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Les taux de change d'équilibre fondamentaux : de l'approche théorique à l'évaluation empirique

Author

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  • Didier Borowski
  • Cécile Couharde
  • Florence Thibault

Abstract

[eng] John Williamson's theory is now one of the leading alternative approaches that have been developed to overcome the failure of purchasing power parities to define equilibrium exchange rates. His theory defines the Fundamental Equilibrium Exchange Rate (FEER) as that which, in the medium run, enables simultaneous internal equilibrium (the economy is on its potential growth path) and external equilibrium (the current account balance is « sustainable »). Using comparative statics to assess these equilibrium exchange rates enables us to discern the sensitivity of fundamental exchange rates to output gaps and to deviation from current account targets, which reduces the normative nature of Williamson's analysis. The assessment made using the NIGEM multinational model enabled us to calculate sensitivities for the ten leading OECD countries. Calculated elasticities of deviation from equilibrium exchange rates are much greater in relation to external disequilibria than in relation to internal disequilibria. We calculated the value of fundamental equilibrium exchange rates for given output gaps in two scenarios in order to show the crucial role of current account targets. The first scenario assumed that there were no targets in any of the countries, and the second assumed that there were « realistic » targets. [fre] Parmi les approches alternatives qui se sont développées, afin de palier les insuffisances de la parité des pouvoirs d'achat dans la définition des taux de change d'équilibre, la théorie de Williamson occupe désormais une place privilégiée. Elle définit le taux de change d'équilibre fondamental comme celui assurant à moyen terme la réalisation simultanée de l'équilibre interne et de l'équilibre externe (son compte courant est « soutenable »). Le recours à une approche en termes de statique comparative pour évaluer ces taux de change d'équilibre permet d'isoler les sensibilités des taux de change fondamentaux aux output gaps et aux écarts de cibles de balance courante et ainsi de s'affranchir en partie du caractère normatif de l'analyse de Williamson. L'évaluation menée, à partir du modèle multinational Nigem, a permis de calculer ces sensibilités pour les dix principaux pays de l'OCDE. Les élasticités des écarts au taux de change d'équilibre ainsi calculées sont beaucoup plus grandes vis-à-vis des déséquilibres externes que vis-à- vis des déséquilibres internes. Afin d'illustrer alors le rôle crucial joué par les objectifs de balance courante, nous calculons la valeur du taux de change d'équilibre fondamental à output gaps donnés, dans deux scénarios : un scénario à cibles nulles dans tous les pays et un scénario à cibles « réalistes ».

Suggested Citation

  • Didier Borowski & Cécile Couharde & Florence Thibault, 1998. "Les taux de change d'équilibre fondamentaux : de l'approche théorique à l'évaluation empirique," Revue Française d'Économie, Programme National Persée, vol. 13(3), pages 177-206.
  • Handle: RePEc:prs:rfreco:rfeco_0769-0479_1998_num_13_3_1065 Note: DOI:10.3406/rfeco.1998.1065
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    References listed on IDEAS

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    1. Keeley, Michael C. & Furlong, Frederick T., 1990. "A reexamination of mean-variance analysis of bank capital regulation," Journal of Banking & Finance, Elsevier, vol. 14(1), pages 69-84, March.
    2. Pyle, David H, 1971. "On the Theory of Financial Intermediation," Journal of Finance, American Finance Association, vol. 26(3), pages 737-747, June.
    3. Kahane, Yehuda, 1977. "Capital adequacy and the regulation of financial intermediaries," Journal of Banking & Finance, Elsevier, vol. 1(2), pages 207-218, October.
    4. Miller, Merton H., 1995. "Do the M & M propositions apply to banks?," Journal of Banking & Finance, Elsevier, vol. 19(3-4), pages 483-489, June.
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    Cited by:

    1. Blaise Gnimassoun, 2012. "Taux de change et mésalignements du franc CFA avant et après l’introduction de l’euro," EconomiX Working Papers 2012-3, University of Paris Nanterre, EconomiX.
    2. Carton, Benjamin & Hervé, Karine, 2012. "Estimation of consistent multi-country FEERs," Economic Modelling, Elsevier, vol. 29(4), pages 1205-1214.

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