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

Author

Listed:
  • Georges Prat

    (IEAE - Institut d'Economie Appliquée et d'Econométrie - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Remzi Uctum

    (IEAE - Institut d'Economie Appliquée et d'Econométrie - 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.

Suggested Citation

  • Georges Prat & Remzi Uctum, 1996. "Formation des anticipations de change : l'hypothèse d'un processus mixte," Post-Print halshs-00173052, HAL.
    • Handle: RePEc:hal:journl:halshs-00173052
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    References listed on IDEAS

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    1. Frankel, Jeffrey A & Froot, Kenneth A, 1987. "Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations," American Economic Review, American Economic Association, vol. 77(1), pages 133-153, March.
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    7. Georges Prat, 1994. "La formation des anticipations boursières," Économie et Prévision, Programme National Persée, vol. 112(1), pages 101-125.
    8. Georges Prat, 1995. "La formation des anticipations et l'hypothèse d'un agent représentatif : quelques enseignements issus de simulations stochastiques," Post-Print halshs-00173035, HAL.
    9. Shinji Takagi, 1991. "Exchange Rate Expectations: A Survey of Survey Studies," IMF Staff Papers, Palgrave Macmillan, vol. 38(1), pages 156-183, March.
    10. Jeffrey A. Frankel & Kenneth A. Froot, 1985. "Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations," NBER Working Papers 1672, National Bureau of Economic Research, Inc.
    11. Artus, P., 1992. "The Dollar, the Functionning of Foreign Exchange Markets and the Formation of Expectations," Papers 1992-29, Caisse des Depots et Consignations - Cahiers de recherche.
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    Cited by:

    1. Benassy-Quere, A. & Larribeau, S. & MacDonald, R., 1999. "Models of Exchange Rate Expectations: Heterogeneous Evidence from Panel Data," Papers 99-02, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
    2. repec:dau:papers:123456789/5959 is not listed on IDEAS
    3. Marie Bessec, 2005. "Les économistes sont-ils chartistes ou fondamentalistes ? Une enquête auprès de quatre-vingt chercheurs français," Économie et Prévision, Programme National Persée, vol. 169(3), pages 239-249.
    4. repec:dau:papers:123456789/10086 is not listed on IDEAS

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