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Fragilité des systèmes de change fixe et contrôle des capitaux

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  • Bernard Bensaïd
  • Olivier Jeanne

Abstract

[fre] Fragilité des systèmes de change fixe et contrôle des capitaux par Bernard Bensaïd et Olivier Jeanne . Nous étudions dans cet article la dynamique des crises de change sous les deux hypothèses suivantes. Premièrement, augmenter le taux d'intérêt nominal pour défendre la monnaie est coûteux, au delà d'un certain niveau, pour le gouvernement. Deuxièmement, le niveau de taux d'intérêt que le gouvernement est prêt à supporter avant de renoncer à défendre la monnaie n'est pas parfaitement connu par les acteurs du marché des changes. Nous montrons que sous ces conditions, des crises de change autoréalisatrices peuvent apparaître indépendamment des fondamentaux, et forcer le gouvernement à quitter le système de change fixe. Nous caractérisons ensuite les conditions sous lesquelles des contrôles des capitaux peuvent faire disparaître ce type d'instabilité. [eng] The Vulnerability of Fixed Exchange Rate Systems and Capital Control by Bernard Bensaïd and Olivier Jeanne . In this paper, we study the dynamics of currency crises under the following two hypotheses. First, it is costly for the to raise the nominal interest rate above a certain level in order to defend the currency. Second, the interest rate level that government is willing to bear before it decides opt out is not perfectly known by the foreign exchange market players. We that, given these conditions, the fixed exchange rate system is vulnerable to self-fulfilling currency crises unconnected with fundamentals and that such crises could force the government to opt out of the fixed exchange rate system. We then specify conditions under which capital controls might deter this type of currency crisis.

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  • Bernard Bensaïd & Olivier Jeanne, 1996. "Fragilité des systèmes de change fixe et contrôle des capitaux," Économie et Prévision, Programme National Persée, vol. 123(2), pages 163-174.
  • Handle: RePEc:prs:ecoprv:ecop_0249-4744_1996_num_123_2_5796
    DOI: 10.3406/ecop.1996.5796
    Note: DOI:10.3406/ecop.1996.5796
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    2. Paul R. Masson, 1999. "Multiple equilibria, contagion, and the emerging market crises," Proceedings, Federal Reserve Bank of San Francisco, issue Sep.

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