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L'approche microstructurelle du marché des changes

Listed author(s):
  • Jérôme Teïletche
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    [fre] Face à l'échec des modélisations traditionnelles des taux de change dans l'explication des mouvements à court terme des taux de change ou de certains faits stylisés tels que l'important volume d'échange, la littérature s'est orientée vers l'approche microstructurelle qui se fonde sur l'analyse de l'organisation des échanges et du comportement des intervenants. L'objet de cet article est d'offrir une réflexion sur cette approche récente. Après une description de l'organisation du marché des changes et une comparaison avec d'autres systèmes d'échange, nous analysons la formation des prix à court terme sur le marché des changes. L'analyse de la dynamique intra-journalière de ce marché est ensuite présentée et illustrée à l'aide de données à très haute fréquence. Enfin, nous appliquons les enseignements de la littérature sur le lien entre organisation des échanges et efficacité des marchés à l'analyse de la structure actuelle du marché des changes et aux propositions de réglementation de ce marché. [eng] Given the failure of traditional models in explaining short term exchanges rates movements and several stylized facts such as huge trading volumes, the exchange rate literature has put the emphasis on the microstructure approach which focuses on the traders behavior under explicit trading rules. This article investigates this recent approach. After a description of the foreign exchange (FX) market organization and a comparison with other trading systems, the price formation process in the FX market is analyzed. The intra-daily dynamics of the market is then studied resorting to ultra-high frequency data. Finally, the micro- structure results relating trading rules and market efficiency are applied to the analysis of the present FX market organization and to the market regulation proposals.

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    Article provided by Programme National Persée in its journal Revue française d'économie.

    Volume (Year): 14 (1999)
    Issue (Month): 4 ()
    Pages: 121-158

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    Handle: RePEc:prs:rfreco:rfeco_0769-0479_1999_num_14_4_1093
    Note: DOI:10.3406/rfeco.1999.1093
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