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Le surajustement du taux de change. Une évaluation quantitative en équilibre général

Listed author(s):
  • Jean-Olivier Hairault
  • Lise Patureau
  • Thepthida Sopraseuth

[fre] D'après Dornbusch [1976], la forte volatilité du taux de change nominal observée depuis la chute du système de Bretton Woods proviendrait d'une sur-réaction du taux de change aux politiques monétaires. Cet article évalue quantitativement la pertinence empirique de cette intuition dans le cadre de référence de la Nouvelle macroéconomie internationale. Plus précisément, nous proposons un modèle international d'équilibre général intertemporel caractérisé par des frictions sur le marché des fonds prêtables. À la suite d'une expansion monétaire, le modèle engendre un effet liquidité persistant associé à un surajustement du taux de change nominal. L'ampleur de ce dernier permet effectivement de mieux comprendre la forte varia­bilité du taux de change nominal. [eng] In the spirit of Dornbusch [1976], the overshooting ofthe nominal exchange rate following monetary innovations accounts for the huge observed volatilities of nominal exchange rates since the collapse of the Bretton Woods System. This paper quantitatively assesses this proposai in the New Open Economy Macroeconomics framework. We thus develop an international intertemporal general equilibrium model including frictions on the credit side of the economy. Following a monetary expansion the model generates a persistent liquidity effect associated with a nomi­nal exchange rate overshooting. The magnitude of the overshooting is shown to help understanding the huge variability of nominal exchange rates.

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

Volume (Year): 53 (2002)
Issue (Month): 3 ()
Pages: 689-697

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Handle: RePEc:prs:reveco:reco_0035-2764_2002_num_53_3_410438
Note: DOI:10.3406/reco.2002.410438
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