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Une évaluation empirique de l'efficience du marché des changes

  • Frédérique Bec
  • Emma Ben Youssef
  • Mélika Ben Salem

[eng] An empirical testing of exchange market efficiency hypothesis . . This paper develops an empirical analysis of the exchange market efficiency hypothesis, based on its implications for the VAR representation. It proposes an extension of the existing tests. Using daily data for the main nominal exchange rates vis-a-vis the US dollar - namely the Japanese Yen, the British Pound, the Deutschmark and the French Franc - over the period spanning January 1980 to March 1994, Johansen's tests of cointegration are performed: the market efficiency hypothesis cannot be rejected form these results. It is thus necessary to complete the analysis with Granger causality tests. This provides results rejecting the martingale implication of the efficiency hypothesis. [fre] Une évaluation empirique de l'efficience du marché des changes. . Cet article développe une analyse empirique de l'hypothèse d'efficience du marché des changes, reposant sur le test de ses implications en termes de repré­sentation VAR. Il propose une extension des tests existants réalisés dans ce cadre. À partir de données quotidiennes sur les principaux taux de change nomi­naux par rapport au dollar, pour la période allant de janvier 1980 à mars 1994, les tests de coïntégration de Johansen sont mis en œuvre : l'hypothèse d'efficience ne peut être rejetée sur la base des résultats obtenus. Il est donc nécessaire de poursuivre l'analyse par des tests de causalité réalisés à partir des coefficients auto-régressifs du modèle VAR. Ils ne sont pas compatibles avec l'implication de martingale de l'hypothèse d'efficience.

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

Volume (Year): 48 (1997)
Issue (Month): 4 ()
Pages: 921-936

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Handle: RePEc:prs:reveco:reco_0035-2764_1997_num_48_4_409922
Note: DOI:10.2307/3502706
Contact details of provider: Web page: http://www.persee.fr/web/revues/home/prescript/revue/reco

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  1. Donald W.K. Andrews & Christopher J. Monahan, 1990. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Cowles Foundation Discussion Papers 942, Cowles Foundation for Research in Economics, Yale University.
  2. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  3. Francis X. Diebold & Javier Gardeazabal & Kamil Yilmaz, 1993. "On cointegration and exchange rate dynamics," Working Papers 93-2, Federal Reserve Bank of Philadelphia.
  4. Baillie, Richard T & Bollerslev, Tim, 1989. " Common Stochastic Trends in a System of Exchange Rates," Journal of Finance, American Finance Association, vol. 44(1), pages 167-81, March.
  5. Crowder, William J, 1994. "Foreign exchange market efficiency and common stochastic trends," Journal of International Money and Finance, Elsevier, vol. 13(5), pages 551-564, October.
  6. Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
  7. Rahim Loufir & Pascal Jacquinot & Catherine Bruno, 1992. "L'efficience et la formation des anticipations sur le marché des changes," Revue de l'OFCE, Programme National Persée, vol. 42(1), pages 249-282.
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