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Le nouveau SME est-il plus asymétrique que l'ancien ?

  • Christian Bordes
  • Éric Girardin
  • Velayoudom Marimoutou

[eng] Is the New EMS More Asymmetric than the Old? by Christian Bordes, Éric Girardin and Velayoudom M arimoutou The purpose of this paper is to make a new study of the asymmetric relations between the interest rates of the EMS member and the German interest rates. The approach is twofold. First, we select a formulation in terms of the response function of monetary authorities. In addition to the American rates, which explain the external influences on the EMS, the VAR model also includes the rates of inflation for an EMS member country and Germany. Secondly, we extend the estimation period to expansion of the margins and carry out stability tests to show that 1987 was a major break point. This break can be associated the relaxation of capital controls. Over these two sub-periods, the EMS appears as an asymmetric system due to the fact that influence of the German rate innovations on the forecasting errors for the other European rates is three times greater overall the influence in the reverse direction. The new EMS generally looks at least as asymmetric as the old and probably more so in French case. [fre] Le nouveau SME est-il plus asymétrique que l'ancien ? par Christian Bordes, Éric Girardin et Velayoudom Marimoutou Le présent article s'efforce de renouveler l'examen des relations d'asymétrie entre les taux d'intérêt des pays membres du SME et les taux d'intérêt allemand, de deux manières. D'abord, en retenant une formulation en termes de fonction de réaction des autorités monétaires. Outre les taux américains qui rendent compte des influences externes sur le SME, le modèle Var retenu inclut ainsi les taux d'inflation d'un pays membre du SME et de l'Allemagne. En second lieu, on étend la période d'estimation jusqu'à l'élargissement des marges et l'on procède à des tests de stabilité qui mettent en évidence l'année 1987 comme rupture majeur, que l'on peut associer à l'assouplissement des contrôles sur les mouvements de capitaux. Sur ces deux sous-périodes, le SME apparaît comme un système asymétrique car l'influence des innovations du taux allemand sur les erreurs de prévision des autres taux européens est globalement trois fois plus forte que l'influence en sens contraire. Le nouveau SME apparaît en moyenne au moins aussi asymétrique que l'ancien et sans doute plus dans le cas français.

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

Volume (Year): 123 (1996)
Issue (Month): 2 ()
Pages: 175-188

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_1996_num_123_2_5797
Note: DOI:10.3406/ecop.1996.5797
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  1. Bernanke, Ben S., 1986. "Alternative explanations of the money-income correlation," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 49-99, January.
  2. Karfakis, C. J. & Moschos, D.M., 1990. "Interest Rate Linkages Within the European Monetary System: A Time Series Analysis," Working Papers 144, University of Sydney, School of Economics.
  3. Christopher A. Sims, 1986. "Are forecasting models usable for policy analysis?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 2-16.
  4. Koedijk, Kees G. & Kool, Clemens J. M., 1992. "Dominant interest and inflation differentials within the EMS," European Economic Review, Elsevier, vol. 36(4), pages 925-943, May.
  5. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
  6. Herz, Bernhard & Roger, Werner, 1992. "The EMS is a greater Deutschmark area," European Economic Review, Elsevier, vol. 36(7), pages 1413-1425, October.
  7. Michele Fratianni & Juergen Hagen, 1990. "German dominance in the EMS," Open Economies Review, Springer, vol. 1(1), pages 67-87, February.
  8. De Grauwe, Paul, 1989. "Is the European Monetary System a DM-Zone?," CEPR Discussion Papers 297, C.E.P.R. Discussion Papers.
  9. Henry, Jerome & Jens Weidmann, 1994. "Asymmetry in the EMS revisited: Evidence from the causality analysis of daily Eurorates," Discussion Paper Serie B 280, University of Bonn, Germany.
  10. Allan D. Brunner, 1994. "The federal funds rate and the implementation of monetary policy: estimating the Federal Reserve's reaction function," International Finance Discussion Papers 466, Board of Governors of the Federal Reserve System (U.S.).
  11. Katsimbris, George M & Miller, Stephen M, 1993. "Interest Rate Linkages within the European Monetary System: Further Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(4), pages 771-79, November.
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