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Sensibilités des taux de change d'équilibre aux output gaps et aux cibles de la balance courante

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Listed:
  • Didier Borowski
  • Cécile Couharde
  • Florence Thibault

Abstract

[fre] Sensibilités des taux de change d'équilibre aux output gaps et aux cibles de balance courante. Méthodologie et estimation pour les grands pays industrialisés Didier Borowski, Cécile Couharde et Florence Thibault À la suite des travaux initiés par le Fonds monétaire international dans les années soixante-dix, John Williamson définit le concept de taux de change d'équilibre fondamental comme le taux de change effectif réel assurant à moyen terme qu'une économie réalise simultanément son équilibre interne (correspondant au sentier de croissance non accélérateur d'inflation) et son équilibre externe (le solde de la balance courante est dit "soutenable"). L'objet de cet article est d'évaluer les taux de change d'équilibre fondamentaux des principaux pays industrialisés (G7, Espagne, Belgique et Pays-Bas) sur la période 1984-1995. Pour procéder à ces estimations, nous développons une maquette statique qui repose sur les spécifications de long terme du modèle multinational Nigem (National Institute 's Global Econometric Model). Notre démarche s'inspire en partie des travaux menés au sein du NIESR (Nationale Institute of Economie and Social Research) mais s'en éloigne dans la mesure où l'équilibre interne est ici supposé exogène. Les cibles de balances courantes et les rythmes de croissance potentielle - définissant respectivement les équilibres externe et interne - sont au cœur de la détermination des taux de change d'équilibre fondamentaux. Dans la mesure où ils présentent un contenu normatif important, les valeurs retenues pour chacun de ces éléments sont avant tout proposées à titre d'illustration. Notre méthode de résolution de la maquette de long terme présente plusieurs avantages. D'une part nous obtenons directement des parités bilatérales d'équilibre à partir desquelles sont calculés les taux de change effectifs réels. D'autre part, nous mettons en évidence la sensibilité des taux de change aux écarts aux cibles de balances courantes et aux output gaps. Cette démarche autorise de ce fait un diagnostic plus précis concernant la surévaluation ou la sous-évaluation des monnaies. [eng] Sensitivities of equilibrium exchange rates to output gaps and current-account balance targets. Methodology and estimates for the main industrialized countries by Didier Borowski, Cécile Couharde and Florence Thibault Following the research initiated by the IMF in the 1970s, John Williamson defined the concept of fundamental equilibrium exchange rate (FEER) as the real effective exchange rate that enables an economy to achieve two simultaneous goals in the medium term: internal equilibrium (i.e., a non-accelerating-inflation growth path) and external equilibrium (i.e., a "sustainable" current-account balance). The aim of this article is to estimate FEERs for the main industrialized countries (G7 + Belgium, the Netherlands, and Spain) over the period 1984-95. To obtain these estimates, we constructed a static model based on the long-term specifications of the National Institute Global Economic Model (NIGEM). Our approach is partly inspired by the work of the National Institute of Economic and Social Research (NIESR) but departs from it to the extent that we assume internal equilibrium to be exogenous. The main determinants of FEERs are the current-account balance targets and potential GDP growth rates — which define the external and internal equilibriums respectively. Given their high normative content, the values we assign to both determinants are essentially intended as notional examples. Our method for resolving the long-term model offers two major advantages: (1) We directly obtain bilateral equilibrium parities from which we calculate the real effective exchange rates. (2) We demonstrate the sensitivity of exchange rates to deviations from current-account balance targets and to output gaps. This approach thus allows a more accurate measurement of currency over- or undervaluation .

Suggested Citation

  • Didier Borowski & Cécile Couharde & Florence Thibault, 1998. "Sensibilités des taux de change d'équilibre aux output gaps et aux cibles de la balance courante," Économie et Prévision, Programme National Persée, vol. 134(3), pages 71-96.
  • Handle: RePEc:prs:ecoprv:ecop_0249-4744_1998_num_134_3_5918 Note: DOI:10.3406/ecop.1998.5918
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    References listed on IDEAS

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    1. Hall, Robert E, 1978. "Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 86(6), pages 971-987, December.
    2. Milton Friedman, 1957. "Introduction to "A Theory of the Consumption Function"," NBER Chapters,in: A Theory of the Consumption Function, pages 1-6 National Bureau of Economic Research, Inc.
    3. Alain Gubian & Gérard Cornilleau & Catherine Mathieu & Marie-Ange Veganzones, 1992. "Mosaïque : la nouvelle version du modèle OFCE trimestriel," Revue de l'OFCE, Programme National Persée, vol. 40(1), pages 141-200.
    4. Milton Friedman, 1957. "A Theory of the Consumption Function," NBER Books, National Bureau of Economic Research, Inc, number frie57-1, January.
    5. Laurence Bloch & Françoise Maurel, 1991. "Consommation-revenu permanent : un regard d'économètre," Économie et Prévision, Programme National Persée, vol. 99(3), pages 113-144.
    6. Simon Kuznets & Lillian Epstein & Elizabeth Jenks, 1946. "National Product Since 1869," NBER Books, National Bureau of Economic Research, Inc, number kuzn46-1, January.
    7. Pierre Sicsic & Jean-Pierre Villetelle, 1995. "Du nouveau sur le taux d'épargne des ménages ?," Économie et Prévision, Programme National Persée, vol. 121(5), pages 59-64.
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    Cited by:

    1. Lendjoungou, Francis, 2009. "Competitiveness and the real exchange rate: the standpoint of countries in the CEMAC zone," MPRA Paper 17053, University Library of Munich, Germany.
    2. Michel Aglietta & Camille Baulant & Virginie Coudert, 1997. "Why the Euro will be Strong: an Approach Based on Equilibrium Exchange Rates," Working Papers 1997-18, CEPII research center.

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