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Formation des anticipations de change : l’hypothèse d’un processus mixte

Author

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  • Georges Prat

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Remzi Uctum

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

Cet article analyse comment se forment les anticipations des taux de change du Franc, du DM et du Yen par rapport au Dollar aux horizons de 3 et 12 mois, sur la base des enquêtes d'opinions du Consensus Forecasts (Londres). Les résultats obtenus montrent que ces anticipations ne sont pas rationnelles et ne vérifient aucun des processus standards extrapolatif, régressif et adaptatif. Par contre, on montre qu'une combinaison linéaire de ces trois processus traditionnels permet d'obtenir une représentation satisfaisante des anticipations de change.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Georges Prat & Remzi Uctum, 1994. "Formation des anticipations de change : l’hypothèse d’un processus mixte," Post-Print hal-01638207, HAL.
    • Handle: RePEc:hal:journl:hal-01638207
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    Cited by:

    1. is not listed on IDEAS
    2. Marie Bessec, 2005. "Les économistes sont-ils chartistes ou fondamentalistes ?. Une enquête auprès de quatre-vingt chercheurs français," Economie & Prévision, La Documentation Française, vol. 0(3), pages 239-249.
    3. repec:dau:papers:123456789/10086 is not listed on IDEAS
    4. A. Bénassy-Quéré & S. Larribeau & R. MacDonald, 1999. "Models of exchange rate expectations : heterogeneous evidence from Panel data," Thema Working Papers 99-05, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS.

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