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Anticipations stabilisatrices dans un système de serpent monétaire. Théorie et application au système monétaire européen

  • Jean-Pierre Laffargue
  • Sanvi Avouyi-Dovi

[eng] target zones and stabilizing expectations : theory and application to the european monetary system A target zone system constrains member countries to keep their bilateral exchange rates inside fixed ban s. The theory of exchange rate under such a regime bas known major developments for the last four years. Current exchange rate depends upon all the expected future values of its fondamental. People know that these values will be constrained by a target zone agreement. Thus current shocks will have quite a limited effect on the exchange rate, much smaller than under a pure floating exchange rate System. Exportations stabilize exchange rates, even when realignments of central parities may occur.The EMS reveal itself as having induced such stabilizing expectations. [fre] Anticipations stabilisatrices dans un système de serpent monétaire. Théorie et application au système monétaire européen Un système de serpent monétaire contraint les nations qui y adhérent à empêcher leurs parités bilatérales de sortir d'une bande de variation préétablie. La théorie de la détermination des taux de change sous un tel régime a connu un développement rapide au cours des quatre dernières années. Le taux de change courant dépend de toutes les valeurs anticipées de son fondamental, et le public sait que celles-ci seront contraintes à chaque date par le système du serpent. Des perturbations courantes appréciables n'affecteront alors le taux de change que faiblement, et moins qu'en régime de changes flexibles pur. Cet effet stabilisateur des prévisions des agents continue à prévaloir en présence de l'éventualité d'un réalignement des parités centrales. Le SME semble avoir généré de telles anticipations stabilisatrices.

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File URL: http://dx.doi.org/doi:10.3406/reco.1992.409415
Download Restriction: Data and metadata provided by Persée are licensed under a Creative Commons "Attribution-Noncommercial-Share Alike 3.0" License http://creativecommons.org/licenses/by-nc-sa/3.0/

File URL: http://www.persee.fr/doc/reco_0035-2764_1992_num_43_6_409415
Download Restriction: Data and metadata provided by Persée are licensed under a Creative Commons "Attribution-Noncommercial-Share Alike 3.0" License http://creativecommons.org/licenses/by-nc-sa/3.0/

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Article provided by Programme National Persée in its journal Revue économique.

Volume (Year): 43 (1992)
Issue (Month): 6 ()
Pages: 1107-1128

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Handle: RePEc:prs:reveco:reco_0035-2764_1992_num_43_6_409415
Note: DOI:10.3406/reco.1992.409415
Contact details of provider: Web page: http://www.persee.fr/collection/reco

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  1. Willem H. Buiter & Paolo A. Pesenti, 1990. "Rational Speculative Bubbles in an Exchange Rate Target Zone," NBER Working Papers 3467, National Bureau of Economic Research, Inc.
  2. Bertola, Giuseppe & Svensson, Lars E O, 1991. "Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models," CEPR Discussion Papers 513, C.E.P.R. Discussion Papers.
  3. Robert P. Flood & Andrew K. Rose & Donald J. Mathieson, 1990. "An Empirical Exploration of Exchange Rate Target-Zones," NBER Working Papers 3543, National Bureau of Economic Research, Inc.
  4. Lars E. O. Svensson, 1991. "The Simplest Test of Target Zone Credibility," IMF Staff Papers, Palgrave Macmillan, vol. 38(3), pages 655-665, September.
  5. Paul R. Krugman, 1991. "Target Zones and Exchange Rate Dynamics," The Quarterly Journal of Economics, Oxford University Press, vol. 106(3), pages 669-682.
  6. Svensson, Lars E O, 1991. "The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk," CEPR Discussion Papers 494, C.E.P.R. Discussion Papers.
  7. Svensson, Lars E O, 1991. "The Term Structure of Interest Rate Differentials in a Target Zone: Theory and Swedish Data," CEPR Discussion Papers 495, C.E.P.R. Discussion Papers.
  8. Rose, A.K. & Svensson, L.E., 1991. "Expected and Predicted Realignments: the FF/DM Exchange Rate during the EMS," Papers 485, Stockholm - International Economic Studies.
  9. Svensson, L.E.O., 1989. "Target Zones And Interest Rate Variability," Papers 457, Stockholm - International Economic Studies.
  10. Miller, M. & Weller, P., 1988. "Solving Stochastic Saddlepoint Systems: A Qualitative Treatment With Economic Applications," The Warwick Economics Research Paper Series (TWERPS) 309, University of Warwick, Department of Economics.
  11. Robert P. Flood & Peter M. Garber, 1989. "The Linkage Between Speculative Attack and Target Zone Models of Exchange Rates," NBER Working Papers 2918, National Bureau of Economic Research, Inc.
  12. Diebold, Francis X., 1988. "Testing for bubbles, reflecting barriers and other anomalies," Journal of Economic Dynamics and Control, Elsevier, vol. 12(1), pages 63-70, March.
  13. Michael W. Klein & Karen K. Lewis, 1991. "Learning About Intervention Target Zones," NBER Working Papers 3674, National Bureau of Economic Research, Inc.
  14. Buiter, W.H. & Pesenti, P.A., 1990. "Rational Speculation Bubbles In Exchange Rate Target Zone," The Warwick Economics Research Paper Series (TWERPS) 370, University of Warwick, Department of Economics.
  15. Axel A. Weber, 1991. "Time-Varying Devaluation Risk, Interest Rate Differentials and Exchange Rates in Target Zones: Empirical Evidence from the EMS," Volkswirtschaftliche Diskussionsbeiträge 25-91, Universität Siegen, Fakultät Wirtschaftswissenschaften, Wirtschaftsinformatik und Wirtschaftsrecht.
  16. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December.
  17. Bertola, Giuseppe & Caballero, Ricardo J, 1992. "Target Zones and Realignments," American Economic Review, American Economic Association, vol. 82(3), pages 520-36, June.
  18. Svensson, L.E., 1991. "Assessing Target Zone Credibility: Mean Reversion and Devaluation Expectations in the EMS," Papers 493, Stockholm - International Economic Studies.
  19. Lars E.O. Svensson, 1991. "Assessing Target Zone Credibility: Mean Reversion and Devaluation Expectations in the ERM 1979-1992," NBER Working Papers 3795, National Bureau of Economic Research, Inc.
  20. Dumas, Bernard, 1991. "Super contact and related optimality conditions," Journal of Economic Dynamics and Control, Elsevier, vol. 15(4), pages 675-685, October.
  21. Meese, Richard A & Rose, Andrew K, 1990. "Nonlinear, Nonparametric, Nonessential Exchange Rate Estimation," American Economic Review, American Economic Association, vol. 80(2), pages 192-96, May.
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