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Le rôle des anticipations dans la formation du cours de change à terme. Quelques réflexions et résultats supplémentaires

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  • Henri Loubergé

Abstract

[fre] Les années 1970 ont constitué une période extrêmement riche pour la recherche économique sur les marchés des changes, autant par l'apparition de nouvelles théories que par la variété des mouvements observés sur ces marchés. Durant cette période, l'attention des chercheurs s'est plus particulièrement portée sur le rôle de la spéculation dans la formation du cours de change à terme, notamment avec l'émergence de la théorie des marchés efficients et au regard des critiques que les cambistes ont élevées à l'encontre de la théorie « académique » du change à terme. Selon une théorie aujourd'hui largement répandue, le cours à terme serait fixé par l'action des spéculateurs et il constituerait un estimateur sans biais du cours au comptant futur.. Cet article offre d'abord un rappel des différentes théories du change à terme, insistant sur les arguments qui conduisent à privilégier l'influence de la spéculation. Il montre ensuite, à l'aide de quelques vérifications économétriques, que cette influence semble avoir été quelque peu exagérée dans la littérature clés deniières années. En guise de conclusion, il propose quelques réflexions sur les recherches qui pourraient être entreprises à l'avenir. [eng] Expectations and forward exchange pricing ; some additional thoughts and results. Henri Loubergé. Research on foreign exchange pricing has been particularly fruitful during thc seventies. New theories have been proposed and varions developments on foreign exchange markets have provided empirical research with an abundance of intcresting statistical materials. Particular attention has been given to speculative behavior, due to the emergence of the efficient market hypothesis and to the critical observations raised by practitioners against the so-called Modern Theory of forward exchange. It has been argued that rational expectations and active forward trading by speculators turned the forward exchange rate into an unbiased estimator of the future spot rate.. This paper starts with a brief survey of forward exchange theory, emphasizing the role of speculation in forward exchange pricing. It produces then some econometric evidence indicating that this role may have been exagerated in the recent literature. Some proposals for additional research on this theme are finally suggested.

Suggested Citation

  • Henri Loubergé, 1981. "Le rôle des anticipations dans la formation du cours de change à terme. Quelques réflexions et résultats supplémentaires," Revue Économique, Programme National Persée, vol. 32(6), pages 1045-1073.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1981_num_32_6_408630
    DOI: 10.3406/reco.1981.408630
    Note: DOI:10.3406/reco.1981.408630
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    References listed on IDEAS

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    1. Pedersson, George & Tower, Edward, 1979. "On the long and short run relationship between the forward rate and the interest parity," Journal of Macroeconomics, Elsevier, vol. 1(1), pages 65-77.
    2. S. C. Tsiang, 1959. "The Theory of Forward Exchange and Effects of Government Intervention on the Forward Exchange Market," IMF Staff Papers, Palgrave Macmillan, vol. 7(1), pages 75-106, April.
    3. Paul Ormerod, 1980. "The forward exchange rate for sterling and the efficiency of expectations," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 116(2), pages 205-224, June.
    4. Solnik, Bruno H., 1974. "An equilibrium model of the international capital market," Journal of Economic Theory, Elsevier, vol. 8(4), pages 500-524, August.
    5. Roll, Richard & Solnik, Bruno, 1977. "A pure foreign exchange asset pricing model," Journal of International Economics, Elsevier, vol. 7(2), pages 161-179, May.
    6. Westerfield, Janice Moulton, 1977. "An examination of foreign exchange risk under fixed and floating rate regimes," Journal of International Economics, Elsevier, vol. 7(2), pages 181-200, May.
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