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Les fondamentaux permettent-ils d'améliorer la prévision du taux de change franc-dollar ?

Author

Listed:
  • Éric Girardin
  • Velayoudom Marimoutou

Abstract

[fre] Les fondamentaux permettent-ils d'améliorer la prévision du taux de change franc-dollar ? . . Nous étudions dans quelle mesure on peut mettre en évidence une relation de long terme entre le taux de change quotidien franc-dollar au comptant et certains fondamentaux tels que les taux d'intérêt français et américain au jour le jour et le taux de change dollar-mark. Des tests de coïntégration dans un VAR permettent de conclure à l'existence d'une telle relation entre le milieu des années quatre-vingt et le milieu de la décennie quatre-vingt-dix. Le modèle à correction d'erreurs associé permet de prévoir le taux de change franc-dollar mieux qu'une marche aléatoire à des horizons d'une et deux semaines. [eng] Can the use of fundamentals improve our forecasts of the franc-dollar exchange rate ? . . We study to what extent a long run relationship can be isolated between the daily spot franc-dollar exchange rate and some fundamentals such as French and US overnight interest rates and the dollar-mark exchange rate. Cointegration tests in a VAR provide evidence for such a relationship between the mid eighties and the mid nineties. The associated error correction model enables us to outperform the random walk in out of sample forecasting over one week and two week horizons.

Suggested Citation

  • 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.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1997_num_48_3_409905
    DOI: 10.3406/reco.1997.409905
    Note: DOI:10.3406/reco.1997.409905
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    3. repec:dau:papers:123456789/10086 is not listed on IDEAS

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