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La modélisation des taux de change d'équilibre et leur estimation pour l'euro, le dollar et le yen

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  • Laurent Maurin

Abstract

[fre] Après avoir exposé la problématique des taux de change d'équilibre, nous présentons le NATREX. Sur ses bases, nous développons un modèle qui étudie conjointement la dynamique de la dette extérieure et du taux de change réel, en réponse à des chocs d'épargne ou de productivité. Nous estimons alors un change d'équilibre déduit du modèle, pour le dollar, le yen et un euro fictif construit en agrégeant les composantes non européennes des taux de change effectifs de trois pays participants. Les estimations économétriques valident les propositions du modèle et permettent d'étudier les distorsions de change passées. [eng] Modeling Equilibrium Exchange Rates and Estimating them for the Euro, Dollar and Yen by Laurent Maurin This paper starts with a discussion of the problematic of equilibrium exchange rates and then presents NATREX. Based on this, we develop a model that studies both the foreign debt and real exchange rate dynamic in response to savings and productivity shocks. We deduce an equilibrium exchange rate from the model for the dollar, the yen and a notional euro constructed by aggregating the non-European components of the actual exchange rates of the three participating countries. The econometric estimates bear out the model's proposals and can be used to study past exchange rate distortions.

Suggested Citation

  • Laurent Maurin, 2000. "La modélisation des taux de change d'équilibre et leur estimation pour l'euro, le dollar et le yen," Économie et Prévision, Programme National Persée, vol. 142(1), pages 1-11.
  • Handle: RePEc:prs:ecoprv:ecop_0249-4744_2000_num_142_1_5984 Note: DOI:10.3406/ecop.2000.5984
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