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La faiblesse de l'euro. Une explication monétaire

Listed author(s):
  • Éric Girardin
  • Virginie Boinet

[fre] La dépréciation de l'euro par rapport au dollar au cours de ses deux premières années d'existence est souvent présentée comme une nouvelle preuve de l'incapacité des fondamentaux à expliquer les mouvements de change. Par contraste, le présent article fournit des éléments économétriques sur données quotidiennes indiquant que, dans un cadre à prix visqueux, les fondamentaux monétaires ont joué un rôle dans cette dépréciation. Une forte expansion monétaire associée à la convergence des taux d'intérêt européens en 1998 et à une politique monétaire accommodante de la BCE en 1999 aurait ainsi une responsabilité substantielle dans l'affaiblissement de l'euro. [eng] The weakness of the euro: a monetary explanation The depreciation of the euro vis a vis the dollar over its first two years is often viewed as a new proof that fundamentals-based models are unable to explain exchange rate movements. By contrast the present paper offers some econometric evidence with daily data showing that, within a sticky price framework, monetary fundamentals may have played a role in this depreciation. A fast monetary expansion associated with continental European interest rate convergence in 1998 and an accommodative ECB monetary stance in 1999 would thus bear some responsibility in the weakening of the euro.

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

Volume (Year): 52 (2001)
Issue (Month): 3 ()
Pages: 563-572

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Handle: RePEc:prs:reveco:reco_0035-2764_2001_num_52_3_410337
Note: DOI:10.3406/reco.2001.410337
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