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Politiques économiques, dynamique et équilibre de long terme du taux de change

Cette thèse porte sur le marché des changes, la dynamique et les politique économiques et s’organise en trois parties. La première partie montre qu’il est possible de définir trois formes d’efficience : l’efficience spéculative, l’efficience macroéconomique et l’efficience fondamentale. A court terme le marché des changes est inefficient quelle que soit la forme considérée, à moyen terme, le marché des changes est efficient d’un point de vue macroéconomique mais le retour à l’équilibre est très lent. La deuxième partie s’intéresse à la détermination du taux de change dans les modèles macroéconomiques. Le chapitre deux étudie l’impact des choix de modélisation de la boucle prix-salaire, du taux de change et de la politique monétaire sur la dynamique et l’équilibre de long terme du taux de change réel. Le chapitre trois introduit la politique budgétaire dans le cadre d’une règle de Leeper puis étudie les politiques économiques cohérentes temporellement, résultant de la minimisation de la fonction de perte des autorités. Cette spécification montre que les préférences des autorités peuvent avoir un impact sur l’équilibre de long terme. La troisième partie montre que les théories du taux de change d’équilibre sont contestables sur le plan théorique car elles n’explicitent pas leurs fondements théoriques et que les propriétés des taux de change d’équilibre ne correspondent pas à celles des modèles macroéconomiques ; sur le plan empirique, la procédure d’estimation économétrique est critiquable car elle postule que le taux de change observé est en moyenne à l’équilibre. L’estimation de taux de change d’équilibre s’avère donc fragile.

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Paper provided by Sciences Po in its series Sciences Po publications with number info:hdl:2441/53r60a8s3kup1vc9kd52ge69h.

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Length: 353 pages
Date of creation: Mar 2010
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Handle: RePEc:spo:wpmain:info:hdl:2441/53r60a8s3kup1vc9kd52ge69h
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