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Crédibilité et fondamentaux macro-économiques au sein du SME : un examen empirique

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  • Benoît Cœuré
  • Antoine Magnier

Abstract

[fre] Crédibilité et fondamentaux macro-économiques au sein du SME : un examen empirique . par Benoît Cœuré et Antoine Magnier . Le lien entre la crédibilité des parités au sein du SME et l'évolution des fondamentaux macro-économiques est au centre du débat économique né au lendemain des crises de change de 1992 et 1993. Cette étude propose une évaluation empirique de ce lien durant la période 1983-1 993 . Dans un premier temps, nous construisons une mesure des anticipations de dévaluation des parités franc/mark et lire/mark à partir de la méthode dite de "correction de la dérive" du taux de change dans un régime de zone-cible. Dans un second temps, à partir d'une modélisation War non-stationnaire, des tests de causalité au sens de Granger et le calcul de fonctions de réponse à des chocs macro-économiques permettent d'évaluer le rôle des fondamentaux dans la formation des anticipations de dévaluation. Certaines variables macro-économiques semblent bien affecter la crédibilité des parités considérées sur la période 1983-1993 mais ces liens apparaissent généralement peu intuitifs et peu significatifs d'un point de vue économique. On constate toutefois que l'effet de chocs exogènes sur la crédibilité de la parité franc/mark tend à s'estomper assez rapidement tandis que cet effet semble très persistant dans le cas de la parité lire/mark. Les résultats ne permettent pas de conclure véritablement quant à la nature des crises de change de 1992 et 1993 mais suggèrent que l'explication théorique des crises en terme d'équilibres multiples puisse être en partie justifiée. Ils soulignent surtout la nécessité d'une approche économétrique plus structurelle. [eng] EMS Credibility and Macroeconomic Fundamentals: An Empirical Study by Benoît Cœuré and Antoine Magnier . The connection between the credibility of the EMS parities and changes in macroeconomic fundamentals is at the core of the economic debate that started following the 1992 and 1993 exchange rate crises. This study proposes an empirical evaluation of this link over the 1983-1993 period. We first put together a measure of devaluation expectations for the French franc/deutschemark and lira/deutschemark parities using the method of exchange rate "drift correction" in a target-zone arrangement. We then use non-stationary VAR modeling, Granger causality tests and the calculation of response-to-macroeconomic-shock functions to evaluate the role of the fundamentals in the formation of devaluation expectations. Certain macroeconomic variables seem to affect the credibility of the parities studied over the 1983-1993 period, but these links do not generally appear to be particularly intuitive or significant from an economic point of view. Nevertheless, the effect of exogenous shocks on the credibility of the French franc/deutschemark parity tends to ease off fairly quickly, while this same effect appears highly persistent in the case of the lira/deutschemark parity. The results are not really conclusive as regards the nature of the 1992 and 1993 exchange rate crises. However, they do suggest that the theoretical explanation for the crises in terms of multiple equilibria could be justified in part. More importantly, the results underscore the need for a more structural econometric approach.

Suggested Citation

  • Benoît Cœuré & Antoine Magnier, 1996. "Crédibilité et fondamentaux macro-économiques au sein du SME : un examen empirique," Économie et Prévision, Programme National Persée, vol. 123(2), pages 113-146.
  • Handle: RePEc:prs:ecoprv:ecop_0249-4744_1996_num_123_2_5794
    Note: DOI:10.3406/ecop.1996.5794
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