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Dépendance de court et de long terme des rendements de taux de change

  • Christelle Lecourt
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    [fre] Dépendance de court et de long terme des rendements de taux de change . par Christelle Lecourt . Dans cet article, nous estimons un modèle ARFTMA-GARCH introduit par Baillie, Bollerslev et Mikkelsen (1996) pour les quatre principaux rendements quotidiens de taux de change. Notre principale contribution est de tenir compte non seulement des effets ARCH à travers une modélisation GARCH mais aussi de la kurtosis présente dans les séries en choisissant la distribution de Student plutôt que la distribution normale. Les résultats obtenus révèlent que la plupart des séries de rendements de taux de change ont une faible mémoire longue. Ces résultats ont des implications économiques importantes. Tout d'abord, cela devrait permettre d'améliorer les prévisions de rendements. En second lieu, cela signifie que l'hypothèse d'efficience du marché au sens faible n'est pas vérifiée. [eng] Short- and Long-Run Dependence of Exchange Rate Returns by Christelle Lecourt . In this paper, we estimate an ARFIMA-GARCH model as introduced by Baillie, Bollerslev and Mikkelsen (1996) for the four leading daily exchange rate returns. Our main contribution is to take account of ARCH effects using a GARCH model and to consider the kurtosis in the series by opting for a Student distribution rather than a normal distribution. The results obtained show that most of the exchange rate return series have a poor long-run memory. The economic implications of these findings are considerable. Firstly, they should help improve forecasts of returns. Secondly, they imply that the efficient market (in the weak sense) hypothesis does not hold.

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

    Volume (Year): 146 (2000)
    Issue (Month): 5 ()
    Pages: 127-137

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    Handle: RePEc:prs:ecoprv:ecop_0249-4744_2000_num_146_5_6132
    Note: DOI:10.3406/ecop.2000.6132
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    1. Baillie, R.T. & Degennaro, R.P., 1988. "Stock Returns And Volatility," Papers 8803, Michigan State - Econometrics and Economic Theory.
    2. Hsieh, David A, 1989. "Modeling Heteroscedasticity in Daily Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 307-17, July.
    3. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-47, August.
    4. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    5. Granger, Clive W.J. & Hyung, Namwon, 1999. "Occasional Structural Breaks and Long Memory," University of California at San Diego, Economics Working Paper Series qt4d60t4jh, Department of Economics, UC San Diego.
    6. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-313, September.
    7. Chung, Ching-Fan & Baillie, Richard T, 1993. "Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models," Empirical Economics, Springer, vol. 18(4), pages 791-806.
    8. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
    9. Hentschel, Ludger & Campbell, John, 1992. "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns," Scholarly Articles 3220232, Harvard University Department of Economics.
    10. R. Tschernig, 1994. "Long Memory in Foreign Exchange Rates Revisited," SFB 373 Discussion Papers 1994,46, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    11. Stanley W. Black, 1972. "International money markets and flexible exchange rates," Staff Studies 70, Board of Governors of the Federal Reserve System (U.S.).
    12. Haubrich, Joseph G, 1993. "Consumption and Fractional Differencing: Old and New Anomalies," The Review of Economics and Statistics, MIT Press, vol. 75(4), pages 767-72, November.
    13. Diebold, Francis X & Nerlove, Marc, 1989. "The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(1), pages 1-21, Jan.-Mar..
    14. Booth, G. Geoffrey & Kaen, Fred R. & Koveos, Peter E., 1982. "R/S analysis of foreign exchange rates under two international monetary regimes," Journal of Monetary Economics, Elsevier, vol. 10(3), pages 407-415.
    15. Nelson, Daniel B & Cao, Charles Q, 1992. "Inequality Constraints in the Univariate GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 229-35, April.
    16. Friedman, Daniel & Vandersteel, Stoddard, 1982. "Short-run fluctuations in foreign exchange rates : Evidence from the data 1973-1979," Journal of International Economics, Elsevier, vol. 13(1-2), pages 171-186, August.
    17. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
    18. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
    19. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September.
    20. Cheung, Yin-Wong, 1993. "Long Memory in Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 93-101, January.
    21. Chung, Ching-Fan, 1994. "A note on calculating the autocovariances of the fractionally integrated ARMA models," Economics Letters, Elsevier, vol. 45(3), pages 293-297.
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