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Les modèles de crise de change : un essai de synthèse en relation avec la crise du franc de 1992-1993

  • Olivier Jeanne

[eng] Exchange Rate Crisis Models: A Summary Focusing on the 1992-1993 French franc Crisis . by Olivier Jeanne . The purpose of this article is to provide a summary presentation and comparison of the exchange rate crisis mechanisms posited by economic theory; to identify the assumptions suggested by these mechanisms as to the origin of the 1992-1993 French franc crisis; and to compare them with the "stylised facts". We distinguish two theoretical approaches: speculative attack models and the "opt-out clause" approach. The speculative attack models focus the analysis on the phenomenon of the drain on exchange reserves when crises occur. The opt-out clause approach looks more at the reasons why monetary authorities choose to defend or not defend the currency when it is attacked. The opt-out clause approach makes the connection between the French franc crisis and certain fundamentals such as French unemployment and Germany's monetary policy. Moreover, the two approaches concur with the assumption that the French franc crisis was not caused by fundamentals, but was self-fulfilling. [fre] Les modèles de crise de change : un essai de synthèse en relation avec la crise du franc de 1992-1993 . par Olivier Jeanne . Cet article tente de présenter et comparer dans un cadre synthétique les mécanismes de crise de change proposés par la théorie économique; dégager les hypothèses qu'ils suggèrent sur l'origine de la crise du franc de 1992-1993, avant de les confronter aux "faits stylisés". On distingue deux approches théoriques, celle des modèles d'attaque spéculative et l'approche avec "clause de sortie". Les modèles d'attaque spéculative concentrent l'analyse sur le phénomène de fuite des réserves de change qui se produit au moment de la crise. Dans l'approche avec clause de sortie, on s'interroge plutôt sur les raisons pour lesquelles les autorités monétaires choisissent de défendre ou non la monnaie quand elle est attaquée. L'approche avec clause de sortie permet de faire le lien entre la crise du franc et certains fondamentaux comme le chômage français ou la politique monétaire allemande. Par ailleurs, les deux approches sont compatibles avec l'hypothèse selon laquelle la crise du franc n'était pas causée par les fondamentaux, mais autoréalisatrice.

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

Volume (Year): 123 (1996)
Issue (Month): 2 ()
Pages: 147-162

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_1996_num_123_2_5795
Note: DOI:10.3406/ecop.1996.5795
Contact details of provider: Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecop

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  5. Rose, Andrew K. & Svensson, Lars E. O., 1994. "European exchange rate credibility before the fall," European Economic Review, Elsevier, vol. 38(6), pages 1185-1216, June.
  6. Paul Krugman, 1996. "Are Currency Crises Self-Fulfilling?," NBER Chapters, in: NBER Macroeconomics Annual 1996, Volume 11, pages 345-407 National Bureau of Economic Research, Inc.
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  12. Sushil Bikhchandani & David Hirshleifer & Ivo Welch, 2010. "A theory of Fads, Fashion, Custom and cultural change as informational Cascades," Levine's Working Paper Archive 1193, David K. Levine.
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  20. Blackburn, Keith & Sola, Martin, 1993. " Speculative Currency Attacks and Balance of Payments Crises," Journal of Economic Surveys, Wiley Blackwell, vol. 7(2), pages 119-44, June.
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