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Anticipations stabilisatrices dans un système de serpent monétaire : théorie et application au système monétaire européen

  • Laffargue Jean-pierre
  • Avouyi-dovi Sanvi

[eng] target zones and stabilizing expectations : theory and application to the european monetary system A target zone system constrains member countries to keep their bilateral exchange rates inside fixed ban s. The theory of exchange rate under such a regime bas known major developments for the last four years. Current exchange rate depends upon all the expected future values of its fondamental. People know that these values will be constrained by a target zone agreement. Thus current shocks will have quite a limited effect on the exchange rate, much smaller than under a pure floating exchange rate System. Exportations stabilize exchange rates, even when realignments of central parities may occur.The EMS reveal itself as having induced such stabilizing expectations. [fre] Anticipations stabilisatrices dans un système de serpent monétaire. Théorie et application au système monétaire européen Un système de serpent monétaire contraint les nations qui y adhérent à empêcher leurs parités bilatérales de sortir d'une bande de variation préétablie. La théorie de la détermination des taux de change sous un tel régime a connu un développement rapide au cours des quatre dernières années. Le taux de change courant dépend de toutes les valeurs anticipées de son fondamental, et le public sait que celles-ci seront contraintes à chaque date par le système du serpent. Des perturbations courantes appréciables n'affecteront alors le taux de change que faiblement, et moins qu'en régime de changes flexibles pur. Cet effet stabilisateur des prévisions des agents continue à prévaloir en présence de l'éventualité d'un réalignement des parités centrales. Le SME semble avoir généré de telles anticipations stabilisatrices.

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Paper provided by CEPREMAP in its series CEPREMAP Working Papers (Couverture Orange) with number 9112.

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Length: 43 pages
Date of creation: 1991
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Handle: RePEc:cpm:cepmap:9112
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  1. Andrew K. Rose & Lars E.O. Svensson, 1991. "Expected and Predicted Realignments: The FF/DM Exchange Rate During the EMS," NBER Working Papers 3685, National Bureau of Economic Research, Inc.
  2. Svensson, Lars E. O., 1991. "The term structure of interest rate differentials in a target zone : Theory and Swedish data," Journal of Monetary Economics, Elsevier, vol. 28(1), pages 87-116, August.
  3. Dumas, Bernard, 1991. "Super contact and related optimality conditions," Journal of Economic Dynamics and Control, Elsevier, vol. 15(4), pages 675-685, October.
  4. Buiter, W.H. & Pesenti, P.A., 1990. "Rational Speculation Bubbles In Exchange Rate Target Zone," The Warwick Economics Research Paper Series (TWERPS) 370, University of Warwick, Department of Economics.
  5. Paul R. Krugman, 1991. "Target Zones and Exchange Rate Dynamics," The Quarterly Journal of Economics, Oxford University Press, vol. 106(3), pages 669-682.
  6. Bertola, Giuseppe & Caballero, Ricardo, 1990. "Target Zones and Realignments," CEPR Discussion Papers 398, C.E.P.R. Discussion Papers.
  7. Lars E.O. Svensson, 1989. "Target Zones and Interest Rate Variability," NBER Working Papers 3218, National Bureau of Economic Research, Inc.
  8. Svensson, Lars E. O., 1992. "The foreign exchange risk premium in a target zone with devaluation risk," Journal of International Economics, Elsevier, vol. 33(1-2), pages 21-40, August.
  9. Bertola, Giuseppe & Svensson, Lars E O, 1991. "Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models," CEPR Discussion Papers 513, C.E.P.R. Discussion Papers.
  10. Diebold, Francis X., 1988. "Testing for bubbles, reflecting barriers and other anomalies," Journal of Economic Dynamics and Control, Elsevier, vol. 12(1), pages 63-70, March.
  11. Svensson, L.E., 1991. "Assessing Target Zone Credibility: Mean Reversion and Devaluation Expectations in the EMS," Papers 493, Stockholm - International Economic Studies.
  12. Willem H. Buiter & Paolo A. Pesenti, 1990. "Rational Speculative Bubbles in an Exchange Rate Target Zone," NBER Working Papers 3467, National Bureau of Economic Research, Inc.
  13. Svensson, Lars E. O., 1993. "Assessing target zone credibility : Mean reversion and devaluation expectations in the ERM, 1979-1992," European Economic Review, Elsevier, vol. 37(4), pages 763-793, May.
  14. Flood, Robert P. & Rose, Andrew K. & Mathieson, Donald J., 1991. "An empirical exploration of exchange-rate target-zones," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 35(1), pages 7-65, January.
  15. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December.
  16. Michael W. Klein & Karen K. Lewis, 1991. "Learning About Intervention Target Zones," NBER Working Papers 3674, National Bureau of Economic Research, Inc.
  17. Lars E. O. Svensson, 1991. "The Simplest Test of Target Zone Credibility," IMF Staff Papers, Palgrave Macmillan, vol. 38(3), pages 655-665, September.
  18. Meese, Richard A & Rose, Andrew K, 1990. "Nonlinear, Nonparametric, Nonessential Exchange Rate Estimation," American Economic Review, American Economic Association, vol. 80(2), pages 192-96, May.
  19. Miller, Marcus & Weller, Paul, 1989. "Solving Stochastic Saddlepoint Systems: A Qualitative Treatment with Economic Applications," CEPR Discussion Papers 308, C.E.P.R. Discussion Papers.
  20. Robert P. Flood & Peter M. Garber, 1989. "The Linkage Between Speculative Attack and Target Zone Models of Exchange Rates," NBER Working Papers 2918, National Bureau of Economic Research, Inc.
  21. Axel A. Weber, 1991. "Time-Varying Devaluation Risk, Interest Rate Differentials and Exchange Rates in Target Zones: Empirical Evidence from the EMS," Volkswirtschaftliche Diskussionsbeiträge 25-91, Universität Siegen, Fakultät Wirtschaftswissenschaften, Wirtschaftsinformatik und Wirtschaftsrecht.
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