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Les économistes sont-ils chartistes ou fondamentalistes ? Une enquête auprès de quatre-vingt chercheurs français

Listed author(s):
  • Marie Bessec

[fre] Les enquêtes auprès des cambistes se sont multipliées depuis une dizaine d’années. En revanche, il n’existe pas d’étude sur la vision universitaire du fonctionnement du marché des changes. Cet article vise à combler cette lacune. Nous avons réalisé en novembre 2002 un sondage au sein de plusieurs universités françaises. Les répondants indiquent ne pas croire en une influence des variables fondamentales à court terme. En particulier , ils rejettent l’intérêt pratique de la PPA (Parité de Pouvoir d’Achat) en courte période. En revanche, les modèles de fondamentaux retrouveraient leur utilité à moyen et long terme. La confrontation de ces résultats à ceux obtenus sur le marché des changes américain démontre que ce point de vue est peu éloigné de celui des professionnels du marché. [eng] Surveys of market participants are now widely used in the exchange-rate literature. However, there is no study of academics’ views on exchange-rate dynamics. Our paper aims to fill this gap. We conducted a survey of 80 economists in several French universities in November 2002. Most respondents do not perceive economic fundamentals as important determinants of exchange rates at short and medium horizons. In particular, PPP is not regarded as a useful concept for predicting exchange-rate movements. The consistency between these beliefs and those of foreign-exchange traders disproves conventional wisdom, which sees a wide gap between the academic view and market traders’ everyday practices.

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File URL: http://dx.doi.org/doi:10.3406/ecop.2005.7022
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File URL: http://www.persee.fr/doc/ecop_0249-4744_2005_num_169_3_7022
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Article provided by Programme National Persée in its journal Économie & prévision.

Volume (Year): 169 (2005)
Issue (Month): 3 ()
Pages: 239-249

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_2005_num_169_3_7022
Note: DOI:10.3406/ecop.2005.7022
Contact details of provider: Web page: http://www.persee.fr/collection/ecop

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  1. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
  2. Lutz Kilian & Mark P. Taylor, 2001. "Why Is It So Difficult to Beat the Random Walk Forecast of Exchange Rates?," Working Papers 464, Research Seminar in International Economics, University of Michigan.
  3. Menkhoff, L., 1998. "The noise trading approach -- questionnaire evidence from foreign exchange," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 547-564, June.
  4. Georges Prat & Remzi Uctum, 1996. "Formation des anticipations de change : l'hypothèse d'un processus mixte," Économie et Prévision, Programme National Persée, vol. 125(4), pages 117-135.
  5. Alan M. Taylor & Mark Taylor, 2004. "The Purchasing Power Parity Debate," Working Papers 46, University of California, Davis, Department of Economics.
  6. Flood, Robert P & Rose, Andrew K, 1998. "Understanding Exchange Rate Volatility Without the Contrivance of Macroeconomics," CEPR Discussion Papers 1944, C.E.P.R. Discussion Papers.
  7. Michel Beine & Agnès Bénassy-Quéré & Hélène Colas, 2003. "Imitation Amongst Exchange-Rate Forecasters: Evidence from Survey Data," Working Papers 2003-08, CEPII research center.
  8. Cheung, Yin-Wong & Chinn, Menzie David, 2001. "Currency traders and exchange rate dynamics: a survey of the US market," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 439-471, August.
  9. Lui, Yu-Hon & Mole, David, 1998. "The use of fundamental and technical analyses by foreign exchange dealers: Hong Kong evidence," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 535-545, June.
  10. Rogoff, Kenneth, 1999. "Monetary Models of Dollar/Yen/Euro Nominal Exchange Rates: Dead or Undead?," Economic Journal, Royal Economic Society, vol. 109(459), pages 655-659, November.
  11. Taylor, Mark P. & Allen, Helen, 1992. "The use of technical analysis in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 11(3), pages 304-314, June.
  12. Éric Girardin & Velayoudom Marimoutou, 1997. "Les fondamentaux permettent-ils d'améliorer la prévision du taux de change franc-dollar ?," Revue Économique, Programme National Persée, vol. 48(3), pages 661-672.
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