www.persee.fr/articleAsPDF/ecop_0249-4744_1992_num_104_3_5295/ecop_0249-4744_1992_num_104_3_5295.pdf?mode=light
    Download Restriction: no

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

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

    as
    in new window

    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/web/revues/home/prescript/revue/ecop

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as in new window
    1. Michael W. Klein & Karen K. Lewis, 1991. "Learning About Intervention Target Zones," NBER Working Papers 3674, National Bureau of Economic Research, Inc.
    2. 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.
    3. Bertola, G. & Svensson, L.E., 1990. "Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models," Papers 481, Stockholm - International Economic Studies.
    4. 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.
    5. Svensson, Lars E O, 1991. "The Simplest Test of Target Zone Credibility," CEPR Discussion Papers 493, C.E.P.R. Discussion Papers.
    6. 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.).
    7. Svensson, L.E.O., 1989. "Target Zones And Interest Rate Variability," Papers 457, Stockholm - International Economic Studies.
    8. Froot, Kenneth A. & Obstfeld, Maurice, 1991. "Exchange-rate dynamics under stochastic regime shifts : A unified approach," Journal of International Economics, Elsevier, vol. 31(3-4), pages 203-229, November.
    9. Svensson, L.E., 1990. "The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk," Papers 475, Stockholm - International Economic Studies.
    10. 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.
    11. repec:fth:pennfi:1991-2 is not listed on IDEAS
    12. Paul Krugman & Julio Rotemberg, 1990. "Target Zones with Limited Reserves," NBER Working Papers 3418, National Bureau of Economic Research, Inc.
    13. 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.
    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. Jeffrey A. Frankel & Kenneth Froot, 1990. "Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market," NBER Working Papers 3470, National Bureau of Economic Research, Inc.
    16. Froot, Kenneth A & Obstfeld, Maurice, 1991. "Stochastic Process Switching: Some Simple Solutions," Econometrica, Econometric Society, vol. 59(1), pages 241-50, January.
    17. 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.
    18. 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.
    19. Holt, Matthew & Johnson, Stanley R., 1989. "Bounded Price Variation and Rational Expectations in an Endogenous Switching Model of the U.S. Corn Market," Staff General Research Papers 267, Iowa State University, Department of Economics.
    20. Andrew K. Rose & Lars E.O. Svensson, 1991. "Expected and Predicted Realignments: The FF/DM Exchange Rate During the EMS," NBER Working Papers 3685, National Bureau of Economic Research, Inc.
    21. Flood, Robert P & Garber, Peter M, 1991. "The Linkage between Speculative Attack and Target Zone Models of Exchange Rates," The Quarterly Journal of Economics, MIT Press, vol. 106(4), pages 1367-72, November.
    22. 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.
    23. W. R. M. Perraudin, 1990. "Exchange Rate Bands with Point Process Fundamentals," IMF Working Papers 90/108, International Monetary Fund.
    24. Miller, Marcus & Weller, Paul, 1991. "Exchange Rate Bands with Price Inertia," Economic Journal, Royal Economic Society, vol. 101(409), pages 1380-99, November.
    25. 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.
    26. Bertola, Giuseppe & Caballero, Ricardo J, 1992. "Target Zones and Realignments," American Economic Review, American Economic Association, vol. 82(3), pages 520-36, June.
    27. Dumas, B. & Svensson, L.E.O., 1994. "How Long Do Unilateral Target Zones Last?," DELTA Working Papers 94-06, DELTA (Ecole normale supérieure).
    28. Smith, Gregor W, 1991. "Solution to a Problem of Stochastic Process Switching," Econometrica, Econometric Society, vol. 59(1), pages 237-39, January.
    29. 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.
    30. Francisco Delgado & Bernard Dumas, 1991. "Target Zones Big and Small," NBER Working Papers 3601, National Bureau of Economic Research, Inc.
    31. 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.
    32. Bertola, Giuseppe & Caballero, Ricardo, 1991. "Sustainable Intervention Policies and Exchange Rate Dynamics," CEPR Discussion Papers 504, C.E.P.R. Discussion Papers.
    33. 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.
    34. 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.
    35. Buiter, Willem H. & Pesenti, Paolo, 1990. "Rational Speculative Bubbles in an Exchange Rate Target Zone," CEPR Discussion Papers 479, C.E.P.R. Discussion Papers.
    36. 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.
    37. Lindberg, H. & Soderlind, P., 1991. "Testing the Basic Target Zone Model on Swedish Data," Papers 488, Stockholm - International Economic Studies.
    38. 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.).
    39. 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.
    40. Miller, Marcus & Weller, Paul, 1990. "Currency Bonds, Target Zones and Cash Limits: Thresholds for Monetary and Fiscal Policy," CEPR Discussion Papers 382, C.E.P.R. Discussion Papers.
    41. Gordon M. Bodnar & Leonardo Bartolini, 1992. "Target Zones and Forward Rates in a Model with Repeated Realignments," IMF Working Papers 92/22, International Monetary Fund.
    42. Karen K. Lewis, 1990. "Occasional Interventions to Target Rates with a Foreign Exchange Application," NBER Working Papers 3398, National Bureau of Economic Research, Inc.
    43. Lee, Bong-Soo & Ingram, Beth Fisher, 1991. "Simulation estimation of time-series models," Journal of Econometrics, Elsevier, vol. 47(2-3), pages 197-205, February.
    44. 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.
    45. Meese, Richard A & Rose, Andrew K, 1990. "Nonlinear, Nonparametric, Nonessential Exchange Rate Estimation," American Economic Review, American Economic Association, vol. 80(2), pages 192-96, May.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:prs:ecoprv:ecop_0249-4744_1992_num_104_3_5295. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Equipe PERSEE)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.