IDEAS home Printed from
   My bibliography  Save this article

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


  • Laurent Maurin


[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

    Download full text from publisher

    File URL:
    Download Restriction: no

    File URL:
    Download Restriction: no

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:prs:ecoprv:ecop_0249-4744_2000_num_142_1_5984. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Equipe PERSEE). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.