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Spéculateurs hétérogènes et chocs monétaires

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  • Patrick Artus

Abstract

[fre] Spéculateurs hétérogènes et chocs monétaires. . Après avoir analysé, sur données quotidiennes, le mode de formation du taux d'intérêt à long terme en France durant la période perturbée de la fin de 1988 et du début de 1989 en s'attachant au lien avec la politique monétaire, les taux étrangers, les indicateurs économiques, on essaie de comprendre certaines anomalies à l'aide d'un modèle théorique qui fait jouer un rôle central à l'incertitude sur la date à laquelle un resserrement de la politique monétaire va survenir. [eng] Heterogenous speculators and monetary shocks. . After having analysed, on daily data, the way long term interest rates are formed in France during the turbulent period of winter 1988-1989, examining in particular the links with monetary policy, foreign rates, economic indicators, we try to understand the anomalies found using a theoretical model where the uncertainty on the timing of a change in monetary policy plays a central role.

Suggested Citation

  • Patrick Artus, 1990. "Spéculateurs hétérogènes et chocs monétaires," Revue Économique, Programme National Persée, vol. 41(5), pages 895-922.
  • Handle: RePEc:prs:reveco:reco_0035-2764_1990_num_41_5_409243
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    References listed on IDEAS

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    1. Pemberton, James, 1988. "Expectations and Adjustment: An Alternative Approach with an Application to Overlapping Wage Contracts," Economica, London School of Economics and Political Science, vol. 55(219), pages 379-391, August.
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    5. Wolff, Christian C. P., 1988. "Exchange rates, innovations and forecasting," Journal of International Money and Finance, Elsevier, vol. 7(1), pages 49-61, March.
    6. Roland Benabou & Guy Laroque, 1992. "Using Privileged Information to Manipulate Markets: Insiders, Gurus, and Credibility," The Quarterly Journal of Economics, Oxford University Press, vol. 107(3), pages 921-958.
    7. Robert Flood, 1988. "Asset Prices and Time-Varying Risk," NBER Working Papers 2780, National Bureau of Economic Research, Inc.
    8. Lewis, Karen K., 1988. "The persistence of the `peso problem' when policy is noisy," Journal of International Money and Finance, Elsevier, vol. 7(1), pages 5-21, March.
    9. Rudiger Dornbusch, 1980. "Exchange Rate Economics: Where Do We Stand?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 11(1, Tenth ), pages 143-206.
    10. Edwards, Sebastian, 1983. "Floating exchange rates, expectations and new information," Journal of Monetary Economics, Elsevier, vol. 11(3), pages 321-336.
    11. G. William Schwert, 1988. "Why Does Stock Market Volatility Change Over Time?," NBER Working Papers 2798, National Bureau of Economic Research, Inc.
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    Cited by:

    1. Patrick Artus & Claude Jessua, 1996. "La spéculation," Revue Économique, Programme National Persée, vol. 47(3), pages 409-424.

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