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À propos de la volatilité de l'euro

  • Henri Sterdyniak
  • Jérôme Creel

[eng] Discussing Euro volatility. Jerome Creel and Henri Sterdyniak. Is the introduction of the euro likely to increase the volatility of the exchange rates on a worldwide scale ? This article presents a three countries model to compare the exchange rate volatility depending on the nature of the shocks and the exchange rate regime in Europe (flexible, EMS or EMU). In theory, the exchange rate of a large closed country fluctuates more than that the exchange rate of a small open country, but results are ambiguous in the specific case of the euro. An increase in volatility would only occur after demand and external supply shocks. Volatility would be reduced following internal supply shocks. The conclusions are the opposite if the sensitivity of intra-European trade to relative prices is particularly strong. In the case of common shocks in Europe, the surplus in volatility would help economic stabilisation. As for (hitting only one country), the euro would fluctuate less than the currency of the hit country, but this stability would harm economic stabilisation. However, the independence of the ECB could lead to strong variations of the euro after inflationary shocks. In addition, the constraints on fiscal policies which are induced by the Stability pact would make more active monetary policies necessary : these would be a source of instability. [fre] Faut-il craindre que instauration de euro accroisse la volatilité des taux de change échelle mondiale ? Cet article utilise une maquette à trois pays pour comparer la volatilité du taux de change selon la nature des chocs et le régime de change en Europe (change flexible, SME ou UEM). Si, théoriquement, le taux de change d'un grand pays fermé fluctue plus que celui un petit pays ouvert, les résultats sont mitigés dans le cas spécifique de l'euro. Le surplus de volatilité n'aurait lieu que pour des chocs de demande ou des chocs d'offre externe. La volatilité serait réduite à la suite de chocs d'offre interne. Ces résultats s'inversent si la sensibilité du commerce intra-européen aux prix relatifs est particulièrement forte. Dans le cas de chocs communs en Europe, le surplus de volatilité permettrait une meilleure stabilisation économique. Pour les chocs ne frappant qu'un pays, l'euro serait plus stable que la monnaie du pays touché, mais cette stabilité nuirait la stabilisation économique. Toutefois, l'indépendance de la BCE pourrait conduire à de fortes variations de l'euro à la suite de chocs inflationnistes. Par ailleurs, la paralysie des politiques budgétaires induites par le Pacte de stabilité rendrait nécessaires des politiques monétaires plus actives, ce qui serait une source d'instabilité.

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Article provided by Programme National Persée in its journal Revue de l'OFCE.

Volume (Year): 65 (1998)
Issue (Month): 1 ()
Pages: 199-226

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Handle: RePEc:prs:rvofce:ofce_0751-6614_1998_num_65_1_1500
Note: DOI:10.3406/ofce.1998.1500
Contact details of provider: Web page: http://www.persee.fr/web/revues/home/prescript/revue/ofce

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  1. Y. K. Tse, 1998. "The conditional heteroscedasticity of the yen-dollar exchange rate," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(1), pages 49-55.
  2. Martin, Philippe, 1998. "The Exchange Rate Policy of the Euro: A Matter of Size?," Journal of the Japanese and International Economies, Elsevier, vol. 12(4), pages 455-482, December.
  3. Agnès Bénassy-Quéré & Benoît Mojon & Jean Pisani-Ferry, 1997. "The Euro and Exchange Rate Stability," Working Papers 1997-12, CEPII research center.
  4. Pesaran, B & Robinson, G, 1993. "The European Exchange Rate Mechanism and the Volatility of the Sterling-Deutschemark Exchange Rate," Economic Journal, Royal Economic Society, vol. 103(421), pages 1418-31, November.
  5. Pierre Villa & Henri Sterdyniak, 1993. "Régimes de change et coordination des politiques économiques en Europe," Sciences Po publications info:hdl:2441/5265, Sciences Po.
  6. Agnès Bénassy-Quéré & Jean Pisani-Ferry, 1998. "L'euro et la stabilité des taux de change. Une analyse théorique," Revue Économique, Programme National Persée, vol. 49(3), pages 733-742.
  7. Cohen, Daniel, 1997. "How will the euro behave ?," CEPREMAP Working Papers (Couverture Orange) 9704, CEPREMAP.
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