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Les modèles monétaires de taux de change : un examen empirique

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  • Éric Jondeau

Abstract

[eng] Monetary Exchange Rate Models: A New Empirical Study by Éric Jondeau . This paper makes an empirical study of the two main monetary exchange rate models, which assume perfectly flexible or short-run prices. In view of the non-stationarity of exchange rates and their determinants, the testable specifications normally from these models should be interpreted as long-run relations and the tests carried out using a multivariate error correction The monetary models are therefore estimated for the yen-dollar and the deutschemark-dollar over the 1973-1994 period. The induce a virtually systematic rejection of the flexible-prices model and appear considerably more favourable to the rigid-prices model. [fre] Les modèles monétaires de taux de change : un réexamen empirique . par Éric Jondeau . Ce papier examine, sous un angle empirique, les deux principaux modèles monétaires de taux de change, à prix supposés parfaitement flexibles ou rigides à court terme. Compte tenu de la non-stationnarité des taux de change et de leurs déterminants, les spécifications testables habituellement déduites de ces modèles doivent être interprétées comme des relations de long terme et les tests peuvent être menés dans le cadre d'un modèle à correction d'erreur multivarié. Les modèles monétaires sont donc estimés sur la période allant de 1973 à 1994 pour le yen-dollar et le mark-dollar. Les résultats conduisent à un rejet quasi systématique du modèle à prix flexibles et paraissent beaucoup plus favorables au modèle à prix rigides à court terme.

Suggested Citation

  • Éric Jondeau, 1996. "Les modèles monétaires de taux de change : un examen empirique," Économie et Prévision, Programme National Persée, vol. 123(2), pages 53-65.
  • Handle: RePEc:prs:ecoprv:ecop_0249-4744_1996_num_123_2_5790
    Note: DOI:10.3406/ecop.1996.5790
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    References listed on IDEAS

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    15. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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