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Pourquoi l'euro sera fort. Une approche par les taux de change d'équilibre

Listed author(s):
  • Michel Aglietta
  • Virginie Coudert
  • Camille Baulant

[fre] Pourquoi l'euro sera fort. Une approche par les taux de change d'équilibre Le modèle de taux de change d'équilibre proposé ici prend en compte l'effet Balassa et la soutenabilité de la position extérieure nette, compte tenu de la compétitivité hors-prix. Les tests sur trois monnaies européennes : mark, franc, et lire contre dollar montrent l'existence d'une relation de coïntégration entre les taux de change réels observés et les variables fondamentales du modèle. L'agrégation de ces trois monnaies selon leur poids dans l'ECU permet de construire un proxy du taux de change d'équilibre de l'euro contre dollar. Les contributions des diffé­rentes variables sont analysées afin de mieux comprendre leurs implications sur le taux de change d'équilibre de l'euro. [eng] Why the euro will be strong : an approach based on the equilibrium exchange rates The real equilibrium exchange rate proposed in this paper is the long run parity which is consistent with the Balassa effect and the sustainability of the external position. Non-price competitiveness factors are also taken into account. Tests are made for three European currencies : mark, franc and lira against dollar. Observed data of real exchange rates are shown to be cointegrated with the fundamentals of the model. The three European currencies are then aggregated according to their weight in the ECU, in order to construct a proxy of the euro. An equilibrium exchange rate of the euro against dollar is calculated and the contributions of the different fundamentals are analysed.

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

Volume (Year): 49 (1998)
Issue (Month): 3 ()
Pages: 721-731

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Handle: RePEc:prs:reveco:reco_0035-2764_1998_num_49_3_410004
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